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Details about Timo Teräsvirta

E-mail:
Phone:+45 8716 5563
Postal address:CREATES Aarhus University Fuglesangs Allé 4 DK-8210 Aarhus V Denmark
Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

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Working Papers

2014

  1. A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
  2. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2014) Downloads
  3. Linearity and Misspecification Tests for Vector Smooth Transition Regression Models
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (3)
  4. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (5)

2013

  1. Thresholds and Smooth Transitions in Vector Autoregressive Models
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (3)

2012

  1. Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
  2. Modelling Changes in the Unconditional Variance of Long Stock Return Series
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (3)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2012) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2014)
  3. Modelling conditional correlations of asset returns: A smooth transition approach
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (6)
  4. Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2008) Downloads View citations (2)
  5. Unit roots, nonlinearities and structural breaks
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (1)

2011

  1. Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (1)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2011) Downloads View citations (1)
  2. Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (1)
  3. Forecasting inflation with gradual regime shifts and exogenous information
    Working Paper Series, European Central Bank Downloads View citations (3)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) Downloads View citations (2)
  4. Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
    See also Journal Article in International Journal of Forecasting (2014)
  5. Modelling Volatility by Variance Decomposition
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (2)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2011) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2013)
  6. Nonlinear models for autoregressive conditional heteroskedasticity
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads

2010

  1. Forecasting with nonlinear time series models
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (9)

2008

  1. Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (10)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2008) Downloads View citations (14)
    CREATES Research Papers, School of Economics and Management, University of Aarhus (2008) Downloads View citations (9)
  2. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (3)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2007) View citations (4)

    See also Journal Article in Journal of Financial Econometrics (2009)
  3. Multivariate GARCH models
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (12)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2008) Downloads View citations (59)
  4. Parameterizing unconditional skewness in models for financial time series
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (3)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (5)

    See also Journal Article in Journal of Financial Econometrics (2008)
  5. Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models
    Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in Finance Research Letters (2008)
  6. Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (2)
    See also Journal Article in Econometrics Journal (2009)

2007

  1. Modelling autoregressive processes with a shifting mean
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    Also in BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA (2006) Downloads View citations (2)
    Borradores de Economia, Banco de la Republica de Colombia Downloads

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)
  2. Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
    See also Journal Article in Applied Financial Economics (2011)

2006

  1. An introduction to univariate GARCH models
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (6)
  2. Testing constancy of the error covariance matrix in vector models
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2007)

2005

  1. Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (8)
  2. Forecasting economic variables with nonlinear models
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (2)
    See also Chapter (2006)
  3. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (26)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2005) Downloads View citations (17)
  4. Panel Smooth Transition Regression Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (46)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2005) Downloads View citations (67)
  5. Simulation-based finite-sample linearity test against smooth transition models
    Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)
  6. Testing parameter constancy in stationary vector autoregressive models against continuous change
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    See also Journal Article in Econometric Reviews (2009)
  7. Univariate nonlinear time series models
    Working Paper Series in Economics and Finance, Stockholm School of Economics

2004

  1. A Time Series Model for an Exchange Rate in a Target Zone with Applications
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2003) View citations (3)

    See also Journal Article in Journal of Econometrics (2006)
  2. Evaluating models of autoregressive conditional duration
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (3)
    See also Journal Article in Journal of Business & Economic Statistics (2006)
  3. Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2004) View citations (1)

    See also Journal Article in International Journal of Forecasting (2005)
  4. Stylized Facts of Financial Time Series and Three Popular Models of Volatility
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (10)
  5. The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001) Downloads

    See also Journal Article in Econometrics Journal (2003)

2003

  1. Common factors in conditional distributions for Bivariate time series
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2006)

2002

  1. An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure
    Working Paper Series in Economics and Finance, Stockholm School of Economics
  2. An application of the analogy between vector ARCH and vector random coefficient autoregressive models
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (4)
  3. Building Neural Network Models for Time Series: A Statistical Approach
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) Downloads View citations (1)

    See also Journal Article in Journal of Forecasting (2006)
  4. Common Factors in Conditional Distributions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (5)
  5. Error correction in DHSY
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads

2001

  1. Evaluating GARCH models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2002)
  2. Smooth Transition Autoregressive Models - A Survey of Recent Developments
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (69)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (12)

    See also Journal Article in Econometric Reviews (2002)
  3. Statistical methods for modelling neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads

2000

  1. A simple variable selection technique for nonlinear models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (7)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) Downloads View citations (10)
  2. Forecasting with smooth transition autoregressive models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
  3. Time-Varying Smooth Transition Autoregressive Models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2003)

1999

  1. A General Framework for Testing the Granger Noncausality Hypothesis
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (6)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (1999) View citations (7)
  2. Fourth Moment Structure of a Family of First-Order Exponential GARCH Models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (1999) View citations (2)
  3. Higher-order dependence in the general Power ARCH process and a special case
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (6)
  4. Modelling Economic High-Frequency Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  5. Modelling asymmetries and moving equilibria in unemployment rates
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (26)
  6. THE NET BARTER TERMS OF TRADE: A SMOOTH TRANSITION APPROACH
    Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in International Journal of Finance & Economics (2003)

1998

  1. A nonlinear time series model of El Niño
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (9)
  2. A simple nonlinear time series model with misleading linear properties
    Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in Economics Letters (1999)
  3. Modelling economic high-frequency time series with STAR-STGARCH models
    Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (8)
  4. Nonlinear error-correction and the UK demand for broad money, 1878-1993
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2001)

1997

  1. Fourth Moment Structure of the GARCH (p, q) Process
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
  2. Properties of Moments of a Family of GARCH Processes
    Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in Journal of Econometrics (1999)
  3. Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints
    Working Paper Series in Economics and Finance, Stockholm School of Economics
  4. Statistical Properties of the Asymmetric Power ARCH Process
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)
  5. Testing Linearity against Nonlinear Moving Average Models
    Umeå Economic Studies, Umeå University, Department of Economics
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (1996)

1996

  1. Another Look at Swedish Business Cycles, 1861-1988
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (1996) Downloads

    See also Journal Article in Journal of Applied Econometrics (1999)
  2. Modelling Economic Relationships with Smooth Transition Regressions
    Working Paper Series in Economics and Finance, Stockholm School of Economics
  3. Modelling the Demand for M3 in the Unified Germany
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (1996) View citations (9)

    See also Journal Article in The Review of Economics and Statistics (1998)
  4. Power Properties of Linearity Tests for Time Series
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1996)
  5. Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finland's Great Depression
    Discussion Papers, The Research Institute of the Finnish Economy Downloads View citations (1)
  6. Smooth Transition Models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
  7. Stylized Facts of Daily Return Series and the Hidden Markov Model
    Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in Journal of Applied Econometrics (1998)
  8. Two Stylized Facts and the Garch (1,1) Model
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)

1995

  1. Investigating Stability and Linearity of a German M1 Money Demand Function
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (1995) View citations (7)

    See also Journal Article in Journal of Applied Econometrics (1999)
  2. Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (1995)

    See also Journal Article in Journal of Econometrics (1999)
  3. Testing Parameter Constancy and super Exogeneity in Econometric Equations
    Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
  4. Testing the Adequacy of Smooth Transition Autoregressive Models
    Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article in Journal of Econometrics (1996)

1991

  1. Forecasting the Outputof Finnish Forest Industries Using Business Survey Data
    Discussion Papers, The Research Institute of the Finnish Economy Downloads

1989

  1. How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production?
    Discussion Papers, The Research Institute of the Finnish Economy Downloads
  2. Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis
    Discussion Papers, The Research Institute of the Finnish Economy Downloads

1988

  1. A Review of PC-GIVE: A Statistical Package for Econometric Modelling
    Discussion Papers, The Research Institute of the Finnish Economy Downloads
  2. Testing Linearity of Economic Time Series against Cyclical A symmetry
    Discussion Papers, The Research Institute of the Finnish Economy Downloads
    See also Journal Article in Annales d'Economie et de Statistique (1991)

Undated

  1. Some results on improving the least squares estimation of linear models by mixed estimation
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  2. The polynomial distributed lag revisited
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Empirical Economics (1980)

Journal Articles

2014

  1. Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009
    International Journal of Forecasting, 2014, 30, (3), 616-631 Downloads
    See also Working Paper (2011)
  2. Modelling changes in the unconditional variance of long stock return series
    Journal of Empirical Finance, 2014, 25, (C), 15-35 Downloads
    See also Working Paper (2012)

2013

  1. Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques
    Finnish Economic Papers, 2013, 26, (1), 13-24 Downloads
  2. Modelling volatility by variance decomposition
    Journal of Econometrics, 2013, 175, (2), 142-153 Downloads View citations (5)
    See also Working Paper (2011)

2011

  1. Stylized facts of return series, robust estimates and three popular models of volatility
    Applied Financial Economics, 2011, 21, (1-2), 67-94 Downloads View citations (4)
    See also Working Paper (2007)

2010

  1. Sir Clive William John Granger, 1934-2009
    New Zealand Economic Papers, 2010, 44, (2), 121-127 Downloads
  2. Working With Clive Granger: Two Short Memories
    Journal of Financial Econometrics, 2010, 8, (2), 191-192 Downloads

2009

  1. Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
    Journal of Financial Econometrics, 2009, 7, (4), 373-411 Downloads View citations (19)
    See also Working Paper (2008)
  2. Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
    Econometric Reviews, 2009, 28, (1-3), 225-245 Downloads View citations (6)
    See also Working Paper (2005)
  3. Testing for volatility interactions in the Constant Conditional Correlation GARCH model
    Econometrics Journal, 2009, 12, (1), 147-163 Downloads View citations (12)
    See also Working Paper (2008)

2008

  1. Modelling Autoregressive Processes with a Shifting Mean
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 1-28 Downloads View citations (4)
    See also Working Paper (2007)
  2. Parameterizing Unconditional Skewness in Models for Financial Time Series
    Journal of Financial Econometrics, 2008, 6, (2), 208-230 Downloads View citations (3)
    See also Working Paper (2008)
  3. Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
    Finance Research Letters, 2008, 5, (2), 88-95 Downloads View citations (8)
    See also Working Paper (2008)

2007

  1. Testing constancy of the error covariance matrix in vector models
    Journal of Econometrics, 2007, 140, (2), 753-780 Downloads View citations (3)
    See also Working Paper (2006)

2006

  1. A time series model for an exchange rate in a target zone with applications
    Journal of Econometrics, 2006, 131, (1-2), 579-609 Downloads View citations (20)
    See also Working Paper (2004)
  2. Building neural network models for time series: a statistical approach
    Journal of Forecasting, 2006, 25, (1), 49-75 Downloads View citations (24)
    See also Working Paper (2002)
  3. Common factors in conditional distributions for bivariate time series
    Journal of Econometrics, 2006, 132, (1), 43-57 Downloads View citations (24)
    See also Working Paper (2003)
  4. Evaluating Models of Autoregressive Conditional Duration
    Journal of Business & Economic Statistics, 2006, 24, 104-124 Downloads View citations (28)
    See also Working Paper (2004)
  5. Simulation-based Finite Sample Linearity Test against Smooth Transition Models
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 797-812 Downloads View citations (3)
    See also Working Paper (2005)

2005

  1. Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
    International Journal of Forecasting, 2005, 21, (4), 755-774 Downloads View citations (30)
    See also Working Paper (2004)
  2. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783 Downloads

2003

  1. The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
    Econometrics Journal, 2003, 6, (1), 79-98 Downloads View citations (18)
    See also Working Paper (2004)
  2. The net barter terms of trade: A smooth transition approach
    International Journal of Finance & Economics, 2003, 8, (1), 81-97 Downloads View citations (3)
    See also Working Paper (1999)
  3. Time-Varying Smooth Transition Autoregressive Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 104-21 View citations (51)
    See also Working Paper (2000)

2002

  1. Evaluating GARCH models
    Journal of Econometrics, 2002, 110, (2), 417-435 Downloads View citations (45)
    See also Working Paper (2001)
  2. Long memory and nonlinear time series
    Journal of Econometrics, 2002, 110, (2), 105-112 Downloads View citations (6)
  3. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
    Econometric Reviews, 2002, 21, (1), 1-47 Downloads View citations (185)
    See also Working Paper (2001)

2001

  1. Non-linear error correction and the UK demand for broad money, 1878-1993
    Journal of Applied Econometrics, 2001, 16, (3), 277-288 Downloads View citations (13)
    See also Working Paper (1998)

1999

  1. A simple nonlinear time series model with misleading linear properties
    Economics Letters, 1999, 62, (2), 161-165 Downloads View citations (61)
    See also Working Paper (1998)
  2. Another Look at Swedish Business Cycles, 1861-1988
    Journal of Applied Econometrics, 1999, 14, (4), 359-78 Downloads View citations (17)
    See also Working Paper (1996)
  3. Investigating Stability and Linearity of a German M1 Money Demand Function
    Journal of Applied Econometrics, 1999, 14, (5), 511-25 Downloads View citations (28)
    See also Working Paper (1995)
  4. Properties of moments of a family of GARCH processes
    Journal of Econometrics, 1999, 92, (1), 173-192 Downloads View citations (59)
    See also Working Paper (1997)
  5. Testing parameter constancy in linear models against stochastic stationary parameters
    Journal of Econometrics, 1999, 90, (2), 193-213 Downloads View citations (3)
    See also Working Paper (1995)

1998

  1. Comment on N. R. Ericsson, D. F. Hendry and K. M. Prestwich, "The Demand for Broad Money in the United Kingdom, 1878-1993."
    Scandinavian Journal of Economics, 1998, 100, (1), 325-38 Downloads
  2. Modeling The Demand For M3 In The Unified Germany
    The Review of Economics and Statistics, 1998, 80, (3), 399-409 Downloads View citations (27)
    See also Working Paper (1996)
  3. Stylized facts of daily return series and the hidden Markov model
    Journal of Applied Econometrics, 1998, 13, (3), 217-244 Downloads View citations (53)
    See also Working Paper (1996)

1997

  1. The International Institute of Forecasters Award for the Best Forecasting Paper
    International Journal of Forecasting, 1997, 13, (4), 591-592 Downloads

1996

  1. Power Properties of Linearity Tests for Time Series
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (1), 1-10 Downloads View citations (4)
    See also Working Paper (1996)
  2. Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993
    International Journal of Forecasting, 1996, 12, (3), 373-381 Downloads
  3. Testing Parameter Constancy and Super Exogeneity in Econometric Equations
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 735-63 View citations (60)
    See also Working Paper (1995)
  4. Testing the adequacy of smooth transition autoregressive models
    Journal of Econometrics, 1996, 74, (1), 59-75 Downloads View citations (270)
    See also Working Paper (1995)

1995

  1. Modelling Nonlinearity in U.S. Gross National Product 1889-1987
    Empirical Economics, 1995, 20, (4), 577-97 View citations (1)
  2. Professor Clive W.J. Granger: An interview for the International Journal of Forecasting
    International Journal of Forecasting, 1995, 11, (4), 585-590 Downloads

1994

  1. Testing the constancy of regression parameters against continuous structural change
    Journal of Econometrics, 1994, 62, (2), 211-228 Downloads View citations (142)
  2. The combination of forecasts using changing weights
    International Journal of Forecasting, 1994, 10, (1), 47-57 Downloads View citations (41)

1992

  1. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 Downloads View citations (298)

1991

  1. Testing Linearity of Economic Time Series against Cyclical Asymmetry
    Annales d'Economie et de Statistique, 1991, (20-21), 125-142 Downloads View citations (2)
    See also Working Paper (1988)

1990

  1. Use of preliminary values in forecasting industrial production
    International Journal of Forecasting, 1990, 6, (4), 463-468 Downloads

1988

  1. Formation of Firms' Production Decisions in Finnish Manufacturing Industries
    Journal of Applied Econometrics, 1988, 3, (2), 125-37 Downloads

1987

  1. The extended Stein procedure for simultaneous model selection and parameter estimation
    Journal of Econometrics, 1987, 35, (2-3), 375-391 Downloads View citations (1)
  2. Usefulness of proxy variables in linear models with stochastic regressors
    Journal of Econometrics, 1987, 36, (3), 377-382 Downloads

1985

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

1982

  1. Underestimation of mean square error matrix in misspecified linear models
    Journal of Econometrics, 1982, 18, (2), 281-284 Downloads

1980

  1. The Polynomial Distributed Lag Revisited
    Empirical Economics, 1980, 5, (2), 69-81
    See also Working Paper

1976

  1. A Note on Bias in the Almon Distributed Lag Estimator
    Econometrica, 1976, 44, (6), 1317-21 Downloads
  2. Forecasting the consumption of alcoholic beverages in Finland: A box-Jenkins approach
    European Economic Review, 1976, 8, (4), 349-369 Downloads

Books

2010

  1. Modelling Nonlinear Economic Time Series
    OUP Catalogue, Oxford University Press View citations (19)

1993

  1. Modelling Non-Linear Economic Relationships
    OUP Catalogue, Oxford University Press View citations (81)

Edited books

2006

  1. Nonlinear Econometric Modeling in Time Series
    Cambridge Books, Cambridge University Press

2000

  1. Nonlinear Econometric Modeling in Time Series
    Cambridge Books, Cambridge University Press View citations (2)

Chapters

2006

  1. Forecasting economic variables with nonlinear models
    Elsevier Downloads View citations (10)
    See also Working Paper (2005)

1993

  1. Modeling Nonlinearity over the Business Cycle
    A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 311-326 Downloads View citations (14)

1986

  1. Aspects of modelling nonlinear time series
    Chapter 48 in Handbook of Econometrics, 1986, vol. 4, pp 2917-2957 Downloads View citations (4)

Software Items

 
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