Details about Pentti Saikkonen

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Helsingin yliopisto, Matematiikan ja tilastotieteen laitos

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Working Papers

2023

1. Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity
   Papers, arXiv.org

2020

2. Subgeometrically ergodic autoregressions
   Papers, arXiv.org View citations (1)
   See also Journal Article SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS, Econometric Theory, Cambridge University Press (2022) (2022)

2019

3. Stationarity and ergodicity of vector STAR models
   Papers, arXiv.org
   See also Journal Article Stationarity and ergodicity of vector STAR models, Econometric Reviews, Taylor & Francis Journals (2020) View citations (3) (2020)
4. Subgeometric ergodicity and $\beta$-mixing
   Papers, arXiv.org

2018

5. A mixture autoregressive model based on Student's $t$-distribution
   Papers, arXiv.org
   Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2018) View citations (2)
   See also Journal Article A mixture autoregressive model based on Student’s t–distribution, Communications in Statistics - Theory and Methods, Taylor & Francis Journals (2023) View citations (1) (2023)
6. Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
   See also Journal Article Testing identification via heteroskedasticity in structural vector autoregressive models, The Econometrics Journal, Royal Economic Society (2021) View citations (11) (2021)

2017

7. Testing for observation-dependent regime switching in mixture autoregressive models
   Papers, arXiv.org View citations (2)
   See also Journal Article Testing for observation-dependent regime switching in mixture autoregressive models, Journal of Econometrics, Elsevier (2021) View citations (4) (2021)

2015

8. Identification and estimation of non-Gaussian structural vector autoregressions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
   See also Journal Article Identification and estimation of non-Gaussian structural vector autoregressions, Journal of Econometrics, Elsevier (2017) View citations (100) (2017)

2013

9. Testing for a unit root in noncausal autoregressive models
   Bank of Finland Research Discussion Papers, Bank of Finland
   See also Journal Article Testing for a Unit Root in Noncausal Autoregressive Models, Journal of Time Series Analysis, Wiley Blackwell (2016) View citations (10) (2016)

2012

10. Forecasting with a noncausal VAR model
    Bank of Finland Research Discussion Papers, Bank of Finland
    See also Journal Article Forecasting with a noncausal VAR model, Computational Statistics & Data Analysis, Elsevier (2014) View citations (11) (2014)
11. Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (2)
    See also Journal Article Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity, Journal of Multivariate Analysis, Elsevier (2013) View citations (11) (2013)
12. Supplementary appendix to "noncausal vector autoregression"
    MPRA Paper, University Library of Munich, Germany
13. Testing for Predictability in a Noninvertible ARMA Model
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum
    Also in MPRA Paper, University Library of Munich, Germany (2012)

2010

14. A note on the geometric ergodicity of a nonlinear AR–ARCH model
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (3)
    See also Journal Article A note on the geometric ergodicity of a nonlinear AR-ARCH model, Statistics & Probability Letters, Elsevier (2010) View citations (2) (2010)
15. Noncausal Vector Autoregression
    MPRA Paper, University Library of Munich, Germany View citations (4)
    Also in Bank of Finland Research Discussion Papers, Bank of Finland (2009) View citations (4)
    See also Journal Article NONCAUSAL VECTOR AUTOREGRESSION, Econometric Theory, Cambridge University Press (2013) View citations (52) (2013)
16. Noncausal autoregressions for economic time series
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Noncausal Autoregressions for Economic Time Series, Journal of Time Series Econometrics, De Gruyter (2011) View citations (75) (2011)
17. Optimal Forecasting of Noncausal Autoregressive Time Series
    MPRA Paper, University Library of Munich, Germany View citations (11)
    See also Journal Article Optimal forecasting of noncausal autoregressive time series, International Journal of Forecasting, Elsevier (2012) View citations (45) (2012)
18. Parameter estimation in nonlinear AR–GARCH models
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (7)
    Economics Series Working Papers, University of Oxford, Department of Economics (2008) View citations (3)
    Economics Working Papers, European University Institute (2008) View citations (3)
    See also Journal Article PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS, Econometric Theory, Cambridge University Press (2011) View citations (16) (2011)

2009

19. GMM Estimation with Noncausal Instruments
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article GMM Estimation with Non‐causal Instruments, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2011) View citations (3) (2011)

2008

20. Modeling Expectations with Noncausal Autoregressions
    Economics Working Papers, European University Institute View citations (11)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (11)
21. Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
    Economics Working Papers, European University Institute View citations (6)
    See also Journal Article Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term, Econometrics Journal, Royal Economic Society (2009) View citations (6) (2009)

2007

22. Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2007) View citations (9)
    See also Journal Article ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS, Econometric Theory, Cambridge University Press (2008) View citations (43) (2008)
23. Stability of nonlinear AR-GARCH models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (4)
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2006) View citations (4)
    See also Journal Article Stability of nonlinear AR‐GARCH models, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (17) (2008)

2006

24. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Economics Working Papers, European University Institute View citations (4)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2006)
    See also Journal Article Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (22) (2008)

2005

25. A Multivariate Generalized Orthogonal Factor GARCH Model
    MPRA Paper, University Library of Munich, Germany View citations (6)
    See also Journal Article A Multivariate Generalized Orthogonal Factor GARCH Model, Journal of Business & Economic Statistics, American Statistical Association (2007) View citations (79) (2007)
26. Modeling Conditional Skewness in Stock Returns
    Economics Working Papers, European University Institute View citations (2)
    See also Journal Article Modeling Conditional Skewness in Stock Returns, The European Journal of Finance, Taylor & Francis Journals (2007) View citations (15) (2007)

2004

27. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (3)
28. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    Economics Working Papers, European University Institute View citations (16)
29. Residual Autocorrelation Testing for Vector Error Correction Models
    Economics Working Papers, European University Institute View citations (3)
    See also Journal Article Residual autocorrelation testing for vector error correction models, Journal of Econometrics, Elsevier (2006) View citations (26) (2006)

2002

30. Comparison of Unit Root Tests for Time Series with Level Shifts
    MPRA Paper, University Library of Munich, Germany View citations (221)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (6)
    See also Journal Article Comparison of unit root tests for time series with level shifts, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (146) (2002)
31. Nonlinear GARCH models for highly persistent volatility
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article Non-linear GARCH models for highly persistent volatility, Econometrics Journal, Royal Economic Society (2005) View citations (27) (2005)

2001

32. Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000)
    See also Journal Article Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes, Journal of Financial Econometrics, Oxford University Press (2003) View citations (29) (2003)
33. Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (4)
34. Test procedures for unit roots in time series with level shifts at unknown time
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (28)
    See also Journal Article Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (65) (2003)
35. Testing for the cointegrating rank of a VAR process with level shift at unknown time
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time, Econometrica, Econometric Society (2004) View citations (70) (2004)
36. Testing for the cointegrating rank of a VAR process with structural shifts
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article Testing for the Cointegrating Rank of a VAR Process with Structural Shifts, Journal of Business & Economic Statistics, American Statistical Association (2000) View citations (229) (2000)
37. Unit root tests in the presence of innovational outliers
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

2000

38. Cointegrating smooth transition regressions with applications to the Asian currency crisis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
39. Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (49)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (47)
    See also Journal Article Comparison of tests for the cointegrating rank of a VAR process with a structural shift, Journal of Econometrics, Elsevier (2003) View citations (30) (2003)
40. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (16)
    See also Journal Article Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, Econometrics Journal, Royal Economic Society (2001) View citations (95) (2001)
41. Reducing size distortions of parametric stationarity tests
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article Reducing size distortions of parametric stationarity tests, Journal of Time Series Analysis, Wiley Blackwell (2003) View citations (5) (2003)
42. Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (3)
    See also Journal Article TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME, Econometric Theory, Cambridge University Press (2002) View citations (187) (2002)
43. Threshold Autoregression for Strongly Autocorrelated Time Series
    University of Helsinki, Department of Economics, Department of Economics
    See also Journal Article Threshold Autoregressions for Strongly Autocorrelated Time Series, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (16) (2002)

1999

44. On the estimation of Euler equations in the presence of a potential regime shift
    Bank of Finland Research Discussion Papers, Bank of Finland View citations (1)
    See also Journal Article On the Estimation of Euler Equations in the Presence of a Potential Regime Shift, Manchester School, University of Manchester (2000) View citations (6) (2000)
45. Testing for unit roots in time series with level shifts
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
46. Unit root tests for time series with a structural break: When the break point is known
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)

1998

47. A review of systemscointegration tests
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article A REVIEW OF SYSTEMS COINTEGRATION TESTS, Econometric Reviews, Taylor & Francis Journals (2001) View citations (70) (2001)
48. Cointegrated vector autoregressive processes with continuous structural changes
    Bank of Finland Research Discussion Papers, Bank of Finland
49. Testing for the cointegrating rank of a VAR process with an intercept
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT, Econometric Theory, Cambridge University Press (2000) View citations (202) (2000)

1997

50. Local power of likelihood ratio tests for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS, Econometric Theory, Cambridge University Press (1999) View citations (40) (1999)
51. Order selection in testing for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
52. Testing for the Cointegrating Rank of a VAR Process with a Time Trend
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article Testing for the cointegrating rank of a VAR process with a time trend, Journal of Econometrics, Elsevier (2000) View citations (221) (2000)
53. Trend adjustment prior to testing for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)

1995

54. Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
55. Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
    See also Journal Article Impulse response analysis in infinite order cointegrated vector autoregressive processes, Journal of Econometrics, Elsevier (1997) View citations (30) (1997)

Journal Articles

2023

1. A mixture autoregressive model based on Student’s t–distribution
   Communications in Statistics - Theory and Methods, 2023, 52, (2), 499-515 View citations (1)
   See also Working Paper A mixture autoregressive model based on Student's $t$-distribution, Papers (2018) (2018)

2022

2. SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS
   Econometric Theory, 2022, 38, (5), 959-985
   See also Working Paper Subgeometrically ergodic autoregressions, Papers (2020) View citations (1) (2020)

2021

3. Testing for observation-dependent regime switching in mixture autoregressive models
   Journal of Econometrics, 2021, 222, (1), 601-624 View citations (4)
   See also Working Paper Testing for observation-dependent regime switching in mixture autoregressive models, Papers (2017) View citations (2) (2017)
4. Testing identification via heteroskedasticity in structural vector autoregressive models
   The Econometrics Journal, 2021, 24, (1), 1-22 View citations (11)
   Also in EconStor Open Access Articles and Book Chapters, 2021, 24, (1), 1-22 (2021) View citations (11)
   See also Working Paper Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models, Discussion Papers of DIW Berlin (2018) View citations (1) (2018)

2020

5. Stationarity and ergodicity of vector STAR models
   Econometric Reviews, 2020, 39, (4), 407-414 View citations (3)
   See also Working Paper Stationarity and ergodicity of vector STAR models, Papers (2019) (2019)

2017

6. Identification and estimation of non-Gaussian structural vector autoregressions
   Journal of Econometrics, 2017, 196, (2), 288-304 View citations (100)
   See also Working Paper Identification and estimation of non-Gaussian structural vector autoregressions, CREATES Research Papers (2015) View citations (13) (2015)

2016

7. Gaussian mixture vector autoregression
   Journal of Econometrics, 2016, 192, (2), 485-498 View citations (25)
8. Testing for a Unit Root in Noncausal Autoregressive Models
   Journal of Time Series Analysis, 2016, 37, (1), 99-125 View citations (10)
   See also Working Paper Testing for a unit root in noncausal autoregressive models, Bank of Finland Research Discussion Papers (2013) (2013)

2015

9. A Gaussian Mixture Autoregressive Model for Univariate Time Series
   Journal of Time Series Analysis, 2015, 36, (2), 247-266 View citations (23)

2014

10. Forecasting with a noncausal VAR model
    Computational Statistics & Data Analysis, 2014, 76, (C), 536-555 View citations (11)
    See also Working Paper Forecasting with a noncausal VAR model, Bank of Finland Research Discussion Papers (2012) (2012)

2013

11. Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
    Journal of Multivariate Analysis, 2013, 114, (C), 227-255 View citations (11)
    See also Working Paper Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity, Koç University-TUSIAD Economic Research Forum Working Papers (2012) View citations (2) (2012)
12. NONCAUSAL VECTOR AUTOREGRESSION
    Econometric Theory, 2013, 29, (3), 447-481 View citations (52)
    See also Working Paper Noncausal Vector Autoregression, MPRA Paper (2010) View citations (4) (2010)
13. Testing for Linear and Nonlinear Predictability of Stock Returns
    Journal of Financial Econometrics, 2013, 11, (4), 682-705 View citations (4)

2012

14. Optimal forecasting of noncausal autoregressive time series
    International Journal of Forecasting, 2012, 28, (3), 623-631 View citations (45)
    See also Working Paper Optimal Forecasting of Noncausal Autoregressive Time Series, MPRA Paper (2010) View citations (11) (2010)

2011

15. GMM Estimation with Non‐causal Instruments
    Oxford Bulletin of Economics and Statistics, 2011, 73, (5), 581-592 View citations (3)
    See also Working Paper GMM Estimation with Noncausal Instruments, MPRA Paper (2009) View citations (4) (2009)
16. Noncausal Autoregressions for Economic Time Series
    Journal of Time Series Econometrics, 2011, 3, (3), 32 View citations (75)
    See also Working Paper Noncausal autoregressions for economic time series, MPRA Paper (2010) View citations (7) (2010)
17. PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
    Econometric Theory, 2011, 27, (6), 1236-1278 View citations (16)
    See also Working Paper Parameter estimation in nonlinear AR–GARCH models, Koç University-TUSIAD Economic Research Forum Working Papers (2010) (2010)

2010

18. A note on the geometric ergodicity of a nonlinear AR-ARCH model
    Statistics & Probability Letters, 2010, 80, (7-8), 631-638 View citations (2)
    See also Working Paper A note on the geometric ergodicity of a nonlinear AR–ARCH model, Koç University-TUSIAD Economic Research Forum Working Papers (2010) View citations (3) (2010)
19. TESTS FOR NONLINEAR COINTEGRATION
    Econometric Theory, 2010, 26, (3), 682-709 View citations (39)

2009

20. Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
    Econometrics Journal, 2009, 12, (3), 414-435 View citations (6)
    See also Working Paper Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term, Economics Working Papers (2008) View citations (6) (2008)

2008

21. ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
    Econometric Theory, 2008, 24, (5), 1291-1320 View citations (43)
    See also Working Paper Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models, SSE/EFI Working Paper Series in Economics and Finance (2007) View citations (4) (2007)
22. Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters
    International Statistical Review, 2008, 76, (1), 151-152
23. Predicting U.S. Recessions with Dynamic Binary Response Models
    The Review of Economics and Statistics, 2008, 90, (4), 777-791 View citations (131)
24. STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
    Econometric Theory, 2008, 24, (1), 294-318 View citations (24)
25. Stability of nonlinear AR‐GARCH models
    Journal of Time Series Analysis, 2008, 29, (3), 453-475 View citations (17)
    See also Working Paper Stability of nonlinear AR-GARCH models, Economics Series Working Papers (2007) View citations (5) (2007)
26. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Journal of Time Series Analysis, 2008, 29, (2), 331-358 View citations (22)
    See also Working Paper Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break, Economics Working Papers (2006) View citations (4) (2006)

2007

27. A Multivariate Generalized Orthogonal Factor GARCH Model
    Journal of Business & Economic Statistics, 2007, 25, 61-75 View citations (79)
    See also Working Paper A Multivariate Generalized Orthogonal Factor GARCH Model, MPRA Paper (2005) View citations (6) (2005)
28. Modeling Conditional Skewness in Stock Returns
    The European Journal of Finance, 2007, 13, (8), 691-704 View citations (15)
    See also Working Paper Modeling Conditional Skewness in Stock Returns, Economics Working Papers (2005) View citations (2) (2005)

2006

29. BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
    Econometric Theory, 2006, 22, (1), 15-68 View citations (18)
30. Residual autocorrelation testing for vector error correction models
    Journal of Econometrics, 2006, 134, (2), 579-604 View citations (26)
    See also Working Paper Residual Autocorrelation Testing for Vector Error Correction Models, Economics Working Papers (2004) View citations (3) (2004)
31. Why is it so difficult to uncover the risk-return tradeoff in stock returns?
    Economics Letters, 2006, 92, (1), 118-125 View citations (33)

2005

32. Non-linear GARCH models for highly persistent volatility
    Econometrics Journal, 2005, 8, (2), 251-276 View citations (27)
    See also Working Paper Nonlinear GARCH models for highly persistent volatility, SFB 373 Discussion Papers (2002) View citations (1) (2002)
33. Stability results for nonlinear error correction models
    Journal of Econometrics, 2005, 127, (1), 69-81 View citations (33)

2004

34. COINTEGRATING SMOOTH TRANSITION REGRESSIONS
    Econometric Theory, 2004, 20, (2), 301-340 View citations (102)
35. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Econometrica, 2004, 72, (2), 647-662 View citations (70)
    See also Working Paper Testing for the cointegrating rank of a VAR process with level shift at unknown time, SFB 373 Discussion Papers (2001) View citations (1) (2001)
36. Testing linearity in cointegrating smooth transition regressions
    Econometrics Journal, 2004, 7, (2), 341-365 View citations (90)

2003

37. Comparison of tests for the cointegrating rank of a VAR process with a structural shift
    Journal of Econometrics, 2003, 113, (2), 201-229 View citations (30)
    See also Working Paper Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (49) (2000)
38. Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
    Journal of Financial Econometrics, 2003, 1, (1), 96-125 View citations (29)
    See also Working Paper Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes, CeNDEF Workshop Papers, January 2001 (2001) (2001)
39. Reducing size distortions of parametric stationarity tests
    Journal of Time Series Analysis, 2003, 24, (4), 423-439 View citations (5)
    See also Working Paper Reducing size distortions of parametric stationarity tests, SFB 373 Discussion Papers (2000) View citations (1) (2000)
40. Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time
    Oxford Bulletin of Economics and Statistics, 2003, 65, (1), 91-115 View citations (65)
    See also Working Paper Test procedures for unit roots in time series with level shifts at unknown time, SFB 373 Discussion Papers (2001) View citations (28) (2001)

2002

41. Comparison of unit root tests for time series with level shifts
    Journal of Time Series Analysis, 2002, 23, (6), 667-685 View citations (146)
    See also Working Paper Comparison of Unit Root Tests for Time Series with Level Shifts, MPRA Paper (2002) View citations (221) (2002)
42. TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
    Econometric Theory, 2002, 18, (2), 313-348 View citations (187)
    See also Working Paper Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (1) (2000)
43. Threshold Autoregressions for Strongly Autocorrelated Time Series
    Journal of Business & Economic Statistics, 2002, 20, (2), 282-89 View citations (16)
    See also Working Paper Threshold Autoregression for Strongly Autocorrelated Time Series, University of Helsinki, Department of Economics (2000) (2000)

2001

44. A REVIEW OF SYSTEMS COINTEGRATION TESTS
    Econometric Reviews, 2001, 20, (3), 247-318 View citations (70)
    See also Working Paper A review of systemscointegration tests, SFB 373 Discussion Papers (1998) View citations (1) (1998)
45. CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS
    Econometric Theory, 2001, 17, (2), 296-326 View citations (15)
46. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations (95)
    See also Working Paper Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, SFB 373 Discussion Papers (2000) View citations (16) (2000)
47. STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS
    Econometric Theory, 2001, 17, (2), 327-356 View citations (9)

2000

48. On the Estimation of Euler Equations in the Presence of a Potential Regime Shift
    Manchester School, 2000, 68, (s1), 92-121 View citations (6)
    See also Working Paper On the estimation of Euler equations in the presence of a potential regime shift, Bank of Finland Research Discussion Papers (1999) View citations (1) (1999)
49. TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
    Econometric Theory, 2000, 16, (3), 373-406 View citations (202)
    See also Working Paper Testing for the cointegrating rank of a VAR process with an intercept, SFB 373 Discussion Papers (1998) (1998)
50. Testing for the Cointegrating Rank of a VAR Process with Structural Shifts
    Journal of Business & Economic Statistics, 2000, 18, (4), 451-64 View citations (229)
    See also Working Paper Testing for the cointegrating rank of a VAR process with structural shifts, SFB 373 Discussion Papers (2001) (2001)
51. Testing for the cointegrating rank of a VAR process with a time trend
    Journal of Econometrics, 2000, 95, (1), 177-198 View citations (221)
    See also Working Paper Testing for the Cointegrating Rank of a VAR Process with a Time Trend, SFB 373 Discussion Papers (1997) View citations (1) (1997)
52. Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
    Journal of Time Series Analysis, 2000, 21, (4), 435-456 View citations (30)

1999

53. A lag augmentation test for the cointegrating rank of a VAR process
    Economics Letters, 1999, 63, (1), 23-27 View citations (4)
54. LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
    Econometric Theory, 1999, 15, (1), 50-78 View citations (40)
    See also Working Paper Local power of likelihood ratio tests for the cointegrating rank of a VAR process, SFB 373 Discussion Papers (1997) (1997)
55. Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes
    Journal of Business & Economic Statistics, 1999, 17, (2), 195-204 View citations (17)
56. Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
    Econometric Reviews, 1999, 18, (3), 235-257 View citations (20)

1997

57. Impulse response analysis in infinite order cointegrated vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 127-157 View citations (30)
    See also Working Paper Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes, SFB 373 Discussion Papers (1995) View citations (3) (1995)
58. Testing cointegration in infinite order vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 93-126 View citations (76)

1996

59. Infinite-Order Cointegrated Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (5), 814-844 View citations (34)
60. Power of the Lagrange multiplier test for testing an autoregressive unit root
    Economics Letters, 1996, 51, (1), 27-35
61. TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
    Journal of Time Series Analysis, 1996, 17, (5), 481-496 View citations (1)

1995

62. Dependent versions of a central limit theorem for the squared length of a sample mean
    Statistics & Probability Letters, 1995, 22, (3), 185-194
63. Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems
    Econometric Theory, 1995, 11, (5), 888-911 View citations (35)

1993

64. A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
    Econometric Theory, 1993, 9, (3), 494-498 View citations (1)
65. Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model
    Econometric Theory, 1993, 9, (2), 155-188 View citations (11)
66. Estimation of Cointegration Vectors with Linear Restrictions
    Econometric Theory, 1993, 9, (1), 19-35 View citations (25)
67. Point Optimal Tests for Testing the Order of Differencing in ARIMA Models
    Econometric Theory, 1993, 9, (3), 343-362 View citations (18)

1992

68. Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation
    Econometric Theory, 1992, 8, (1), 1-27 View citations (231)

1991

69. Asymptotically Efficient Estimation of Cointegration Regressions
    Econometric Theory, 1991, 7, (1), 1-21 View citations (626)

1989

70. Asymptotic relative efficiency of the classical test statistics under misspecification
    Journal of Econometrics, 1989, 42, (3), 351-369 View citations (28)

1986

71. ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
    Journal of Time Series Analysis, 1986, 7, (2), 133-155 View citations (1)

1983

72. ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS
    Journal of Time Series Analysis, 1983, 4, (1), 69-78

Edited books

2014

1. Essays in Nonlinear Time Series Econometrics
   OUP Catalogue, Oxford University Press View citations (11)