Pentti Saikkonen

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Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters

Pentti Saikkonen, 2008 .

Forecasting with a Noncausal VAR Model

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

Non-Linear GARCH Models for Highly Persistent Volatility

Pentti Saikkonen, Markku Lanne, 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..

BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING

Carsten Trenkler, Pentti Saikkonen, Helmut LÃ¼tkepohl, 2005, Econometric Theory.

Asymptotically Efficient Estimation of Cointegration Regressions

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

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

Helmut Lütkepohl, Pentti Saikkonen, Markku Lanne, 2003 .

STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS

Pentti Saikkonen, 2001, Econometric Theory.

Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Helmut Lütkepohl, Carsten Trenkler, Pentti Saikkonen, 2000 .

Optimal Forecasting of Noncausal Autoregressive Time Series

Pentti Saikkonen, Markku Lanne, Jani Luoto, 2010 .

Stability of nonlinear AR‐GARCH models

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

Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation

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

Residual autocorrelation testing for vector error correction models

Helmut Lütkepohl, Pentti Saikkonen, Ralf Brüggemann, 2006 .

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

Pentti Saikkonen, P. Saikkonen, 1986 .

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

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

Testing for unit roots in time series with level shifts

Helmut Lütkepohl, Pentti Saikkonen, 2001 .

STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION

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

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.

Testing linearity in univariate, time series models

Timo Teräsvirta, Pentti Saikkonen, Ritva Luukkonen, 1988 .

Stability results for nonlinear error correction models

Pentti Saikkonen, P. Saikkonen, 2005 .

A Multivariate Generalized Orthogonal Factor GARCH Model

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

Predicting U.S. Recessions with Dynamic Binary Response Models

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

On mixture autoregressive models

Pentti Saikkonen, Markku Lanne, 2003 .

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

Pentti Saikkonen, Markku Lanne, 2001 .

COINTEGRATING SMOOTH TRANSITION REGRESSIONS

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

Threshold Autoregressions for Strongly Autocorrelated Time Series

Pentti Saikkonen, Markku Lanne, 2000 .

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

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

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

Helmut Lütkepohl, Carsten Trenkler, Pentti Saikkonen, 2001 .

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 .

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 Structural Shifts

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

Impulse response analysis in infinite order cointegrated vector autoregressive processes

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

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

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

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

Pentti Saikkonen, P. Saikkonen, 2001 .

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

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

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

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

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

Helmut Lütkepohl, Christian Müller, Pentti Saikkonen, 1999 .

A REVIEW OF SYSTEMS COINTEGRATION TESTS

Helmut Lütkepohl, Pentti Saikkonen, Kirstin Hubrich, 2001 .

Testing linearity against smooth transition autoregressive models

Timo Teräsvirta, Pentti Saikkonen, Ritva Luukkonen, 1988 .

Noncausal Autoregressions for Economic Time Series

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

Gaussian mixture vector autoregression

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

A review of systemscointegration tests

Helmut Lütkepohl, Pentti Saikkonen, Kirstin Hubrich, 1998 .