Pentti Saikkonen
Names
| first: |
Pentti |
| middle: |
Juhani |
| last: |
Saikkonen |
Identifer
Contact
| phone: |
https://blogs.helsin |
Affiliations
-
Helsingin yliopisto, Matematiikan ja tilastotieteen laitos
- http://mathstat.helsinki.fi/
- location: Finland
Research profile
author of:
- Parameter estimation in nonlinear AR-GARCH models (RePEc:aah:create:2008-30)
by Mika Meitz & Pentti Saikkonen - Identification and estimation of non-Gaussian structural vector autoregressions (RePEc:aah:create:2015-16)
by Markku Lanne & Mika Meitz & Pentti Saikkonen - Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes (RePEc:ams:cdws01:po5)
by Markku Lanne & Pentti Saikkonen - Testing for observation-dependent regime switching in mixture autoregressive models (RePEc:arx:papers:1711.03959)
by Mika Meitz & Pentti Saikkonen - A mixture autoregressive model based on Student's $t$-distribution (RePEc:arx:papers:1805.04010)
by Mika Meitz & Daniel Preve & Pentti Saikkonen - Stationarity and ergodicity of vector STAR models (RePEc:arx:papers:1805.11311)
by Igor L. Kheifets & Pentti J. Saikkonen - Subgeometrically ergodic autoregressions (RePEc:arx:papers:1904.07089)
by Mika Meitz & Pentti Saikkonen - Subgeometric ergodicity and $\beta$-mixing (RePEc:arx:papers:1904.07103)
by Mika Meitz & Pentti Saikkonen - Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity (RePEc:arx:papers:2205.11953)
by Mika Meitz & Pentti Saikkonen - Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes (RePEc:bes:jnlbes:v:17:y:1999:i:2:p:195-204)
by Luukkonen, Ritva & Ripatti, Antti & Saikkonen, Pentti - Testing for the Cointegrating Rank of a VAR Process with Structural Shifts (RePEc:bes:jnlbes:v:18:y:2000:i:4:p:451-64)
by Saikkonen, Pentti & Lutkepohl, Helmut - Threshold Autoregressions for Strongly Autocorrelated Time Series (RePEc:bes:jnlbes:v:20:y:2002:i:2:p:282-89)
by Lanne, Markku & Saikkonen, Pentti - A Multivariate Generalized Orthogonal Factor GARCH Model (RePEc:bes:jnlbes:v:25:y:2007:p:61-75)
by Lanne, Markku & Saikkonen, Pentti - Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters (RePEc:bla:istatr:v:76:y:2008:i:1:p:151-152)
by Pentti Saikkonen - Testing The Order Of Differencing In Time Series Regression (RePEc:bla:jtsera:v:17:y:1996:i:5:p:481-496)
by Pentti Saikkonen & Ritva Luukkonen - Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process (RePEc:bla:jtsera:v:21:y:2000:i:4:p:435-456)
by Pentti Saikkonen & Helmut Lutkepohl - Comparison of unit root tests for time series with level shifts (RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685)
by Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen - Reducing size distortions of parametric stationarity tests (RePEc:bla:jtsera:v:24:y:2003:i:4:p:423-439)
by Markku Lanne & Pentti Saikkonen - Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break (RePEc:bla:jtsera:v:29:y:2008:i:2:p:331-358)
by Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl - Stability of nonlinear AR‐GARCH models (RePEc:bla:jtsera:v:29:y:2008:i:3:p:453-475)
by Mika Meitz & Pentti Saikkonen - A Gaussian Mixture Autoregressive Model for Univariate Time Series (RePEc:bla:jtsera:v:36:y:2015:i:2:p:247-266)
by Leena Kalliovirta & Mika Meitz & Pentti Saikkonen - Testing for a Unit Root in Noncausal Autoregressive Models (RePEc:bla:jtsera:v:37:y:2016:i:1:p:99-125)
by Pentti Saikkonen & Rickard Sandberg - Asymptotic Relative Efficiency Of Some Tests Of Fit In Time Series Models (RePEc:bla:jtsera:v:4:y:1983:i:1:p:69-78)
by Pentti Saikkonen - Asymptotic Properties Of Some Preliminary Estimators For Autoregressive Moving Average Time Series Models (RePEc:bla:jtsera:v:7:y:1986:i:2:p:133-155)
by Pentti Saikkonen - On the Estimation of Euler Equations in the Presence of a Potential Regime Shift (RePEc:bla:manchs:v:68:y:2000:i:s1:p:92-121)
by Pentti Saikkonen & Antti Ripatti - Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time (RePEc:bla:obuest:v:65:y:2003:i:1:p:91-115)
by Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen - GMM Estimation with Non‐causal Instruments (RePEc:bla:obuest:v:73:y:2011:i:5:p:581-592)
by Markku Lanne & Pentti Saikkonen - Noncausal Autoregressions for Economic Time Series (RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:2)
by Lanne Markku & Saikkonen Pentti - Stability of nonlinear AR-GARCH models (RePEc:cor:louvco:2006078)
by MEITZ, Mika & SAIKKONEN, Pentti - A mixture autoregressive model based on Student’s t–distribution (RePEc:cth:wpaper:gru_2018_013)
by Mika Meitz & Daniel Preve & Pentti Saikkonen - Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems (RePEc:cup:etheor:v:11:y:1995:i:05:p:888-911_00)
by Saikkonen, Pentti - Infinite-Order Cointegrated Vector Autoregressive Processes (RePEc:cup:etheor:v:12:y:1996:i:05:p:814-844_00)
by Saikkonen, Pentti & Lütkepohl, HELMUT - Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process (RePEc:cup:etheor:v:15:y:1999:i:01:p:50-78_15)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing For The Cointegrating Rank Of A Var Process With An Intercept (RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16)
by Saikkonen, Pentti & Lütkepohl, Helmut - Consistent Estimation In Cointegrated Vector Autoregressive Models With Nonlinear Time Trends In Cointegrating Relations (RePEc:cup:etheor:v:17:y:2001:i:02:p:296-326_17)
by Saikkonen, Pentti - Statistical Inference In Cointegrated Vector Autoregressive Models With Nonlinear Time Trends In Cointegrating Relations (RePEc:cup:etheor:v:17:y:2001:i:02:p:327-356_17)
by Saikkonen, Pentti - Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time (RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18)
by Saikkonen, Pentti & Lütkepohl, Helmut - Cointegrating Smooth Transition Regressions (RePEc:cup:etheor:v:20:y:2004:i:02:p:301-340_20)
by Saikkonen, Pentti & Choi, In - Break Date Estimation For Var Processes With Level Shift With An Application To Cointegration Testing (RePEc:cup:etheor:v:22:y:2006:i:01:p:15-68_06)
by Saikkonen, Pentti & Lütkepohl, Helmut & Trenkler, Carsten - Stability Of Regime Switching Error Correction Models Under Linear Cointegration (RePEc:cup:etheor:v:24:y:2008:i:01:p:294-318_08)
by Saikkonen, Pentti - Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models (RePEc:cup:etheor:v:24:y:2008:i:05:p:1291-1320_08)
by Meitz, Mika & Saikkonen, Pentti - Tests For Nonlinear Cointegration (RePEc:cup:etheor:v:26:y:2010:i:03:p:682-709_99)
by Choi, In & Saikkonen, Pentti - Parameter Estimation In Nonlinear Ar–Garch Models (RePEc:cup:etheor:v:27:y:2011:i:06:p:1236-1278_00)
by Meitz, Mika & Saikkonen, Pentti - Noncausal Vector Autoregression (RePEc:cup:etheor:v:29:y:2013:i:03:p:447-481_00)
by Lanne, Markku & Saikkonen, Pentti - Subgeometrically Ergodic Autoregressions (RePEc:cup:etheor:v:38:y:2022:i:5:p:959-985_6)
by Meitz, Mika & Saikkonen, Pentti - Asymptotically Efficient Estimation of Cointegration Regressions (RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00)
by Saikkonen, Pentti - Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation (RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01)
by Saikkonen, Pentti - Estimation of Cointegration Vectors with Linear Restrictions (RePEc:cup:etheor:v:9:y:1993:i:01:p:19-35_00)
by Saikkonen, Pentti - Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model (RePEc:cup:etheor:v:9:y:1993:i:02:p:155-188_00)
by Saikkonen, Pentti - Point Optimal Tests for Testing the Order of Differencing in ARIMA Models (RePEc:cup:etheor:v:9:y:1993:i:03:p:343-362_00)
by Saikkonen, Pentti & Luukkonen, Ritva - A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root (RePEc:cup:etheor:v:9:y:1993:i:03:p:494-498_00)
by Saikkonen, Pentti - Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models (RePEc:diw:diwwpp:dp1764)
by Helmut Lütkepohl & Mika Meitz & Aleksei NetŠunajev & Pentti Saikkonen - Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (RePEc:ecm:emetrp:v:72:y:2004:i:2:p:647-662)
by Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler - A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns (RePEc:ecm:nasm04:469)
by Pentti Saikkonen & Markku Lanne - Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time (RePEc:ecm:wc2000:0342)
by Helmut Luetkepohl & Pentti Saikkonen - Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift (RePEc:ecm:wc2000:0364)
by Helmut Luetkepohl & Pentti Saikkonen & Carsten Trenkler - Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term (RePEc:ect:emjrnl:v:12:y:2009:i:3:p:414-435)
by Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen - Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process (RePEc:ect:emjrnl:v:4:y:2001:i:2:p:8)
by Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler - Testing linearity in cointegrating smooth transition regressions (RePEc:ect:emjrnl:v:7:y:2004:i:2:p:341-365)
by In Choi & Pentti Saikkonen - Non-linear GARCH models for highly persistent volatility (RePEc:ect:emjrnl:v:8:y:2005:i:2:p:251-276)
by Markku Lanne & Pentti Saikkonen - Forecasting with a noncausal VAR model (RePEc:eee:csdana:v:76:y:2014:i:c:p:536-555)
by Nyberg, Henri & Saikkonen, Pentti - Power of the Lagrange multiplier test for testing an autoregressive unit root (RePEc:eee:ecolet:v:51:y:1996:i:1:p:27-35)
by Luukkonen, Ritva & Saikkonen, Pentti - A lag augmentation test for the cointegrating rank of a VAR process (RePEc:eee:ecolet:v:63:y:1999:i:1:p:23-27)
by Lutkepohl, Helmut & Saikkonen, Pentti - Why is it so difficult to uncover the risk-return tradeoff in stock returns? (RePEc:eee:ecolet:v:92:y:2006:i:1:p:118-125)
by Lanne, Markku & Saikkonen, Pentti - Comparison of tests for the cointegrating rank of a VAR process with a structural shift (RePEc:eee:econom:v:113:y:2003:i:2:p:201-229)
by Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten - Stability results for nonlinear error correction models (RePEc:eee:econom:v:127:y:2005:i:1:p:69-81)
by Saikkonen, Pentti - Residual autocorrelation testing for vector error correction models (RePEc:eee:econom:v:134:y:2006:i:2:p:579-604)
by Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti - Gaussian mixture vector autoregression (RePEc:eee:econom:v:192:y:2016:i:2:p:485-498)
by Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti - Identification and estimation of non-Gaussian structural vector autoregressions (RePEc:eee:econom:v:196:y:2017:i:2:p:288-304)
by Lanne, Markku & Meitz, Mika & Saikkonen, Pentti - Testing for observation-dependent regime switching in mixture autoregressive models (RePEc:eee:econom:v:222:y:2021:i:1:p:601-624)
by Meitz, Mika & Saikkonen, Pentti - Asymptotic relative efficiency of the classical test statistics under misspecification (RePEc:eee:econom:v:42:y:1989:i:3:p:351-369)
by Saikkonen, Pentti - Impulse response analysis in infinite order cointegrated vector autoregressive processes (RePEc:eee:econom:v:81:y:1997:i:1:p:127-157)
by Lutkepohl, Helmut & Saikkonen, Pentti - Testing cointegration in infinite order vector autoregressive processes (RePEc:eee:econom:v:81:y:1997:i:1:p:93-126)
by Saikkonen, Pentti & Luukkonen, Ritva - Testing for the cointegrating rank of a VAR process with a time trend (RePEc:eee:econom:v:95:y:2000:i:1:p:177-198)
by Lutkepohl, Helmut & Saikkonen, Pentti - Optimal forecasting of noncausal autoregressive time series (RePEc:eee:intfor:v:28:y:2012:i:3:p:623-631)
by Lanne, Markku & Luoto, Jani & Saikkonen, Pentti - Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity (RePEc:eee:jmvana:v:114:y:2013:i:c:p:227-255)
by Meitz, Mika & Saikkonen, Pentti - Dependent versions of a central limit theorem for the squared length of a sample mean (RePEc:eee:stapro:v:22:y:1995:i:3:p:185-194)
by Saikkonen, Pentti - A note on the geometric ergodicity of a nonlinear AR-ARCH model (RePEc:eee:stapro:v:80:y:2010:i:7-8:p:631-638)
by Meitz, Mika & Saikkonen, Pentti - Residual Autocorrelation Testing for Vector Error Correction Models (RePEc:eui:euiwps:eco2004/08)
by Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN - Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift (RePEc:eui:euiwps:eco2004/21)
by Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER - Modeling Conditional Skewness in Stock Returns (RePEc:eui:euiwps:eco2005/14)
by Markku Lanne & Pentti Saikkonen - Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break (RePEc:eui:euiwps:eco2006/29)
by Carsten Trenkler & Pentti Saikkonen & Helmut Luetkepohl - Modeling Expectations with Noncausal Autoregressions (RePEc:eui:euiwps:eco2008/20)
by Markku Lanne & Pentti Saikkonen - Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term (RePEc:eui:euiwps:eco2008/24)
by Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen - Parameter Estimation in Nonlinear AR-GARCH Models (RePEc:eui:euiwps:eco2008/25)
by Mika Meitz & Pentti Saikkonen - Threshold Autoregression for Strongly Autocorrelated Time Series (RePEc:fth:helsec:489)
by Lanne, M. & Saikkonen, P. - Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models (RePEc:hhs:hastef:0573)
by Meitz, Mika & Saikkonen, Pentti - Stability of nonlinear AR-GARCH models (RePEc:hhs:hastef:0632)
by Meitz, Mika & Saikkonen, Pentti - Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break (RePEc:hum:wpaper:sfb649dp2006-067)
by Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl - Parameter estimation in nonlinear AR–GARCH models (RePEc:koc:wpaper:1002)
by Mika Meitz & Pentti Saikkonen - A note on the geometric ergodicity of a nonlinear AR–ARCH model (RePEc:koc:wpaper:1003)
by Mika Meitz & Pentti Saikkonen - Testing for Predictability in a Noninvertible ARMA Model (RePEc:koc:wpaper:1225)
by Markku Lanne & Mika Meitz & Pentti Saikkonen - Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity (RePEc:koc:wpaper:1226)
by Mika Meitz & Pentti Saikkonen - Testing identification via heteroskedasticity in structural vector autoregressive models (RePEc:oup:emjrnl:v:24:y:2021:i:1:p:1-22.)
by Helmut Lütkepohl & Mika Meitz & Aleksei Netšunajev & Pentti Saikkonen - Testing for Linear and Nonlinear Predictability of Stock Returns (RePEc:oup:jfinec:v:11:y:2013:i:4:p:682-705)
by Markku Lanne & Mika Meitz & Pentti Saikkonen - Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes (RePEc:oup:jfinec:v:1:y:2003:i:1:p:96-125)
by Markku Lanne & Pentti Saikkonen - Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models (RePEc:oxf:wpaper:327)
by Mika Meitz & Pentti Saikkonen & University of Helsinki - Stability of nonlinear AR-GARCH models (RePEc:oxf:wpaper:328)
by Mika Meitz & Pentti Saikkonen & University of Helsinki - Parameter estimation in nonlinear AR-GARCH models (RePEc:oxf:wpaper:396)
by Mika Meitz & Pentti Saikkonen - Essays in Nonlinear Time Series Econometrics (RePEc:oxp:obooks:9780199679959)
by None - Optimal Forecasting of Noncausal Autoregressive Time Series (RePEc:pra:mprapa:23648)
by Lanne, Markku & Luoto, Jani & Saikkonen, Pentti - GMM Estimation with Noncausal Instruments (RePEc:pra:mprapa:23649)
by Lanne, Markku & Saikkonen, Pentti - A Multivariate Generalized Orthogonal Factor GARCH Model (RePEc:pra:mprapa:23714)
by Lanne, Markku & Saikkonen, Pentti - Noncausal Vector Autoregression (RePEc:pra:mprapa:23717)
by Lanne, Markku & Saikkonen, Pentti - Noncausal autoregressions for economic time series (RePEc:pra:mprapa:32943)
by Lanne, Markku & Saikkonen, Pentti - Testing for predictability in a noninvertible ARMA model (RePEc:pra:mprapa:37151)
by Lanne, Markku & Meitz, Mika & Saikkonen, Pentti - Supplementary appendix to "noncausal vector autoregression" (RePEc:pra:mprapa:37732)
by Lanne, Markku & Saikkonen, Pentti - Comparison of Unit Root Tests for Time Series with Level Shifts (RePEc:pra:mprapa:76035)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Modeling Expectations with Noncausal Autoregressions (RePEc:pra:mprapa:8411)
by Lanne, Markku & Saikkonen, Pentti - Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes (RePEc:taf:emetrv:v:18:y:1999:i:3:p:235-257)
by Pentti Saikkonen - A Review Of Systems Cointegration Tests (RePEc:taf:emetrv:v:20:y:2001:i:3:p:247-318)
by Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen - Stationarity and ergodicity of vector STAR models (RePEc:taf:emetrv:v:39:y:2020:i:4:p:407-414)
by Igor L. Kheifets & Pentti J. Saikkonen - Modeling Conditional Skewness in Stock Returns (RePEc:taf:eurjfi:v:13:y:2007:i:8:p:691-704)
by Markku Lanne & Saikkonen Pentti - A mixture autoregressive model based on Student’s t–distribution (RePEc:taf:lstaxx:v:52:y:2023:i:2:p:499-515)
by Mika Meitz & Daniel Preve & Pentti Saikkonen - Predicting U.S. Recessions with Dynamic Binary Response Models (RePEc:tpr:restat:v:90:y:2008:i:4:p:777-791)
by Heikki Kauppi & Pentti Saikkonen - Cointegrated vector autoregressive processes with continuous structural changes (RePEc:zbw:bofrdp:rdp1998_029)
by Ripatti, Antti & Saikkonen, Pentti - On the estimation of Euler equations in the presence of a potential regime shift (RePEc:zbw:bofrdp:rdp1999_006)
by Saikkonen, Pentti & Ripatti, Antti - Noncausal vector autoregression (RePEc:zbw:bofrdp:rdp2009_018)
by Lanne, Markku & Saikkonen, Pentti - Forecasting with a noncausal VAR model (RePEc:zbw:bofrdp:rdp2012_033)
by Nyberg, Henri & Saikkonen, Pentti - Testing for a unit root in noncausal autoregressive models (RePEc:zbw:bofrdp:rdp2013_026)
by Saikkonen, Pentti & Sandberg, Rickard - Testing identification via heteroskedasticity in structural vector autoregressive models (RePEc:zbw:espost:233855)
by Lütkepohl, Helmut & Meitz, Mika & Netšunajev, Aleksei & Saikkonen, Pentti - Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes (RePEc:zbw:sfb373:199511)
by Lütkepohl, H. & Saikkonen, P. - Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes (RePEc:zbw:sfb373:199566)
by Saikkonen, P. & Lütkepohl, H. - Local power of likelihood ratio tests for the cointegrating rank of a VAR process (RePEc:zbw:sfb373:199758)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing for the Cointegrating Rank of a VAR Process with a Time Trend (RePEc:zbw:sfb373:199779)
by Lütkepohl, H. & Saikkonen, P. - Trend adjustment prior to testing for the cointegrating rank of a VAR process (RePEc:zbw:sfb373:199784)
by Saikkonen, Pentti & Lütkepohl, Helmut - Order selection in testing for the cointegrating rank of a VAR process (RePEc:zbw:sfb373:199793)
by Lütkepohl, Helmut & Saikkonen, Pentti - A review of systemscointegration tests (RePEc:zbw:sfb373:1998101)
by Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti - Testing for the cointegrating rank of a VAR process with an intercept (RePEc:zbw:sfb373:199851)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing for the cointegrating rank of a VAR process with structural shifts (RePEc:zbw:sfb373:199882)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing for unit roots in time series with level shifts (RePEc:zbw:sfb373:199927)
by Saikkonen, Pentti & Lütkepohl, Helmut - Unit root tests for time series with a structural break: When the break point is known (RePEc:zbw:sfb373:199933)
by Lütkepohl, Helmut & Müller, Christian & Saikkonen, Pentti - Testing for a unit root in a time series with a level shift at unknown time (RePEc:zbw:sfb373:199972)
by Saikkonen, Pentti & Lütkepohl, Helmut - Comparison of unit root tests for time series with level shifts (RePEc:zbw:sfb373:199988)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Comparison of tests for the cointegrating rank of a VAR process with a structural shift (RePEc:zbw:sfb373:200010)
by Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten - Reducing size distortions of parametric stationarity tests (RePEc:zbw:sfb373:200012)
by Lanne, Markku & Saikkonen, Pentti - Modeling the US short-term interest rate by mixture autoregressive processes (RePEc:zbw:sfb373:200076)
by Lanne, Markku & Saikkonen, Pentti - Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process (RePEc:zbw:sfb373:200083)
by Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten - Cointegrating smooth transition regressions with applications to the Asian currency crisis (RePEc:zbw:sfb373:200098)
by Saikkonen, Pentti & Choi, In - Test procedures for unit roots in time series with level shifts at unknown time (RePEc:zbw:sfb373:200139)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Testing for the cointegrating rank of a VAR process with level shift at unknown time (RePEc:zbw:sfb373:200163)
by Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten - Unit root tests in the presence of innovational outliers (RePEc:zbw:sfb373:200182)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model (RePEc:zbw:sfb373:200193)
by Saikkonen, Pentti - Nonlinear GARCH models for highly persistent volatility (RePEc:zbw:sfb373:200220)
by Lanne, Markku & Saikkonen, Pentti