← All authors Pentti Saikkonen University of Helsinki (from arXiv:2205.11953, 2022) · OpenAlex
82 papers in scope · 80 published · 6 on the econ.EM arXiv · 7,277 citations · h-index 40 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Mika Meitz Savi Virolainen Daniel Preve Andrea Bucci Sam Wycherley Yong Song Christis Katsouris James A. Duffy Tomasz Woźniak Sophocles Mavroeidis Igor Kheifets Yannis Bilias Xiyu Jiao Anna Bykhovskaya Emil N. Sørensen Christian M. Dahl Fei Shang Sylvia Frühwirth-Schnatter Peter Knaus Annalisa Cadonna Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (6 of 82)
published 2023 · Econometric Theory · 1 citations · first circulated 2022
published 2021 · Journal of Applied Probability · 3 citations · first circulated 2019
published 2021 · Communication in Statistics-Theory and Methods · 14 citations · first circulated 2018
published 2020 · Journal of Econometrics · 2 citations · first circulated 2017
Testing identification via heteroskedasticity in structural vector autoregressive models
published 2020 · Econometrics Journal · 30 citations · first circulated 2018
working paper 2019 · arXiv
working paper 2018 · arXiv
Identification and estimation of non-Gaussian structural vector autoregressions
published 2016 · Journal of Econometrics · 43 citations
Gaussian mixture vector autoregression
published 2016 · Journal of Econometrics · 45 citations
Testing for a Unit Root in Noncausal Autoregressive Models
published 2015 · Journal of Time Series Analysis · 3 citations · first circulated 2013
A Gaussian Mixture Autoregressive Model for Univariate Time Series
published 2014 · Journal of Time Series Analysis · 40 citations
Forecasting with a noncausal VAR model
published 2013 · Computational Statistics & Data Analysis · 31 citations · first circulated 2012
with Henri Nyberg
Testing for Linear and Nonlinear Predictability of Stock Returns
published 2013 · Journal of Financial Econometrics · 5 citations
NONCAUSAL VECTOR AUTOREGRESSION
published 2012 · Econometric Theory · 10 citations · first circulated 2009
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
published 2012 · Journal of Multivariate Analysis · 14 citations
Optimal forecasting of noncausal autoregressive time series
published 2012 · International Journal of Forecasting · 18 citations · first circulated 2010
Noncausal Autoregressions for Economic Time Series
published 2011 · Journal of Time Series Econometrics · 83 citations
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
published 2011 · Econometric Theory · 54 citations · first circulated 2008
GMM Estimation with Non-causal Instruments*
published 2011 · Oxford Bulletin of Economics and Statistics
A note on the geometric ergodicity of a nonlinear AR-ARCH model
published 2010 · Statistics & Probability Letters · 8 citations
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
published 2009 · Econometrics Journal · 10 citations · first circulated 2008
TESTS FOR NONLINEAR COINTEGRATION
published 2009 · Econometric Theory · 91 citations
with In Choi
Predicting U.S. Recessions with Dynamic Binary Response Models
published 2008 · The Review of Economics and Statistics · 315 citations
with Heikki Kauppi
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
published 2008 · Econometric Theory · 140 citations · first circulated 2007
Stability of nonlinear AR‐GARCH models
published 2008 · Journal of Time Series Analysis · 8 citations · first circulated 2006
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters
published 2008 · International Statistical Review · 2 citations
Modeling Conditional Skewness in Stock Returns
published 2007 · European Journal of Finance · 39 citations · first circulated 2005
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
published 2007 · Journal of Time Series Analysis · 44 citations · first circulated 2006
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
published 2007 · Econometric Theory · 54 citations
A Multivariate Generalized Orthogonal Factor GARCH Model
published 2006 · Journal of Business and Economic Statistics · 26 citations
Why is it so difficult to uncover the risk–return tradeoff in stock returns?
published 2006 · Economics Letters · 53 citations
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
published 2005 · Econometric Theory · 25 citations · first circulated 2004
Residual autocorrelation testing for vector error correction models
published 2005 · Journal of Econometrics · 56 citations · first circulated 2004
Non‐linear GARCH models for highly persistent volatility
published 2005 · Econometrics Journal · 93 citations
Testing linearity in cointegrating smooth transition regressions
published 2004 · Econometrics Journal · 113 citations
with In Choi
Stability results for nonlinear error correction models
published 2004 · Journal of Econometrics · 91 citations
COINTEGRATING SMOOTH TRANSITION REGRESSIONS
published 2004 · Econometric Theory · 139 citations
with In Choi
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
published 2004 · Econometrica · 120 citations · first circulated 2001
Reducing size distortions of parametric stationarity tests
published 2003 · Journal of Time Series Analysis · 15 citations
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
published 2003 · Journal of Econometrics · 54 citations · first circulated 2000
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
published 2003 · Journal of Financial Econometrics · 12 citations · first circulated 2001
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time*
published 2003 · Oxford Bulletin of Economics and Statistics · 124 citations · first circulated 2001
Unit root tests for time series with level shifts: a comparison of different proposals
published 2002 · Journal of Time Series Analysis · 65 citations · first circulated 2001
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
published 2002 · Econometric Theory · 40 citations · first circulated 1999
Threshold Autoregressions for Strongly Autocorrelated Time Series
published 2002 · Journal of Business and Economic Statistics · 50 citations · first circulated 2000
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
published 2001 · Econometrics Journal · 232 citations · first circulated 2000
A REVIEW OF SYSTEMS COINTEGRATION TESTS
published 2001 · Econometric Reviews · 111 citations · first circulated 1998
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS
published 2001 · Econometric Theory · 42 citations
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS
published 2001 · Econometric Theory · 23 citations
Testing for the Cointegrating Rank of a VAR Process With Structural Shifts
published 2000 · Journal of Business and Economic Statistics · 249 citations
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
published 2000 · Journal of Time Series Analysis · 124 citations
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
published 2000 · Econometric Theory · 165 citations · first circulated 1998
Testing for the cointegrating rank of a VAR process with a time trend
published 2000 · Journal of Econometrics · 92 citations · first circulated 1997
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift
published 2000 · Manchester School · 6 citations · first circulated 1999
with Antti Ripatti
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes
published 1999 · Journal of Business and Economic Statistics · 30 citations
with Ritva Luukkonen, Antti Ripatti
A lag augmentation test for the cointegrating rank of a VAR process
published 1999 · Economics Letters · 8 citations
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
published 1999 · Econometric Theory · 53 citations · first circulated 1997
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
published 1999 · Econometric Reviews · 17 citations
Testing cointegration in infinite order vector autoregressive processes
published 1997 · Journal of Econometrics · 114 citations
with Ritva Luukkonen
Impulse response analysis in infinite order cointegrated vector autoregressive processes
published 1997 · Journal of Econometrics · 79 citations · first circulated 1995
Infinite-Order Cointegrated Vector Autoregressive Processes
published 1996 · Econometric Theory · 65 citations · first circulated 1994
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
published 1996 · Journal of Time Series Analysis · 3 citations
with Ritva Luukkonen
Power of the Lagrange multiplier test for testing an autoregressive unit root
published 1996 · Economics Letters
with Ritva Luukkonen
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems
published 1995 · Econometric Theory · 70 citations
Dependent versions of a central limit theorem for the squared length of a sample mean
published 1995 · Statistics & Probability Letters · 2 citations
Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
published 1993 · Journal of the American Statistical Association · 112 citations
with Ritva Luukkonen
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models
published 1993 · Econometric Theory · 55 citations
with Ritva Luukkonen
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
published 1993 · Econometric Theory · 4 citations
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model
published 1993 · Econometric Theory · 21 citations
Estimation of Cointegration Vectors with Linear Restrictions
published 1993 · Econometric Theory · 61 citations
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation
published 1992 · Econometric Theory · 484 citations
Asymptotically Efficient Estimation of Cointegration Regressions
published 1991 · Econometric Theory · 1261 citations
Asymptotic relative efficiency of the classical test statistics under misspecification
published 1989 · Journal of Econometrics · 70 citations
Estimating multivariate autoregressive moving average models by fitting long autoregressions
published 1989 · Communication in Statistics-Theory and Methods · 1 citations
with Ritva Luukkonen
Testing linearity against smooth transition autoregressive models
published 1988 · Biometrika · 1340 citations
Testing linearity in univariate, time series models
published 1988 · Scandinavian Journal of Statistics · 147 citations
no link
A specification strategy for order determination in arma models
published 1988 · Communications in Statistics - Simulation and Computation · 2 citations
with Jan G. De Gooijer
An efficient method for the estimation of multivariate moving averge models
published 1988 · Communication in Statistics-Theory and Methods · 1 citations
with Ritva Luukkone
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
published 1986 · Journal of Time Series Analysis · 19 citations
Asymptotic properties of some tests for autocorrelation
published 1986 · Statistics · 1 citations
Modelling the Dynamic Relationship between Wages and Prices in Finland
published 1985 · Scandinavian Journal of Economics · 5 citations
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS
published 1983 · Journal of Time Series Analysis · 25 citations
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