Pentti Saikkonen : Citation Profile


Are you Pentti Saikkonen?

26

H index

48

i10 index

3025

Citations

RESEARCH PRODUCTION:

71

Articles

68

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   38 years (1983 - 2021). See details.
   Cites by year: 79
   Journals where Pentti Saikkonen has often published
   Relations with other researchers
   Recent citing documents: 169.    Total self citations: 49 (1.59 %)

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   Permalink: http://citec.repec.org/psa958
   Updated: 2021-06-07    RAS profile: 2021-06-04    
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Relations with other researchers


Works with:

Meitz, Mika (10)

Lütkepohl, Helmut (3)

Kheifets, Igor (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Pentti Saikkonen.

Is cited by:

Koukouritakis, Minoas (52)

Lanne, Markku (45)

Lütkepohl, Helmut (42)

Wagner, Martin (39)

Shahbaz, Muhammad (37)

Kurozumi, Eiji (37)

Nielsen, Morten (31)

Tiwari, Aviral (30)

Perron, Pierre (29)

rey, serge (28)

Panagiotidis, Theodore (28)

Cites to:

Lütkepohl, Helmut (42)

Lanne, Markku (27)

Johansen, Soren (17)

Rahbek, Anders (15)

Phillips, Peter (14)

Meitz, Mika (12)

Perron, Pierre (11)

Hansen, Bruce (10)

Campbell, John (9)

Engle, Robert (9)

Bec, Frédérique (8)

Main data


Where Pentti Saikkonen has published?


Journals with more than one article published# docs
Econometric Theory20
Journal of Time Series Analysis10
Journal of Econometrics10
Journal of Business & Economic Statistics4
Econometrics Journal4
Economics Letters3
Econometric Reviews3
Journal of Financial Econometrics2
Statistics & Probability Letters2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes23
MPRA Paper / University Library of Munich, Germany9
Economics Working Papers / European University Institute7
Papers / arXiv.org5
Ko University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum4
Economics Series Working Papers / University of Oxford, Department of Economics3
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Pentti Saikkonen (2021 and 2020)


YearTitle of citing document
2020Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis. (2020). Hasse, Jean-Baptiste ; Lajaunie, Quentin. In: AMSE Working Papers. RePEc:aim:wpaimx:2013.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2020Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552.

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2021Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2020A mixture autoregressive model based on Gaussian and Students $t$-distributions. (2020). Virolainen, Savi. In: Papers. RePEc:arx:papers:2003.05221.

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2020Sequential monitoring for cointegrating regressions. (2020). Whitehouse, Emily ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2003.12182.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496.

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2020Inflation Dynamics of Financial Shocks. (2020). Palmén, Olli. In: Papers. RePEc:arx:papers:2006.03301.

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2021A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction. (2020). Rugamer, David ; Stocker, Almond ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.05750.

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2020Spectral Targeting Estimation of $\lambda$-GARCH models. (2020). Hetland, Simon. In: Papers. RePEc:arx:papers:2007.02588.

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2020Structural Gaussian mixture vector autoregressive model. (2020). Virolainen, Savi. In: Papers. RePEc:arx:papers:2007.04713.

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2020Nonparametric prediction with spatial data. (2020). Hidalgo, Javier ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:2008.04269.

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2020Cointegrating Polynomial Regressions with Power Law Trends: A New Angle on the Environmental Kuznets Curve. (2020). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:2009.02262.

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2021Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

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2020Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888.

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2021Dynamic Structural Impact of the COVID-19 Outbreak on the Stock Market and the Exchange Rate: A Cross-country Analysis Among BRICS Nations. (2021). Kumar, Atul ; Banerjee, Indrajit ; Rama, Sheo ; Bhattacharyya, Rupam. In: Papers. RePEc:arx:papers:2102.05554.

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2021Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

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2021Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Gudhmundsson, Gudhmundur Stef'An ; Brownlees, Christian. In: Papers. RePEc:arx:papers:2104.12127.

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2020Eurozone prices: a tale of convergence and divergence. (2020). Guerrero, David E ; Gonzalez-Perez, Maria T ; Garcia-Hiernaux, Alfredo. In: Working Papers. RePEc:bde:wpaper:2010.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2020Impact of foreign direct investment on the agricultural sector in Nigeria (1981–2017). (2020). Eze, Chidera Godson ; Edeh, Chukwudi Emmanuel ; Ugwuanyi, Sonia Onyinye. In: African Development Review. RePEc:bla:afrdev:v:32:y:2020:i:4:p:551-564.

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2020Monetary regimes, the term structure and business cycles in Ireland, 1972–2018. (2020). Stuart, Rebecca. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:5:p:731-748.

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2020An autoregressive model based on the generalized hyperbolic distribution. (2020). Karttunen, Henri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:787-816.

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2020Identification of structural vector autoregressions by stochastic volatility. (2020). Braun, Robin ; Bertsche, Dominik. In: Bank of England working papers. RePEc:boe:boeewp:0869.

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2020Exchange Rates and Political Uncertainty: The Brexit Case. (2020). Trigilia, G ; Moramarco, G ; Manasse, P. In: Working Papers. RePEc:bol:bodewp:wp1141.

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2020Estimation of the Kronecker Covariance Model by Quadratic Form. (2020). Tang, H ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2050.

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2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

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2020The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model. (2020). Neuenkirch, Matthias ; Bennani, Hamza. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8740.

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2020The Jacobian of the Exponential Function. (2020). Sentana, Enrique ; Magnus, Jan R ; Henk, . In: Working Papers. RePEc:cmf:wpaper:wp2020_2005.

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2020Zero-Diagonality as a Linear Structure. (2020). Sentana, Enrique ; Magnus, Jan R. In: Working Papers. RePEc:cmf:wpaper:wp2020_2016.

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2020Tributación en Colombia: Una aproximación teórica y empírica de la Curva de Laffer. (2020). Campo Robledo, Jacobo ; Villar, Juan Camilo ; Herrera, Juan Pablo . In: Estudios Económicos SIC. RePEc:col:000458:018601.

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2021Long-run economic determinants of asylum applications. (2021). Karaman Örsal, Deniz ; Deniz Dilan Karaman , . In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00087.

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2020Impact of Energy Consumption and Carbon Dioxide Emissions on Economic Growth: Cointegrated Panel Data in 79 Countries Grouped by Income Level. (2020). Venegas-Martínez, Francisco ; Tinoco-Zermeo, Miguel A ; Venegas-Martinez, Francisco ; Salazar-Nuez, Hector F. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-27.

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2020Fuel-Mining Exports and Growth in a Developing State: The Case of the UAE. (2020). Chamberlain, Trevor William ; Kalaitzi, Athanasia Stylianou. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-38.

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202150 years of capital mobility in the Eurozone: breaking the Feldstein-Horioka Puzzle. (2021). Muoz, Alejandro ; Camarero, Mariam ; Tamarit, Cecilio. In: Working Papers. RePEc:eec:wpaper:2102.

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2020Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity. (2020). Woźniak, Tomasz ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300324.

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2020Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out. (2020). Wagner, Niklas ; Perras, Patrizia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301779.

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2020Government size, composition of public spending and economic growth in Brazil. (2020). Sosa Sandoval, Wilfredo ; Divino, Jose Angelo. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:155-166.

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2021How are the international capital flows of rapidly aging countries affected by the elderly working longer?. (2021). Inagaki, Kazuyuki. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:285-297.

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2020Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines. (2020). Shum, Wai Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774.

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2020Stock prices, dividends, and structural changes in the long-term: The case of U.S.. (2020). Prats, María ; Navarro-Ibáñez, Manuel ; Navarro-Ibaez, Manuel ; Esteve, Vicente. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302633.

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2020Response surface estimates of the LM unit root tests. (2020). Lee, Junsoo ; Nazlioglu, Saban. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301099.

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2020Normalising cointegrating relationships subject to long-run exclusion. (2020). Kurita, Takamitsu. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301269.

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2020Zero-diagonality as a linear structure. (2020). Sentana, Enrique ; Magnus, Jan R. In: Economics Letters. RePEc:eee:ecolet:v:196:y:2020:i:c:s016517652030313x.

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2020Econometric estimates of Earth’s transient climate sensitivity. (2020). Phillips, Peter ; Storelvmo, Trude ; Leirvik, Thomas ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:6-32.

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2020Inference in heavy-tailed vector error correction models. (2020). Ling, Shiqing ; Qingling, Shi ; She, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:433-450.

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2020Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267.

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2020Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Linton, Oliver B ; Tang, Haihan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:431-470.

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2020Inference in partially identified heteroskedastic simultaneous equations models. (2020). Yang, Minxian ; Milunovich, George ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:317-345.

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2021Inferential theory for heterogeneity and cointegration in large panels. (2021). Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:474-503.

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2021Autoregressive models for matrix-valued time series. (2021). Yang, Dan ; Xiao, Han ; Chen, Rong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:539-560.

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2020Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68.

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2021A panel cointegrating rank test with structural breaks and cross-sectional dependence. (2021). Karaman Örsal, Deniz ; Deniz Dilan Karaman , ; Arsova, Antonia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:107-129.

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2020Estimation of residential electricity demand in Hong Kong under electricity charge subsidies. (2020). Tastan, Huseyin ; H useyin T astan, ; Pommeret, Aude ; Durmaz, Tun. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300815.

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2020Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate. (2020). Tiwari, Aviral ; Olayeni, Olaolu ; Wohar, Mark E. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302784.

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2021The threat of oil market turmoils to food price stability in Sub-Saharan Africa. (2021). Lange, Alexander ; Herwartz, Helmut ; Dalheimer, Bernhard. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320303698.

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2020Electricity incentives for agriculture in Saudi Arabia. Is that relevant to remove them?. (2020). Shannak, Sa'd, ; Hasanov, Fakhri J. In: Energy Policy. RePEc:eee:enepol:v:144:y:2020:i:c:s0301421520303293.

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2020Regional heterogeneous drivers of electricity demand in Saudi Arabia: Modeling regional residential electricity demand. (2020). Darandary, Abdulelah ; Mikayilov, Jeyhun I ; Alatawi, Hatem ; al Atawi, Hatem ; Hasanov, Fakhri J ; Alyamani, Ryan. In: Energy Policy. RePEc:eee:enepol:v:146:y:2020:i:c:s0301421520305176.

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2021Influence of classified coal consumption on PM2.5 pollution: Analysis based on the panel cointegration and error-correction model. (2021). Li, KE ; Feng, Wei ; Guan, Mengmeng ; Ai, Hongshan. In: Energy. RePEc:eee:energy:v:215:y:2021:i:pa:s0360544220322155.

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2021Investigating the asymmetric impact of energy consumption on reshaping future energy policy and economic growth in Iran using extended Cobb-Douglas production function. (2021). Shafiee, Afsaneh ; Rezania, Shahabaldin ; Koo, Yoonmo ; Oryani, Bahareh. In: Energy. RePEc:eee:energy:v:216:y:2021:i:c:s0360544220322945.

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2021Direction-of-change forecasting in commodity futures markets. (2021). Quinn, Barry ; Papailias, Fotis ; Liu, Jiadong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s105752192100020x.

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2020Predicting default rates by capturing critical transitions in the macroeconomic system. (2020). Yang, Xiaoguang ; Xing, Kai. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318300357.

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2021A tale of tails : New evidence on the growth-return nexus. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Plihal, Toma. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310347.

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2021Do the uncertainty-induced capital outflows matter in currency crisis? Evidence from the Hong Kong speculative attacks. (2021). Wong, Anson ; Tim, Douglas Kai. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s154461231931390x.

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2020Dynamics of global roundwood prices – Cointegration analysis. (2020). Hagler, R W ; Chudy, R P. In: Forest Policy and Economics. RePEc:eee:forpol:v:115:y:2020:i:c:s1389934119302126.

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2021Wood market cartel in Finland 1997–2004: Analyzing price effects using the indicator approach. (2021). Toppinen, Anne ; Wang, Lanhui ; Korhonen, Jaana ; Kuuluvainen, Jari. In: Forest Policy and Economics. RePEc:eee:forpol:v:124:y:2021:i:c:s1389934120307061.

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2020The role of carry trades on the effectiveness of Japans quantitative easing. (2020). Chuffart, Thomas ; Dell'Eva, Cyril. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:30-40.

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2020Real exchange rate misalignments in developing countries: The role of exchange rate flexibility and capital account openness. (2020). Mahraddika, Wishnu. In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:1-24.

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2020Tracking fiscal discipline. Looking for a PIIGS on the wing. (2020). Neto, David. In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:147-154.

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2021Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. (2021). Krištoufek, Ladislav ; Demir, Ender ; Mitra, Subrata Kumar ; Assaf, Ata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000317.

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2021Monitoring recessions: A Bayesian sequential quickest detection method. (2021). Sheng, Xuguang ; Li, Haixi ; Yang, Jingyun. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:500-510.

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2021Modeling and predicting U.S. recessions using machine learning techniques. (2021). Vrontos, Ioannis D ; Galakis, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:647-671.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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2020The impact of health on GDP: A panel data investigation. (2020). Fountas, Stilianos ; Neofytidou, Aliona. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494919300787.

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2020The impact of fiscal shocks on real GDP and income inequality: What do Australian data say?. (2020). Selvanathan, EA ; Gunasinghe, Chandika ; Forster, John ; Naranpanawa, Athula. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:2:p:250-270.

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2020The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. (2020). Sharif, Arshian ; Chang, Bisharat Hussain ; Rehman, Syed Abdul ; Salman, Asma ; Suki, Norazah Mohd ; Aman, Ameenullah. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719304751.

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2020How do output, trade, renewable energy and non-renewable energy impact carbon emissions in selected Sub-Saharan African Countries?. (2020). Vural, Gulfer. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308692.

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2021Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: An application to the Feldstein–Horioka puzzle. (2021). Neto, David. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:179:y:2021:i:c:p:253-264.

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2020The drivers of Bitcoin trading volume in selected emerging countries. (2020). Bouraoui, Taoufik. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:218-229.

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2021Clean energy development in the United States amidst augmented socioeconomic aspects and country-specific policies. (2021). Alola, Andrew ; Akadiri, Seyi Saint. In: Renewable Energy. RePEc:eee:renene:v:169:y:2021:i:c:p:221-230.

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2020Liquidity, covered interest rate parity, and zero lower bound in Japan’s foreign exchange markets. (2020). Chen, W D. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:334-349.

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2020Nonperforming loans and competing rules of monetary policy: A statistical identification approach. (2020). Moneta, Alessio ; Lopreite, Milena ; Califano, Andrea ; Brancaccio, Emiliano. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:53:y:2020:i:c:p:127-136.

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2021How do technological innovation and fiscal decentralization affect the environment? A story of the fourth industrial revolution and sustainable growth. (2021). Ahmad, Shabbir ; Tan, Zhixiong ; Awan, Usama ; Cheng, YA. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:162:y:2021:i:c:s0040162520312245.

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2021Is technological innovation making world Greener? An evidence from changing growth story of China. (2021). Caglar, Ersin ; Akram, Rabia ; Umar, Muhammad ; Wang, Kai-Hua. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:165:y:2021:i:c:s0040162520313421.

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2020Merchandise exports and economic growth: multivariate time series analysis for the United Arab Emirates. (2020). Chamberlain, Trevor W ; Kalaitzi, Athanasia S. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:103781.

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2020Fuel-mining exports and growth in a developing state: the case of the UAE. (2020). Chamberlain, Trevor William ; Kalaitzi, Athanasia Stylianou. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105207.

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2020Sensibilidad y asimetrías ante choques de ingreso en el consumo privado de México, 1995-2017. (Sensitivity and asymmetries of income shocks in Mexicos private consumption, 1995-2017).. (2020). Mendoza González, Miguel Ángel. In: Ensayos Revista de Economia. RePEc:ere:journl:v:xxxix:y:2020:i:1:p:21-58.

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2020Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis. (2020). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-49.

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2021Business Cycles Across Space and Time. (2019). Soques, Daniel ; Owyang, Michael ; Francis, Neville. In: Working Papers. RePEc:fip:fedlwp:2019-010.

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2021Binary Conditional Forecasts. (2019). Owyang, Michael ; McCracken, Michael ; McGillicuddy, Joseph. In: Working Papers. RePEc:fip:fedlwp:2019-029.

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2020Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size. (2020). Bauer, Dietmar ; Li, Yuanyuan. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:38-:d:415196.

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2020A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. (2020). de Matos, Patrick ; Matuschek, Lukas ; Bauer, Dietmar ; Wagner, Martin. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:4:p:42-:d:442543.

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2021Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. (2021). Wagner, Martin ; Grupe, Maximilian ; Knorre, Fabian. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:12-:d:516201.

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2021The Effects of Corruption, Renewable Energy, Trade and CO 2 Emissions. (2021). Leito, Nuno Carlos. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:62-:d:538873.

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2020The Linkage between Economic Growth, Renewable Energy, Tourism, CO 2 Emissions, and International Trade: The Evidence for the European Union. (2020). LORENTE, DANIEL BALSALOBRE ; Leito, Nuno Carlos. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:18:p:4838-:d:414428.

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2020Elasticity Analysis of Fossil Energy Sources for Sustainable Economies: A Case of Gasoline Consumption in Turkey. (2020). Mukhtarov, Shahriyar ; Aydin, Ridvan ; Yuksel, Serhat ; Diner, Hasan ; Mikayilov, Jeyhun I. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:3:p:731-:d:317837.

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More than 100 citations found, this list is not complete...

Pentti Saikkonen has edited the books:


YearTitleTypeCited

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YearTitleTypeCited
2008Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers.
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paper18
2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS.(2011) In: Econometric Theory.
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article
2008Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers.
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This paper has another version. Agregated cites: 18
paper
2010Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has another version. Agregated cites: 18
paper
2008Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 18
paper
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
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paper47
2017Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 47
article
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]
paper24
2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: Journal of Financial Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 24
article
2000Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2017Testing for observation-dependent regime switching in mixture autoregressive models In: Papers.
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paper1
2021Testing for observation-dependent regime switching in mixture autoregressive models.(2021) In: Journal of Econometrics.
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article
2018A mixture autoregressive model based on Students $t$-distribution In: Papers.
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paper0
2019Stationarity and ergodicity of vector STAR models In: Papers.
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paper0
2020Stationarity and ergodicity of vector STAR models.(2020) In: Econometric Reviews.
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This paper has another version. Agregated cites: 0
article
2020Subgeometrically ergodic autoregressions In: Papers.
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paper0
2019Subgeometric ergodicity and $\beta$-mixing In: Papers.
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paper0
1999Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]
article16
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article182
2001Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 182
paper
2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]
article10
2000Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics.
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paper
2007A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics.
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article63
2005A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper.
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This paper has another version. Agregated cites: 63
paper
2008Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters In: International Statistical Review.
[Full Text][Citation analysis]
article0
1996TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2000Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article4
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article194
2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194
paper
1999Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194
paper
2003Reducing size distortions of parametric stationarity tests In: Journal of Time Series Analysis.
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article6
2000Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
2008Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break In: Journal of Time Series Analysis.
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article17
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers.
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This paper has another version. Agregated cites: 17
paper
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 17
paper
2008Stability of nonlinear AR‐GARCH models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article15
2006Stability of nonlinear AR-GARCH models.(2006) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 15
paper
2006Stability of nonlinear AR-GARCH models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2007Stability of nonlinear AR-GARCH models.(2007) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2015A Gaussian Mixture Autoregressive Model for Univariate Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article14
2016Testing for a Unit Root in Noncausal Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article6
2013Testing for a unit root in noncausal autoregressive models.(2013) In: Research Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
1983ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
1986ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2000On the Estimation of Euler Equations in the Presence of a Potential Regime Shift In: Manchester School.
[Full Text][Citation analysis]
article4
1999On the estimation of Euler equations in the presence of a potential regime shift.(1999) In: Research Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2003Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article76
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 76
paper
2011GMM Estimation with Non‐causal Instruments In: Oxford Bulletin of Economics and Statistics.
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article4
2009GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper.
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paper
1998Cointegrated vector autoregressive processes with continuous structural changes In: Research Discussion Papers.
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paper1
2009Noncausal vector autoregression In: Research Discussion Papers.
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paper29
2013NONCAUSAL VECTOR AUTOREGRESSION.(2013) In: Econometric Theory.
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article
2010Noncausal Vector Autoregression.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 29
paper
2012Forecasting with a noncausal VAR model In: Research Discussion Papers.
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paper8
2014Forecasting with a noncausal VAR model.(2014) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 8
article
2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
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article46
2010Noncausal autoregressions for economic time series.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 46
paper
1995Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems In: Econometric Theory.
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article25
1996Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory.
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article23
1999LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory.
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article26
1997Local power of likelihood ratio tests for the cointegrating rank of a VAR process.(1997) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory.
[Full Text][Citation analysis]
article164
1998Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 164
paper
2001CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory.
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article5
2001STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article6
2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory.
[Full Text][Citation analysis]
article172
2000Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 172
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1999Testing for a unit root in a time series with a level shift at unknown time.(1999) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
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2004COINTEGRATING SMOOTH TRANSITION REGRESSIONS In: Econometric Theory.
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article65
2006BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING In: Econometric Theory.
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article11
2008STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION In: Econometric Theory.
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article17
2008ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS In: Econometric Theory.
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article43
2007Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 43
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2007Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: Economics Series Working Papers.
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2010TESTS FOR NONLINEAR COINTEGRATION In: Econometric Theory.
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article27
1991Asymptotically Efficient Estimation of Cointegration Regressions In: Econometric Theory.
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article534
1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation In: Econometric Theory.
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article163
1993Estimation of Cointegration Vectors with Linear Restrictions In: Econometric Theory.
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article21
1993Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model In: Econometric Theory.
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article6
1993Point Optimal Tests for Testing the Order of Differencing in ARIMA Models In: Econometric Theory.
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article17
1993A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root In: Econometric Theory.
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article0
2018Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models In: Discussion Papers of DIW Berlin.
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paper1
2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: Econometrics Journal.
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This paper has another version. Agregated cites: 1
article
2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: EconStor Open Access Articles.
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This paper has another version. Agregated cites: 1
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2004Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time In: Econometrica.
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article55
2001Testing for the cointegrating rank of a VAR process with level shift at unknown time.(2001) In: SFB 373 Discussion Papers.
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2004A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns In: Econometric Society 2004 North American Summer Meetings.
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paper2
2000Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift In: Econometric Society World Congress 2000 Contributed Papers.
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paper63
2003Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 63
article
2000Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 63
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2009Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal.
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article10
2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers.
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2001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process In: Econometrics Journal.
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article79
2000Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers.
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2004Testing linearity in cointegrating smooth transition regressions In: Econometrics Journal.
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2005Non-linear GARCH models for highly persistent volatility In: Econometrics Journal.
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2002Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers.
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1996Power of the Lagrange multiplier test for testing an autoregressive unit root In: Economics Letters.
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1999A lag augmentation test for the cointegrating rank of a VAR process In: Economics Letters.
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2006Why is it so difficult to uncover the risk-return tradeoff in stock returns? In: Economics Letters.
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2005Stability results for nonlinear error correction models In: Journal of Econometrics.
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2006Residual autocorrelation testing for vector error correction models In: Journal of Econometrics.
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2004Residual Autocorrelation Testing for Vector Error Correction Models.(2004) In: Economics Working Papers.
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2016Gaussian mixture vector autoregression In: Journal of Econometrics.
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1989Asymptotic relative efficiency of the classical test statistics under misspecification In: Journal of Econometrics.
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1997Impulse response analysis in infinite order cointegrated vector autoregressive processes In: Journal of Econometrics.
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1995Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes.(1995) In: SFB 373 Discussion Papers.
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1997Testing cointegration in infinite order vector autoregressive processes In: Journal of Econometrics.
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2000Testing for the cointegrating rank of a VAR process with a time trend In: Journal of Econometrics.
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1997Testing for the Cointegrating Rank of a VAR Process with a Time Trend.(1997) In: SFB 373 Discussion Papers.
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2012Optimal forecasting of noncausal autoregressive time series In: International Journal of Forecasting.
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2010Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper.
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2013Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity In: Journal of Multivariate Analysis.
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2012Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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1995Dependent versions of a central limit theorem for the squared length of a sample mean In: Statistics & Probability Letters.
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2010A note on the geometric ergodicity of a nonlinear AR-ARCH model In: Statistics & Probability Letters.
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article2
2010A note on the geometric ergodicity of a nonlinear AR–ARCH model.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2004Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift In: Economics Working Papers.
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2005Modeling Conditional Skewness in Stock Returns In: Economics Working Papers.
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2007Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance.
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2008Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers.
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2008Modeling Expectations with Noncausal Autoregressions.(2008) In: MPRA Paper.
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2012Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2012Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper.
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2013Testing for Linear and Nonlinear Predictability of Stock Returns In: Journal of Financial Econometrics.
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2012Supplementary appendix to noncausal vector autoregression In: MPRA Paper.
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1999Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes In: Econometric Reviews.
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2001A REVIEW OF SYSTEMS COINTEGRATION TESTS In: Econometric Reviews.
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1998A review of systemscointegration tests.(1998) In: SFB 373 Discussion Papers.
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2008Predicting U.S. Recessions with Dynamic Binary Response Models In: The Review of Economics and Statistics.
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1995Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes In: SFB 373 Discussion Papers.
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1997Trend adjustment prior to testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers.
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1997Order selection in testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers.
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1999Testing for unit roots in time series with level shifts In: SFB 373 Discussion Papers.
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1999Unit root tests for time series with a structural break: When the break point is known In: SFB 373 Discussion Papers.
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2000Cointegrating smooth transition regressions with applications to the Asian currency crisis In: SFB 373 Discussion Papers.
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2001Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers.
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2001Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model In: SFB 373 Discussion Papers.
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