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1

Comparison of unit root tests for time series with level shifts

MARKKU LANNE, HELMUT LÜTKEPOHL, PENTTI SAIKKONEN

Journal:

Journal of Time Series Analysis

Year:

2002

Language:

english

File:

PDF, 168 KB

english, 2002

2

Predicting U.S. Recessions with Dynamic Binary Response Models

Heikki Kauppi and Pentti Saikkonen

Journal:

Review of Economics and Statistics

Year:

2008

Language:

english

File:

PDF, 2.11 MB

english, 2008

3

A Multivariate Generalized Orthogonal Factor GARCH Model

Lanne, Markku, Saikkonen, Pentti

Journal:

Journal of Business and Economic Statistics

Year:

2007

Language:

english

File:

PDF, 502 KB

english, 2007

4

Testing Linearity Against Smooth Transition Autoregressive Models

Ritva Luukkonen, Pentti Saikkonen and Timo Teräsvirta

Journal:

Year:

1988

Language:

english

File:

PDF, 998 KB

english, 1988

5

TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION

Pentti Saikkonen, Ritva Luukkonen

Journal:

Journal of Time Series Analysis

Year:

1996

Language:

english

File:

PDF, 907 KB

english, 1996

6

Identification and estimation of non-Gaussian structural vector autoregressions

Lanne, Markku, Meitz, Mika, Saikkonen, Pentti

Journal:

Journal of Econometrics

Year:

2017

Language:

english

File:

PDF, 699 KB

english, 2017

7

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time

Pentti Saikkonen and Helmut Lütkepohl

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 3.37 MB

english, 2002

8

Testing for the cointegrating rank of a VAR process with a time trend

Helmut Lütkepohl, Pentti Saikkonen

Journal:

Journal of Econometrics

Year:

2000

Language:

english

File:

PDF, 183 KB

english, 2000

9

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Helmut Lüutkepohl, Pentti Saikkonen, Carsten Trenkler

Journal:

The Econometrics Journal

Year:

2001

Language:

english

File:

PDF, 548 KB

english, 2001

10

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

Pentti Saikkonen and Ritva Luukkonen

Journal:

Journal of the American Statistical Association

Year:

1993

Language:

english

File:

PDF, 1.31 MB

english, 1993

11

Residual autocorrelation testing for vector error correction models

Ralf Brüggemann, Helmut Lütkepohl, Pentti Saikkonen

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 359 KB

english, 2006

12

Impulse response analysis in infinite order cointegrated vector autoregressive processes

Helmut Lütkepohl, Pentti Saikkonen

Journal:

Journal of Econometrics

Year:

1997

Language:

english

File:

PDF, 1.76 MB

english, 1997

13

A REVIEW OF SYSTEMS COINTEGRATION TESTS

Hubrich, Kirstin, Lütkepohl, Helmut, Saikkonen, Pentti

Journal:

Econometric Reviews

Year:

2001

Language:

english

File:

PDF, 681 KB

english, 2001

14

Reducing size distortions of parametric stationarity tests

MARKKU LANNE, PENTTI SAIKKONEN

Journal:

Journal of Time Series Analysis

Year:

2003

Language:

english

File:

PDF, 143 KB

english, 2003

15

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

Markku Lanne, Helmut Lütkepohl, Pentti Saikkonen

Journal:

Oxford Bulletin of Economics and Statistics

Year:

2003

Language:

english

File:

PDF, 212 KB

english, 2003

16

Threshold Autoregressions for Strongly Autocorrelated Time Series

Markku Lanne and Pentti Saikkonen

Journal:

Journal of Business and Economic Statistics

Year:

2002

Language:

english

File:

PDF, 312 KB

english, 2002

17

Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time

Helmut Lütkepohl, Pentti Saikkonen, Carsten Trenkler

Journal:

Year:

2004

Language:

english

File:

PDF, 205 KB

english, 2004

18

Threshold Autoregressions for Strongly Autocorrelated Time Series

Lanne, Markku, Saikkonen, Pentti

Journal:

Journal of Business and Economic Statistics

Year:

2002

Language:

english

File:

PDF, 234 KB

english, 2002

19

Noncausal Autoregressions for Economic Time Series

Lanne, Markku, Saikkonen, Pentti

Journal:

Journal of Time Series Econometrics

Year:

2011

Language:

english

File:

PDF, 621 KB

english, 2011

20

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

Pentti Saikkonen, Helmut Lutkepohl

Journal:

Journal of Time Series Analysis

Year:

2000

Language:

english

File:

PDF, 287 KB

english, 2000

21

Essays in Nonlinear Time Series Econometrics || Modeling Commodity Prices with Dynamic Conditional Beta

Haldrup, Niels, Meitz, Mika, Saikkonen, Pentti

Year:

2014

Language:

english

File:

PDF, 110 KB

english, 2014

22

Asymptotic relative efficiency of the classical test statistics under misspecification

Pentti Saikkonen

Journal:

Journal of Econometrics

Year:

1989

Language:

english

File:

PDF, 1.23 MB

english, 1989

23

A specification strategy for order determination in arma models

de Gooijer, Jan G., Saikkonen, Pentti

Journal:

Communications in Statistics - Simulation and Computation

Year:

1988

Language:

english

File:

PDF, 556 KB

english, 1988

24

Asymptotically Efficient Estimation of Cointegration Regressions

Pentti Saikkonen

Journal:

Econometric Theory

Year:

1991

Language:

english

File:

PDF, 1.86 MB

english, 1991

25

Modelling the Dynamic Relationship between Wages and Prices in Finland

Pentti Saikkonen and Timo Teräsvirta

Journal:

The Scandinavian Journal of Economics

Year:

1985

Language:

english

File:

PDF, 1.50 MB

english, 1985

26

Lagrange Multiplier Tests for Testing Non-Linearities in Time Series Models

Pentti Saikkonen and Ritva Luukkonen

Journal:

Scandinavian Journal of Statistics

Year:

1988

Language:

english

File:

PDF, 1.45 MB

english, 1988

27

A Multivariate Generalized Orthogonal Factor GARCH Model

Markku Lanne and Pentti Saikkonen

Journal:

Journal of Business and Economic Statistics

Year:

2007

Language:

english

File:

PDF, 2.08 MB

english, 2007

28

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

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

2001

Language:

english

File:

PDF, 215 KB

english, 2001

29

An efficient method for the estimation of multivariate moving averge models

Saikkonen, Pentti, Luukkone, Ritva

Journal:

Communication in Statistics- Theory and Methods

Year:

1988

Language:

english

File:

PDF, 438 KB

english, 1988

30

Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

1993

Language:

english

File:

PDF, 1.71 MB

english, 1993

31

Testing linearity in cointegrating smooth transition regressions

In Choi and Pentti Saikkonen

Journal:

The Econometrics Journal

Year:

2004

Language:

english

File:

PDF, 1.98 MB

english, 2004

32

Stability of nonlinear AR-GARCH models

Mika Meitz, Pentti Saikkonen

Journal:

Journal of Time Series Analysis

Year:

2008

Language:

english

File:

PDF, 224 KB

english, 2008

33

Forecasting with a noncausal VAR model

Nyberg, Henri, Saikkonen, Pentti

Journal:

Computational Statistics & Data Analysis

Year:

2014

Language:

english

File:

PDF, 511 KB

english, 2014

34

A Gaussian Mixture Autoregressive Model for Univariate Time Series

Kalliovirta, Leena, Meitz, Mika, Saikkonen, Pentti

Journal:

Journal of Time Series Analysis

Year:

2015

Language:

english

File:

PDF, 482 KB

english, 2015

35

Local Power of Likelihood Ratio Tests for the Cointegrating Rank of a VAR Process

Pentti Saikkonen and Helmut Lütkepohl

Journal:

Econometric Theory

Year:

1999

Language:

english

File:

PDF, 2.66 MB

english, 1999

36

TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

Saikkonen, Pentti, Lütkepohl, Helmut

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 270 KB

english, 2002

37

Point Optimal Tests for Testing the Order of Differencing in Arima Models

Pentti Saikkonen and Ritva Luukkonen

Journal:

Econometric Theory

Year:

1993

Language:

english

File:

PDF, 1.82 MB

english, 1993

38

A lag augmentation test for the cointegrating rank of a VAR process

Helmut Lütkepohl, Pentti Saikkonen

Journal:

Economics Letters

Year:

1999

Language:

english

File:

PDF, 51 KB

english, 1999

39

Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes

Luukkonen, Ritva, Ripatti, Antti, Saikkonen, Pentti

Journal:

Journal of Business and Economic Statistics

Year:

1999

Language:

english

File:

PDF, 1.17 MB

english, 1999

40

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Helmut Lütkepohl, Pentti Saikkonen and Carsten Trenkler

Journal:

The Econometrics Journal

Year:

2001

Language:

english

File:

PDF, 3.14 MB

english, 2001

41

LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS

Saikkonen, Pentti, Lütkepohl, Helmut

Journal:

Econometric Theory

Year:

1999

Language:

english

File:

PDF, 504 KB

english, 1999

42

Stability results for nonlinear error correction models

Pentti Saikkonen

Journal:

Journal of Econometrics

Year:

2005

Language:

english

File:

PDF, 270 KB

english, 2005

43

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

Pentti Saikkonen

Journal:

International Statistical Review

Year:

2008

Language:

english

File:

PDF, 109 KB

english, 2008

44

A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root

Pentti Saikkonen

Journal:

Econometric Theory

Year:

1993

Language:

english

File:

PDF, 548 KB

english, 1993

45

Testing linearity against smooth transition autoregressive models

LUUKKONEN, RITVA, SAIKKONEN, PENTTI, TERÄSVIRTA, TIMO

Journal:

Year:

1988

Language:

english

File:

PDF, 474 KB

english, 1988

46

Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes

Ritva Luukkonen, Antti Ripatti and Pentti Saikkonen

Journal:

Journal of Business and Economic Statistics

Year:

1999

Language:

english

File:

PDF, 469 KB

english, 1999

47

Testing Linearity in Univariate Time Series Models

Ritva Luukkonen, Pentti Saikkonen and Timo Teräsvirta

Journal:

Scandinavian Journal of Statistics

Year:

1988

Language:

english

File:

PDF, 1.58 MB

english, 1988

48

Modeling Expectations with Noncausal Autoregressions

Lanne, Markku, Saikkonen, Pentti

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 339 KB

english, 2008

49

Testing cointegration in infinite order vector autoregressive processes

Pentti Saikkonen, Ritva Luukkonen

Journal:

Journal of Econometrics

Year:

1997

Language:

english

File:

PDF, 2.05 MB

english, 1997

50

Optimal forecasting of noncausal autoregressive time series

Markku Lanne, Jani Luoto, Pentti Saikkonen

Journal:

International Journal of Forecasting

Year:

2012

Language:

english

File:

PDF, 291 KB

english, 2012

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