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Details about Pentti Saikkonen

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Workplace:Helsingin yliopisto, Matematiikan ja tilastotieteen laitos

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Last updated 2019-08-06. Update your information in the RePEc Author Service.

Short-id: psa958


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Working Papers

2019

  1. Stationarity and ergodicity of vector STAR models
    Papers, arXiv.org Downloads
  2. Subgeometric ergodicity and $\beta$-mixing
    Papers, arXiv.org Downloads
  3. Subgeometrically ergodic autoregressions
    Papers, arXiv.org Downloads

2018

  1. A mixture autoregressive model based on Student's $t$-distribution
    Papers, arXiv.org Downloads
    Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2018) Downloads
  2. Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads

2017

  1. Testing for observation-dependent regime switching in mixture autoregressive models
    Papers, arXiv.org Downloads

2015

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

2013

  1. Testing for a unit root in noncausal autoregressive models
    Research Discussion Papers, Bank of Finland Downloads
    See also Journal Article in Journal of Time Series Analysis (2016)

2012

  1. Forecasting with a noncausal VAR model
    Research Discussion Papers, Bank of Finland Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2014)
  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 Downloads 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 Downloads
  4. Testing for Predictability in a Noninvertible ARMA Model
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads

2010

  1. 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 Downloads View citations (2)
    See also Journal Article in Statistics & Probability Letters (2010)
  2. Noncausal Vector Autoregression
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    Also in Research Discussion Papers, Bank of Finland (2009) Downloads View citations (5)

    See also Journal Article in Econometric Theory (2013)
  3. Noncausal autoregressions for economic time series
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Journal of Time Series Econometrics (2011)
  4. Optimal Forecasting of Noncausal Autoregressive Time Series
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
    See also Journal Article in International Journal of Forecasting (2012)
  5. Parameter estimation in nonlinear AR–GARCH models
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads
    Also in Economics Working Papers, European University Institute (2008) Downloads View citations (1)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (7)
    Economics Series Working Papers, University of Oxford, Department of Economics (2008) Downloads View citations (1)

    See also Journal Article in Econometric Theory (2011)

2009

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

2008

  1. Modeling Expectations with Noncausal Autoregressions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in Economics Working Papers, European University Institute (2008) Downloads View citations (6)
  2. Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
    Economics Working Papers, European University Institute Downloads View citations (4)
    See also Journal Article in Econometrics Journal (2009)

2007

  1. Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (9)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2007) Downloads View citations (3)

    See also Journal Article in Econometric Theory (2008)
  2. Stability of nonlinear AR-GARCH models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (4)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (2)
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2006) Downloads View citations (2)

    See also Journal Article in Journal of Time Series Analysis (2008)

2006

  1. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in Economics Working Papers, European University Institute (2006) Downloads

    See also Journal Article in Journal of Time Series Analysis (2008)

2005

  1. A Multivariate Generalized Orthogonal Factor GARCH Model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
  2. Modeling Conditional Skewness in Stock Returns
    Economics Working Papers, European University Institute Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2007)

2004

  1. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (2)
  2. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    Economics Working Papers, European University Institute Downloads View citations (11)
  3. Residual Autocorrelation Testing for Vector Error Correction Models
    Economics Working Papers, European University Institute Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2006)

2002

  1. Comparison of Unit Root Tests for Time Series with Level Shifts
    MPRA Paper, University Library of Munich, Germany Downloads View citations (171)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) Downloads View citations (6)

    See also Journal Article in Journal of Time Series Analysis (2002)
  2. 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 Downloads View citations (1)
    See also Journal Article in Econometrics Journal (2005)

2001

  1. 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) Downloads

    See also Journal Article in Journal of Financial Econometrics (2003)
  2. 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 Downloads View citations (1)
  3. 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 Downloads View citations (16)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  4. 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 Downloads View citations (1)
    See also Journal Article in Econometrica (2004)
  5. 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 Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2000)
  6. 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 Downloads View citations (1)

2000

  1. 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 Downloads
  2. Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (41)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (38)

    See also Journal Article in Journal of Econometrics (2003)
  3. 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 Downloads View citations (11)
    See also Journal Article in Econometrics Journal (2001)
  4. 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 Downloads View citations (1)
    See also Journal Article in Journal of Time Series Analysis (2003)
  5. 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 Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) Downloads View citations (1)

    See also Journal Article in Econometric Theory (2002)
  6. 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

  1. On the estimation of Euler equations in the presence of a potential regime shift
    Research Discussion Papers, Bank of Finland Downloads View citations (2)
    See also Journal Article in Manchester School (2000)
  2. 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 Downloads View citations (1)
  3. 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 Downloads View citations (2)

1998

  1. A review of systemscointegration tests
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2001)
  2. Cointegrated vector autoregressive processes with continuous structural changes
    Research Discussion Papers, Bank of Finland Downloads View citations (1)
  3. 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 Downloads
    See also Journal Article in Econometric Theory (2000)

1997

  1. 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 Downloads
    See also Journal Article in Econometric Theory (1999)
  2. 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 Downloads
  3. 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)
  4. 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 Downloads View citations (2)

1995

  1. 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
  2. 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 (2)
    See also Journal Article in Journal of Econometrics (1997)

Journal Articles

2017

  1. Identification and estimation of non-Gaussian structural vector autoregressions
    Journal of Econometrics, 2017, 196, (2), 288-304 Downloads View citations (16)
    See also Working Paper (2015)

2016

  1. Gaussian mixture vector autoregression
    Journal of Econometrics, 2016, 192, (2), 485-498 Downloads View citations (11)
  2. Testing for a Unit Root in Noncausal Autoregressive Models
    Journal of Time Series Analysis, 2016, 37, (1), 99-125 Downloads View citations (5)
    See also Working Paper (2013)

2015

  1. A Gaussian Mixture Autoregressive Model for Univariate Time Series
    Journal of Time Series Analysis, 2015, 36, (2), 247-266 Downloads View citations (13)

2014

  1. Forecasting with a noncausal VAR model
    Computational Statistics & Data Analysis, 2014, 76, (C), 536-555 Downloads View citations (6)
    See also Working Paper (2012)

2013

  1. Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
    Journal of Multivariate Analysis, 2013, 114, (C), 227-255 Downloads View citations (8)
    See also Working Paper (2012)
  2. NONCAUSAL VECTOR AUTOREGRESSION
    Econometric Theory, 2013, 29, (03), 447-481 Downloads View citations (22)
    See also Working Paper (2010)
  3. Testing for Linear and Nonlinear Predictability of Stock Returns
    Journal of Financial Econometrics, 2013, 11, (4), 682-705 Downloads View citations (2)

2012

  1. Optimal forecasting of noncausal autoregressive time series
    International Journal of Forecasting, 2012, 28, (3), 623-631 Downloads View citations (30)
    See also Working Paper (2010)

2011

  1. GMM Estimation with Non‐causal Instruments
    Oxford Bulletin of Economics and Statistics, 2011, 73, (5), 581-592 Downloads
    See also Working Paper (2009)
  2. Noncausal Autoregressions for Economic Time Series
    Journal of Time Series Econometrics, 2011, 3, (3), 1-32 Downloads View citations (41)
    See also Working Paper (2010)
  3. PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
    Econometric Theory, 2011, 27, (06), 1236-1278 Downloads View citations (13)
    See also Working Paper (2010)

2010

  1. A note on the geometric ergodicity of a nonlinear AR-ARCH model
    Statistics & Probability Letters, 2010, 80, (7-8), 631-638 Downloads View citations (2)
    See also Working Paper (2010)
  2. TESTS FOR NONLINEAR COINTEGRATION
    Econometric Theory, 2010, 26, (03), 682-709 Downloads View citations (23)

2009

  1. Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
    Econometrics Journal, 2009, 12, (3), 414-435 Downloads View citations (6)
    See also Working Paper (2008)

2008

  1. 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 Downloads View citations (33)
    See also Working Paper (2007)
  2. Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters
    International Statistical Review, 2008, 76, (1), 151-152 Downloads
  3. Predicting U.S. Recessions with Dynamic Binary Response Models
    The Review of Economics and Statistics, 2008, 90, (4), 777-791 Downloads View citations (77)
  4. STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
    Econometric Theory, 2008, 24, (01), 294-318 Downloads View citations (17)
  5. Stability of nonlinear AR‐GARCH models
    Journal of Time Series Analysis, 2008, 29, (3), 453-475 Downloads View citations (14)
    See also Working Paper (2007)
  6. 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 Downloads View citations (15)
    See also Working Paper (2006)

2007

  1. A Multivariate Generalized Orthogonal Factor GARCH Model
    Journal of Business & Economic Statistics, 2007, 25, 61-75 Downloads View citations (56)
    See also Working Paper (2005)
  2. Modeling Conditional Skewness in Stock Returns
    The European Journal of Finance, 2007, 13, (8), 691-704 Downloads View citations (10)
    See also Working Paper (2005)

2006

  1. BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
    Econometric Theory, 2006, 22, (01), 15-68 Downloads View citations (13)
  2. Residual autocorrelation testing for vector error correction models
    Journal of Econometrics, 2006, 134, (2), 579-604 Downloads View citations (19)
    See also Working Paper (2004)
  3. Why is it so difficult to uncover the risk-return tradeoff in stock returns?
    Economics Letters, 2006, 92, (1), 118-125 Downloads View citations (30)

2005

  1. Non-linear GARCH models for highly persistent volatility
    Econometrics Journal, 2005, 8, (2), 251-276 Downloads View citations (18)
    See also Working Paper (2002)
  2. Stability results for nonlinear error correction models
    Journal of Econometrics, 2005, 127, (1), 69-81 Downloads View citations (25)

2004

  1. COINTEGRATING SMOOTH TRANSITION REGRESSIONS
    Econometric Theory, 2004, 20, (02), 301-340 Downloads View citations (60)
  2. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Econometrica, 2004, 72, (2), 647-662 Downloads View citations (55)
    See also Working Paper (2001)
  3. Testing linearity in cointegrating smooth transition regressions
    Econometrics Journal, 2004, 7, (2), 341-365 Downloads View citations (71)

2003

  1. Comparison of tests for the cointegrating rank of a VAR process with a structural shift
    Journal of Econometrics, 2003, 113, (2), 201-229 Downloads View citations (23)
    See also Working Paper (2000)
  2. Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
    Journal of Financial Econometrics, 2003, 1, (1), 96-125 View citations (25)
    See also Working Paper (2001)
  3. Reducing size distortions of parametric stationarity tests
    Journal of Time Series Analysis, 2003, 24, (4), 423-439 Downloads View citations (5)
    See also Working Paper (2000)
  4. 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 Downloads View citations (57)
    See also Working Paper (2001)

2002

  1. Comparison of unit root tests for time series with level shifts
    Journal of Time Series Analysis, 2002, 23, (6), 667-685 Downloads View citations (11)
    See also Working Paper (2002)
  2. TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
    Econometric Theory, 2002, 18, (02), 313-348 Downloads View citations (149)
    See also Working Paper (2000)
  3. Threshold Autoregressions for Strongly Autocorrelated Time Series
    Journal of Business & Economic Statistics, 2002, 20, (2), 282-89 View citations (8)
    See also Working Paper (2000)

2001

  1. A REVIEW OF SYSTEMS COINTEGRATION TESTS
    Econometric Reviews, 2001, 20, (3), 247-318 Downloads View citations (60)
    See also Working Paper (1998)
  2. CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS
    Econometric Theory, 2001, 17, (02), 296-326 Downloads View citations (6)
  3. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations (56)
    See also Working Paper (2000)
  4. STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS
    Econometric Theory, 2001, 17, (02), 327-356 Downloads View citations (5)

2000

  1. On the Estimation of Euler Equations in the Presence of a Potential Regime Shift
    Manchester School, 2000, 68, 92-121 Downloads View citations (6)
    See also Working Paper (1999)
  2. TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
    Econometric Theory, 2000, 16, (03), 373-406 Downloads View citations (157)
    See also Working Paper (1998)
  3. Testing for the Cointegrating Rank of a VAR Process with Structural Shifts
    Journal of Business & Economic Statistics, 2000, 18, (4), 451-64 View citations (176)
    See also Working Paper (2001)
  4. Testing for the cointegrating rank of a VAR process with a time trend
    Journal of Econometrics, 2000, 95, (1), 177-198 Downloads View citations (140)
    See also Working Paper (1997)
  5. Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
    Journal of Time Series Analysis, 2000, 21, (4), 435-456 Downloads View citations (2)

1999

  1. A lag augmentation test for the cointegrating rank of a VAR process
    Economics Letters, 1999, 63, (1), 23-27 Downloads View citations (4)
  2. LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
    Econometric Theory, 1999, 15, (01), 50-78 Downloads View citations (34)
    See also Working Paper (1997)
  3. Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes
    Journal of Business & Economic Statistics, 1999, 17, (2), 195-204 View citations (12)
  4. Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
    Econometric Reviews, 1999, 18, (3), 235-257 Downloads View citations (8)

1997

  1. Impulse response analysis in infinite order cointegrated vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 127-157 Downloads View citations (26)
    See also Working Paper (1995)
  2. Testing cointegration in infinite order vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 93-126 Downloads View citations (64)

1996

  1. Infinite-Order Cointegrated Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (05), 814-844 Downloads View citations (23)
  2. Power of the Lagrange multiplier test for testing an autoregressive unit root
    Economics Letters, 1996, 51, (1), 27-35 Downloads
  3. TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
    Journal of Time Series Analysis, 1996, 17, (5), 481-496 Downloads

1995

  1. Dependent versions of a central limit theorem for the squared length of a sample mean
    Statistics & Probability Letters, 1995, 22, (3), 185-194 Downloads
  2. Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems
    Econometric Theory, 1995, 11, (05), 888-911 Downloads View citations (24)

1993

  1. A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
    Econometric Theory, 1993, 9, (03), 494-498 Downloads View citations (1)
  2. 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 Downloads View citations (8)
  3. Estimation of Cointegration Vectors with Linear Restrictions
    Econometric Theory, 1993, 9, (01), 19-35 Downloads View citations (21)
  4. Point Optimal Tests for Testing the Order of Differencing in ARIMA Models
    Econometric Theory, 1993, 9, (03), 343-362 Downloads View citations (17)

1992

  1. Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation
    Econometric Theory, 1992, 8, (01), 1-27 Downloads View citations (147)

1991

  1. Asymptotically Efficient Estimation of Cointegration Regressions
    Econometric Theory, 1991, 7, (01), 1-21 Downloads View citations (461)

1989

  1. Asymptotic relative efficiency of the classical test statistics under misspecification
    Journal of Econometrics, 1989, 42, (3), 351-369 Downloads View citations (19)

1986

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

1983

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

Edited books

2014

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