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51

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

52

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

Pentti Saikkonen and Helmut Lütkepohl

Journal:

Journal of Business and Economic Statistics

Year:

2000

Language:

english

File:

PDF, 510 KB

english, 2000

53

Introduction to Modern Time Series Analysisby Gebhard Kirchgässner; Jürgen Wolters

Review by: Pentti Saikkonen

Journal:

International Statistical Review

Year:

2008

Language:

english

File:

PDF, 277 KB

english, 2008

54

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

55

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

56

Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes

Saikkonen, Pentti

Journal:

Econometric Reviews

Year:

1999

Language:

english

File:

PDF, 865 KB

english, 1999

57

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

Saikkonen, Pentti, Luukkonen, Ritva

Journal:

Econometric Theory

Year:

1993

Language:

english

File:

PDF, 937 KB

english, 1993

58

Estimating multivariate autoregressive moving average models by fitting long autoregressions

Saikkonen, Pentti, Luukkonen, Ritva

Journal:

Communication in Statistics- Theory and Methods

Year:

1989

Language:

english

File:

PDF, 822 KB

english, 1989

59

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

60

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

Saikkonen, Pentti, Luukkonen, Ritva

Journal:

Journal of the American Statistical Association

Year:

1993

Language:

english

File:

PDF, 744 KB

english, 1993

61

Asymptotic properties of some tests for autocorrelation

Saikkonen, Pentti

Journal:

Year:

1986

Language:

english

File:

PDF, 3.19 MB

english, 1986

62

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

63

TESTS FOR NONLINEAR COINTEGRATION

Choi, In, Saikkonen, Pentti

Journal:

Econometric Theory

Year:

2010

Language:

english

File:

PDF, 175 KB

english, 2010

64

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

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

1993

Language:

english

File:

PDF, 239 KB

english, 1993

65

PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS

Meitz, Mika, Saikkonen, Pentti

Journal:

Econometric Theory

Year:

2011

Language:

english

File:

PDF, 307 KB

english, 2011

66

STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

2008

Language:

english

File:

PDF, 191 KB

english, 2008

67

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

68

Infinite-Order Cointegrated Vector Autoregressive Processes

Saikkonen, Pentti, Lütkepohl, HELMUT

Journal:

Econometric Theory

Year:

1996

Language:

english

File:

PDF, 1.24 MB

english, 1996

69

Predicting U.S. Recessions with Dynamic Binary Response Models

Kauppi, Heikki, Saikkonen, Pentti

Journal:

Review of Economics and Statistics

Year:

2008

Language:

english

File:

PDF, 239 KB

english, 2008

70

ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS

Meitz, Mika, Saikkonen, Pentti

Journal:

Econometric Theory

Year:

2008

Language:

english

File:

PDF, 245 KB

english, 2008

71

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

72

Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing

Pentti Saikkonen, Helmut Lütkepohl and Carsten Trenkler

Journal:

Econometric Theory

Year:

2006

Language:

english

File:

PDF, 1.15 MB

english, 2006

73

Infinite-Order Cointegrated Vector Autoregressive Processes: Estimation and Inference

Pentti Saikkonen and Helmut Lütkepohl

Journal:

Econometric Theory

Year:

1996

Language:

english

File:

PDF, 3.13 MB

english, 1996

74

Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation

Pentti Saikkonen

Journal:

Econometric Theory

Year:

1992

Language:

english

File:

PDF, 2.34 MB

english, 1992

75

Asymptotically Efficient Estimation of Cointegration Regressions

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

1991

Language:

english

File:

PDF, 983 KB

english, 1991

76

BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING

Saikkonen, Pentti, Lütkepohl, Helmut, Trenkler, Carsten

Journal:

Econometric Theory

Year:

2006

Language:

english

File:

PDF, 493 KB

english, 2006

77

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

78

Estimation of Cointegration Vectors with Linear Restrictions

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

1993

Language:

english

File:

PDF, 858 KB

english, 1993

79

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

80

Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

1995

Language:

english

File:

PDF, 1.19 MB

english, 1995

81

Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

1992

Language:

english

File:

PDF, 1.38 MB

english, 1992

82

TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT

Saikkonen, Pentti, Lütkepohl, Helmut

Journal:

Econometric Theory

Year:

2000

Language:

english

File:

PDF, 288 KB

english, 2000

83

CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS

Saikkonen, Pentti

Journal:

Econometric Theory

Year:

2001

Language:

english

File:

PDF, 230 KB

english, 2001

84

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

85

NONCAUSAL VECTOR AUTOREGRESSION

Lanne, Markku, Saikkonen, Pentti

Journal:

Econometric Theory

Year:

2013

Language:

english

File:

PDF, 304 KB

english, 2013

86

Gaussian mixture vector autoregression

Kalliovirta, Leena, Meitz, Mika, Saikkonen, Pentti

Journal:

Journal of Econometrics

Year:

2016

Language:

english

File:

PDF, 610 KB

english, 2016

87

Testing for the Cointegrating Rank of a VAR Process with an Intercept

Pentti Saikkonen and Helmut Lütkepohl

Journal:

Econometric Theory

Year:

2000

Language:

english

File:

PDF, 2.79 MB

english, 2000

88

Testing for a Unit Root in Noncausal Autoregressive Models

Saikkonen, Pentti, Sandberg, Rickard

Journal:

Journal of Time Series Analysis

Year:

2016

Language:

english

File:

PDF, 549 KB

english, 2016

89

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

90

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

Helmut Lütkepohl, Pentti Saikkonen and Carsten Trenkler

Journal:

Year:

2004

Language:

english

File:

PDF, 797 KB

english, 2004

91

Symposium Issue: Trending Multiple Time Series || Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems

Pentti Saikkonen

Journal:

Econometric Theory

Year:

1995

Language:

english

File:

PDF, 2.75 MB

english, 1995

92

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

93

Unit Root and Cointegration Testing || Stability of Regime Switching Error Correction Models under Linear Cointegration

Pentti Saikkonen

Journal:

Econometric Theory

Year:

2008

Language:

english

File:

PDF, 2.31 MB

english, 2008

94

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

95

Asymptotic Properties of Some Tests for Cross Correlation

Pentti Saikkonen

Journal:

Scandinavian Journal of Statistics

Year:

1983

Language:

english

File:

PDF, 1.11 MB

english, 1983

96

Ergodicity, Mixing, and Existence of Moments of a Class of Markov Models with Applications to GARCH and ACD Models

Mika Meitz and Pentti Saikkonen

Journal:

Econometric Theory

Year:

2008

Language:

english

File:

PDF, 2.93 MB

english, 2008

97

Non-linear GARCH models for highly persistent volatility

Markku Lanne and Pentti Saikkonen

Journal:

The Econometrics Journal

Year:

2005

Language:

english

File:

PDF, 2.35 MB

english, 2005

98

Estimation of Cointegration Vectors with Linear Restrictions

Pentti Saikkonen

Journal:

Econometric Theory

Year:

1993

Language:

english

File:

PDF, 1.66 MB

english, 1993

99

Statistical Inference in Cointegrated Vector Autoregressive Models with Nonlinear Time Trends in Cointegrating Relations

Pentti Saikkonen

Journal:

Econometric Theory

Year:

2001

Language:

english

File:

PDF, 3.08 MB

english, 2001

100

Consistent Estimation in Cointegrated Vector Autoregressive Models with Nonlinear Time Trends in Cointegrating Relations

Pentti Saikkonen

Journal:

Econometric Theory

Year:

2001

Language:

english

File:

PDF, 3.46 MB

english, 2001