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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

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

3

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

4

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

5

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

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

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

8

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

9

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

10

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

11

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

12

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

13

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

14

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

15

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

16

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

17

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

18

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

19

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

20

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

21

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

22

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

23

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

24

Asymptotically Efficient Estimation of Cointegration Regressions

Pentti Saikkonen

Journal:

Econometric Theory

Year:

1991

Language:

english

File:

PDF, 1.86 MB

english, 1991

25

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

26

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

27

Dependent versions of a central limit theorem for the squared length of a sample mean

Pentti Saikkonen

Journal:

Statistics & Probability Letters

Year:

1995

Language:

english

File:

PDF, 563 KB

english, 1995

28

Stability results for nonlinear error correction models

Pentti Saikkonen

Journal:

Journal of Econometrics

Year:

2005

Language:

english

File:

PDF, 270 KB

english, 2005

29

A note on the geometric ergodicity of a nonlinear AR-ARCH model

Mika Meitz, Pentti Saikkonen

Journal:

Statistics & Probability Letters

Year:

2010

Language:

english

File:

PDF, 582 KB

english, 2010

30

Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Helmut Lütkepohl, Pentti Saikkonen, Carsten Trenkler

Journal:

Journal of Econometrics

Year:

2003

Language:

english

File:

PDF, 384 KB

english, 2003

31

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

32

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift

Pentti Saikkonen, Antti Ripatti

Journal:

The Manchester School

Year:

2000

Language:

english

File:

PDF, 872 KB

english, 2000

33

Non-linear GARCH models for highly persistent volatility

Markku Lanne, Pentti Saikkonen

Journal:

The Econometrics Journal

Year:

2005

Language:

english

File:

PDF, 398 KB

english, 2005

34

Testing linearity in cointegrating smooth transition regressions

In Choi, Pentti Saikkonen

Journal:

The Econometrics Journal

Year:

2004

Language:

english

File:

PDF, 189 KB

english, 2004

35

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Matei Demetrescu, Helmut Lütkepohl, Pentti Saikkonen

Journal:

The Econometrics Journal

Year:

2009

Language:

english

File:

PDF, 198 KB

english, 2009

36

ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS

Pentti Saikkonen

Journal:

Journal of Time Series Analysis

Year:

1983

Language:

english

File:

PDF, 506 KB

english, 1983

37

ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS

Pentti Saikkonen

Journal:

Journal of Time Series Analysis

Year:

1986

Language:

english

File:

PDF, 1.04 MB

english, 1986

38

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

39

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

Carsten Trenkler, Pentti Saikkonen, Helmut Lütkepohl

Journal:

Journal of Time Series Analysis

Year:

2008

Language:

english

File:

PDF, 742 KB

english, 2008

40

GMM Estimation with Non-causal Instruments

Markku Lanne, Pentti Saikkonen

Journal:

Oxford Bulletin of Economics and Statistics

Year:

2011

Language:

english

File:

PDF, 598 KB

english, 2011

41

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

42

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

43

Why is it so difficult to uncover the risk–return tradeoff in stock returns?

Markku Lanne, Pentti Saikkonen

Journal:

Economics Letters

Year:

2006

Language:

english

File:

PDF, 265 KB

english, 2006

44

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

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

Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity

Mika Meitz, Pentti Saikkonen

Journal:

Journal of Multivariate Analysis

Year:

2013

Language:

english

File:

PDF, 423 KB

english, 2013

47

Modeling Conditional Skewness in Stock Returns

Lanne, Markku, Pentti, Saikkonen

Journal:

European Journal of Finance

Year:

2007

Language:

english

File:

PDF, 215 KB

english, 2007

48

Testing for the Cointegrating Rank of a VAR Process With Structural Shifts

Saikkonen, Pentti, Lütkepohl, Helmut

Journal:

Journal of Business and Economic Statistics

Year:

2000

Language:

english

File:

PDF, 1.12 MB

english, 2000

49

COINTEGRATING SMOOTH TRANSITION REGRESSIONS

Saikkonen, Pentti, Choi, In

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 471 KB

english, 2004

50

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