P. Saikkonen

发表

Asymptotic Properties Of Some Preliminary Estimators For Autoregressive Moving Average Time Series Models

Pentti Saikkonen, P. Saikkonen, 1986 .

A REVIEW OF SYSTEMS COINTEGRATION TESTS

Helmut Lütkepohl, Pentti Saikkonen, Kirstin Hubrich, 2001 .

TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 2000, Econometric Theory.

Testing linearity against smooth transition autoregressive models

Timo Teräsvirta, Pentti Saikkonen, Ritva Luukkonen, 1988 .

A Gaussian Mixture Autoregressive Model for Univariate Time Series

Pentti Saikkonen, Mika Meitz, P. Saikkonen, 2015 .

Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time

H. Lütkepohl, P. Saikkonen, Carsten Trenkler, 2004 .

Identification and estimation of non-Gaussian structural vector autoregressions

P. Saikkonen, Markku Lanne, Mika Meitz, 2015 .

Infinite-Order Cointegrated Vector Autoregressive Processes

H. Lütkepohl, P. Saikkonen, 1996, Econometric Theory.

Comparison of unit root tests for time series with level shifts

H. Lütkepohl, P. Saikkonen, Markku Lanne, 2002 .

TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

H. Luetkepohl, P. Saikkonen, 2002, Econometric Theory.

TESTS FOR NONLINEAR COINTEGRATION

P. Saikkonen, In Choi, 2009, Econometric Theory.

Predicting U.S. Recessions with Dynamic Binary Response Models

Pentti Saikkonen, Heikki Kauppi, P. Saikkonen, 2008, The Review of Economics and Statistics.

Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process

Helmut Lütkepohl, Carsten Trenkler, Pentti Saikkonen, 2001 .

Testing for the Cointegrating Rank of a VAR Process with a Time Trend

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 2000 .

A review of systemscointegration tests

Helmut Lütkepohl, Pentti Saikkonen, Kirstin Hubrich, 1998 .

Gaussian mixture vector autoregression

Pentti Saikkonen, Mika Meitz, P. Saikkonen, 2016 .

Unit root tests for time series with a structural break when the break point is known

Helmut Lütkepohl, Christian Müller, Pentti Saikkonen, 1999 .

Subgeometric ergodicity and $\beta$-mixing

P. Saikkonen, Mika Meitz, 2019, 1904.07103.

Testing for the Cointegrating Rank of a VAR Process With Structural Shifts

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 2000 .

Forecasting with a Noncausal VAR Model

Pentti Saikkonen, Henri Nyberg, P. Saikkonen, 2012 .

Modeling Expectations with Noncausal Autoregressions

Pentti Saikkonen, Markku Lanne, P. Saikkonen, 2008 .

Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity

P. Saikkonen, Mika Meitz, 2022, 2205.11953.

Testing for observation-dependent regime switching in mixture autoregressive models

P. Saikkonen, Mika Meitz, 2017, Journal of Econometrics.

Essays on Non-linear Time Series Econometrics

P. Saikkonen, N. Haldrup, Mika Meitz, 2014 .

A specification strategy for order determination in arma models

J. Gooijer, P. Saikkonen, 1988 .

No . 212 Modeling Expectations with Noncausal Autoregressions *

P. Saikkonen, Markku Lanne, 2013 .

GMM Estimation with Non‐Causal Instruments

P. Saikkonen, Markku Lanne, 2011 .

Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

Pentti Saikkonen, Ritva Luukkonen, R. Luukkonen, 1993 .

Noncausal Autoregressions for Economic Time Series

Pentti Saikkonen, Markku Lanne, P. Saikkonen, 2010 .

Forecasting with a Noncausal VAR Model

Pentti Saikkonen, Henri Nyberg, P. Saikkonen, 2012, Comput. Stat. Data Anal..

Asymptotically Efficient Estimation of Cointegration Regressions

Pentti Saikkonen, P. Saikkonen, 1991, Econometric Theory.

A lag augmentation test for the cointegrating rank of a VAR process

H. Lütkepohl, P. Saikkonen, 1999 .

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes

H. Lütkepohl, P. Saikkonen, 1995 .

COINTEGRATING SMOOTH TRANSITION REGRESSIONS

Pentti Saikkonen, In Choi, P. Saikkonen, 2004, Econometric Theory.

Impulse response analysis in infinite order cointegrated vector autoregressive processes

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 1997 .

Dependent versions of a central limit theorem for the squared length of a sample mean

P. Saikkonen, 1995 .

Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation

Pentti Saikkonen, P. Saikkonen, 1992, Econometric Theory.

CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS

P. Saikkonen, 2001, Econometric Theory.

STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION

Pentti Saikkonen, P. Saikkonen, 2007, Econometric Theory.

Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time

Helmut Lütkepohl, Pentti Saikkonen, Markku Lanne, 2003 .

ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS

Pentti Saikkonen, Mika Meitz, P. Saikkonen, 2008, Econometric Theory.

PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS

P. Saikkonen, Mika Meitz, 2008, Econometric Theory.

Parameter Estimation in Nonlinear AR-GARCH Models

P. Saikkonen, Mika Meitz, 2011 .

CREATES Research Paper 2008-30 Parameter estimation in nonlinear AR-GARCH models

P. Saikkonen, Mika Meitz, 2008 .

A mixture autoregressive model based on Student’s t–distribution

P. Saikkonen, Mika Meitz, D. Preve, 2018, Communications in Statistics - Theory and Methods.

StMAR Toolbox: A MATLAB Toolbox for Student's t Mixture Autoregressive Models

P. Saikkonen, Mika Meitz, D. Preve, 2018 .

Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems

P. Saikkonen, 1995, Econometric Theory.

Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model

P. Saikkonen, 1993, Econometric Theory.

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift

P. Saikkonen, Antti Ripatti, 1999 .

A Multivariate Generalized Orthogonal Factor GARCH Model

Pentti Saikkonen, Markku Lanne, P. Saikkonen, 2007 .

Asymptotic relative efficiency of the classical test statistics under misspecification

P. Saikkonen, 1989 .

Lagrange multiplier tests for testing non-linearities in time series models

R. Luukkonen, P. Saikkonen, P. Saikkonen, 1988 .

Stability results for nonlinear error correction models

Pentti Saikkonen, P. Saikkonen, 2005 .

Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity

Pentti Saikkonen, Mika Meitz, P. Saikkonen, 2013, J. Multivar. Anal..

ECO 2008 / 25 Parameter Estimation in Nonlinear AR-GARCH Models

P. Saikkonen, 2008 .

Testing Linearity in Cointegrating Smooth Transition Regressions

P. Saikkonen, In Choi, 2004 .

Modelling the Dynamic Relationship between Wages and Prices in Finland

T. Teräsvirta, P. Saikkonen, 1985 .

Testing linearity in univariate, time series models

Timo Teräsvirta, Pentti Saikkonen, Ritva Luukkonen, 1988 .

Testing cointegration in infinite order vector autoregressive processes

R. Luukkonen, P. Saikkonen, 1997 .

Impulse Response Analysis in In nite OrderCointegrated Vector Autoregressive ProcessesbyHelmut

P. Saikkonen, 1995 .

A note on the geometric ergodicity of a nonlinear AR-ARCH model

P. Saikkonen, Mika Meitz, 2010 .

Non-Linear GARCH Models for Highly Persistent Volatility

Pentti Saikkonen, Markku Lanne, P. Saikkonen, 2005 .

Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process

Helmut Lütkepohl, Pentti Saikkonen, P. Saikkonen, 2000 .

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns

P. Saikkonen, Markku Lanne, 2004 .

An Application to U.S. Stock Returns

P. Saikkonen, Markku Lanne, 2004 .

Nonlinear GARCH Models for Highly Persistent Volatility 1

P. Saikkonen, Markku Lanne, 2004 .

Why is it so difficult to uncover the risk-return tradeoff in stock returns?

P. Saikkonen, Markku Lanne, 2006 .

Stability of nonlinear AR‐GARCH models

Pentti Saikkonen, Mika Meitz, P. Saikkonen, 2008 .

Stability of Nonlinear Ar-Garch Models

P. Saikkonen, Mika Meitz, 2006 .

Residual autocorrelation testing for vector error correction models

Helmut Lütkepohl, Pentti Saikkonen, Ralf Brüggemann, 2006 .

SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY

P. Saikkonen, Mika Meitz, 2022, Econometric Theory.

Subgeometric ergodicity and β-mixing

P. Saikkonen, Mika Meitz, 2019, Journal of Applied Probability.

SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS

P. Saikkonen, Mika Meitz, 2019, Econometric Theory.

Nonlinear GARCH Models for Highly Persistent Volatility

P. Saikkonen, Markku Lanne, 2002 .

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model

Pentti Saikkonen, P. Saikkonen, 2001 .

Order Selection in Testing for the Cointegrating Rank of a VAR Process

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 1997 .

Estimation of Cointegration Vectors with Linear Restrictions

P. Saikkonen, 1993, Econometric Theory.

STABILITY OF MIXTURES OF VECTOR AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY

P. Saikkonen, 2007 .

Testing for a Unit Root in Noncausal Autoregressive Models

P. Saikkonen, Rickard Sandberg, 2013 .

Optimal Forecasting of Noncausal Autoregressive Time Series

Pentti Saikkonen, Markku Lanne, Jani Luoto, 2010 .

A Multivariate Generalized Orthogonal Factor GARCH Model 1

P. Saikkonen, Markku Lanne, 2004 .

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

H. Lütkepohl, P. Saikkonen, Mika Meitz, 2018, The Econometrics Journal.

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term

H. Luetkepohl, P. Saikkonen, M. Demetrescu, 2009 .

Trend Adjustment Prior to Testing for the Cointegrating Rank of a VAR Process

H. Lütkepohl, P. Saikkonen, 1997 .

Stationarity and ergodicity of vector STAR models

P. Saikkonen, I. Kheifets, 2018, Econometric Reviews.

Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes

P. Saikkonen, 1999 .

LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS

H. Lütkepohl, P. Saikkonen, 1999, Econometric Theory.