Details about Pentti Saikkonen

Access statistics for papers by Pentti Saikkonen.

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Short-id: psa958

Working Papers

2012

1. Forecasting with a noncausal VAR model
   Research Discussion Papers, Bank of Finland
2. 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 in Journal of Multivariate Analysis (2013)
3. Supplementary appendix to "noncausal vector autoregression"
   MPRA Paper, University Library of Munich, Germany
4. 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

5. 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
   See also Journal Article in Statistics & Probability Letters (2010)
6. Noncausal Vector Autoregression
   MPRA Paper, University Library of Munich, Germany View citations (1)
   Also in Research Discussion Papers, Bank of Finland (2009) View citations (3)
7. Noncausal autoregressions for economic time series
   MPRA Paper, University Library of Munich, Germany View citations (5)
   See also Journal Article in Journal of Time Series Econometrics (2011)
8. Optimal Forecasting of Noncausal Autoregressive Time Series
   MPRA Paper, University Library of Munich, Germany View citations (7)
   See also Journal Article in International Journal of Forecasting (2012)
9. 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, School of Economics and Management, University of Aarhus (2008) View citations (2)
   Economics Working Papers, European University Institute (2008)
   Economics Series Working Papers, University of Oxford, Department of Economics (2008)
   See also Journal Article in Econometric Theory (2011)

2009

10. GMM Estimation with Noncausal Instruments
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2011)

2008

11. Modeling Expectations with Noncausal Autoregressions
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in Economics Working Papers, European University Institute (2008) View citations (6)
12. Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
    Economics Working Papers, European University Institute
    See also Journal Article in Econometrics Journal (2009)

2007

13. Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2007) View citations (9)
    See also Journal Article in Econometric Theory (2008)
14. Stability of nonlinear AR-GARCH models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (3)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (2)
    Working Paper Series in Economics and Finance, Stockholm School of Economics (2006) View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2008)

2006

15. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Economics Working Papers, European University Institute
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2006)
    See also Journal Article in Journal of Time Series Analysis (2008)

2005

16. A Multivariate Generalized Orthogonal Factor GARCH Model
    MPRA Paper, University Library of Munich, Germany View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
17. Modeling Conditional Skewness in Stock Returns
    Economics Working Papers, European University Institute
    See also Journal Article in European Journal of Finance (2007)

2004

18. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (2)
19. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    Economics Working Papers, European University Institute View citations (2)
20. Residual Autocorrelation Testing for Vector Error Correction Models
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article in Journal of Econometrics (2006)

2002

21. 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 in Econometrics Journal (2005)

2001

22. 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 in Journal of Financial Econometrics (2003)
23. 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 (1)
24. 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 (8)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
25. 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 in Econometrica (2004)
26. 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 in Journal of Business & Economic Statistics (2000)
27. 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

28. 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
29. 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 (4)
    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 in Journal of Econometrics (2003)
30. 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 (2)
    See also Journal Article in Econometrics Journal (2001)
31. 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 in Journal of Time Series Analysis (2003)
32. 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)
    See also Journal Article in Econometric Theory (2002)
33. Threshold Autoregression for Strongly Autocorrelated Time Series
    University of Helsinki, Department of Economics, Department of Economics
    See also Journal Article in Journal of Business & Economic Statistics (2002)

1999

34. Comparison of unit root tests for time series with level shifts
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
35. On the Estimation of Euler Equations in the Presence of a Potential Regime Shift
    Research Discussion Papers, Bank of Finland View citations (1)
    Also in Studies in Economics and Finance, Bank of Finland (1999) View citations (1)
    See also Journal Article in Manchester School (2000)
36. 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)
37. 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 (1)

1998

38. A review of systemscointegration tests
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article in Econometric Reviews (2001)
39. Cointegrated Vector Autoregressive Processes with Continuous Structural Changes
    Research Discussion Papers, Bank of Finland View citations (1)
40. Cointegration Vector Autoregressive Processes with Continuous Structural Changes
    Studies in Economics and Finance, Bank of Finland
41. 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 in Econometric Theory (2000)

1997

42. 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 in Econometric Theory (1999)
43. 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
44. 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 in Journal of Econometrics (2000)
45. 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

1995

46. 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
47. 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 (1)
    See also Journal Article in Journal of Econometrics (1997)

Journal Articles

2013

1. Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
   Journal of Multivariate Analysis, 2013, 114, (C), 227-255
   See also Working Paper (2012)

2012

2. Optimal forecasting of noncausal autoregressive time series
   International Journal of Forecasting, 2012, 28, (3), 623-631 View citations (4)
   See also Working Paper (2010)

2011

3. GMM Estimation with Non‐causal Instruments
   Oxford Bulletin of Economics and Statistics, 2011, 73, (5), 581-592
   See also Working Paper (2009)
4. Noncausal Autoregressions for Economic Time Series
   Journal of Time Series Econometrics, 2011, 3, (3), 1-32 View citations (4)
   See also Working Paper (2010)
5. PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
   Econometric Theory, 2011, 27, (06), 1236-1278 View citations (1)
   See also Working Paper (2010)

2010

6. A note on the geometric ergodicity of a nonlinear AR-ARCH model
   Statistics & Probability Letters, 2010, 80, (7-8), 631-638
   See also Working Paper (2010)
7. TESTS FOR NONLINEAR COINTEGRATION
   Econometric Theory, 2010, 26, (03), 682-709 View citations (3)

2009

8. Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
   Econometrics Journal, 2009, 12, (3), 414-435
   See also Working Paper (2008)

2008

9. ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
   Econometric Theory, 2008, 24, (05), 1291-1320 View citations (10)
   See also Working Paper (2007)
10. Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters
    International Statistical Review, 2008, 76, (1), 151-152
11. Predicting U.S. Recessions with Dynamic Binary Response Models
    The Review of Economics and Statistics, 2008, 90, (4), 777-791 View citations (18)
12. STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
    Econometric Theory, 2008, 24, (01), 294-318 View citations (5)
13. Stability of nonlinear AR-GARCH models
    Journal of Time Series Analysis, 2008, 29, (3), 453-475 View citations (5)
    See also Working Paper (2007)
14. 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 (5)
    See also Working Paper (2006)

2007

15. A Multivariate Generalized Orthogonal Factor GARCH Model
    Journal of Business & Economic Statistics, 2007, 25, 61-75 View citations (21)
    See also Working Paper (2005)
16. Modeling Conditional Skewness in Stock Returns
    European Journal of Finance, 2007, 13, (8), 691-704 View citations (2)
    See also Working Paper (2005)

2006

17. BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
    Econometric Theory, 2006, 22, (01), 15-68 View citations (7)
18. Residual autocorrelation testing for vector error correction models
    Journal of Econometrics, 2006, 134, (2), 579-604 View citations (9)
    See also Working Paper (2004)
19. Why is it so difficult to uncover the risk-return tradeoff in stock returns?
    Economics Letters, 2006, 92, (1), 118-125 View citations (11)

2005

20. Non-linear GARCH models for highly persistent volatility
    Econometrics Journal, 2005, 8, (2), 251-276 View citations (4)
    See also Working Paper (2002)
21. Stability results for nonlinear error correction models
    Journal of Econometrics, 2005, 127, (1), 69-81 View citations (15)

2004

22. COINTEGRATING SMOOTH TRANSITION REGRESSIONS
    Econometric Theory, 2004, 20, (02), 301-340 View citations (29)
23. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Econometrica, 2004, 72, (2), 647-662 View citations (25)
    See also Working Paper (2001)
24. Testing linearity in cointegrating smooth transition regressions
    Econometrics Journal, 2004, 7, (2), 341-365 View citations (21)

2003

25. 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 (8)
    See also Working Paper (2000)
26. Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
    Journal of Financial Econometrics, 2003, 1, (1), 96-125 View citations (18)
    See also Working Paper (2001)
27. Reducing size distortions of parametric stationarity tests
    Journal of Time Series Analysis, 2003, 24, (4), 423-439 View citations (4)
    See also Working Paper (2000)
28. 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 (43)
    See also Working Paper (2001)

2002

29. TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
    Econometric Theory, 2002, 18, (02), 313-348 View citations (71)
    See also Working Paper (2000)
30. Threshold Autoregressions for Strongly Autocorrelated Time Series
    Journal of Business & Economic Statistics, 2002, 20, (2), 282-89 View citations (4)
    See also Working Paper (2000)

2001

31. A REVIEW OF SYSTEMS COINTEGRATION TESTS
    Econometric Reviews, 2001, 20, (3), 247-318 View citations (33)
    See also Working Paper (1998)
32. CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS
    Econometric Theory, 2001, 17, (02), 296-326 View citations (5)
33. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations (22)
    See also Working Paper (2000)
34. STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS
    Econometric Theory, 2001, 17, (02), 327-356 View citations (5)

2000

35. On the Estimation of Euler Equations in the Presence of a Potential Regime Shift
    Manchester School, 2000, 68, 92-121 View citations (2)
    See also Working Paper (1999)
36. TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
    Econometric Theory, 2000, 16, (03), 373-406 View citations (38)
    See also Working Paper (1998)
37. Testing for the Cointegrating Rank of a VAR Process with Structural Shifts
    Journal of Business & Economic Statistics, 2000, 18, (4), 451-64 View citations (48)
    See also Working Paper (2001)
38. Testing for the cointegrating rank of a VAR process with a time trend
    Journal of Econometrics, 2000, 95, (1), 177-198 View citations (34)
    See also Working Paper (1997)

1999

39. A lag augmentation test for the cointegrating rank of a VAR process
    Economics Letters, 1999, 63, (1), 23-27 View citations (1)
40. LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
    Econometric Theory, 1999, 15, (01), 50-78 View citations (21)
    See also Working Paper (1997)
41. Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes
    Journal of Business & Economic Statistics, 1999, 17, (2), 195-204 View citations (7)
42. Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
    Econometric Reviews, 1999, 18, (3), 235-257 View citations (4)

1997

43. Impulse response analysis in infinite order cointegrated vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 127-157 View citations (18)
    See also Working Paper (1995)
44. Testing cointegration in infinite order vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 93-126 View citations (45)

1996

45. Infinite-Order Cointegrated Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (05), 814-844 View citations (12)
46. Power of the Lagrange multiplier test for testing an autoregressive unit root
    Economics Letters, 1996, 51, (1), 27-35

1995

47. Dependent versions of a central limit theorem for the squared length of a sample mean
    Statistics & Probability Letters, 1995, 22, (3), 185-194
48. Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems
    Econometric Theory, 1995, 11, (05), 888-911 View citations (15)

1993

49. A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
    Econometric Theory, 1993, 9, (03), 494-498 View citations (1)
50. Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model
    Econometric Theory, 1993, 9, (02), 155-188 View citations (5)
51. Estimation of Cointegration Vectors with Linear Restrictions
    Econometric Theory, 1993, 9, (01), 19-35 View citations (16)
52. Point Optimal Tests for Testing the Order of Differencing in ARIMA Models
    Econometric Theory, 1993, 9, (03), 343-362 View citations (11)

1992

53. Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation
    Econometric Theory, 1992, 8, (01), 1-27 View citations (45)

1991

54. Asymptotically Efficient Estimation of Cointegration Regressions
    Econometric Theory, 1991, 7, (01), 1-21 View citations (133)

1989

55. Asymptotic relative efficiency of the classical test statistics under misspecification
    Journal of Econometrics, 1989, 42, (3), 351-369 View citations (8)

1985

56. Modelling the Dynamic Relationship between Wages and Prices in Finland
    Scandinavian Journal of Economics, 1985, 87, (1), 102-19 View citations (2)