Pentti Saikkonen : Citation Profile


Are you Pentti Saikkonen?

24

H index

46

i10 index

2794

Citations

RESEARCH PRODUCTION:

68

Articles

69

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   37 years (1983 - 2020). See details.
   Cites by year: 75
   Journals where Pentti Saikkonen has often published
   Relations with other researchers
   Recent citing documents: 127.    Total self citations: 49 (1.72 %)

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   Permalink: http://citec.repec.org/psa958
   Updated: 2020-05-16    RAS profile: 2020-02-14    
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Relations with other researchers


Works with:

Meitz, Mika (5)

Kalliovirta, Leena (2)

Preve, Daniel (2)

Lanne, Markku (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 (44)

Kurozumi, Eiji (36)

Shahbaz, Muhammad (36)

Lütkepohl, Helmut (35)

Wagner, Martin (31)

Nielsen, Morten (31)

Perron, Pierre (29)

Tiwari, Aviral (29)

Panagiotidis, Theodore (28)

rey, serge (28)

Cites to:

Lütkepohl, Helmut (31)

Lanne, Markku (23)

Johansen, Soren (17)

Rahbek, Anders (15)

Meitz, Mika (12)

Phillips, Peter (12)

Hansen, Bruce (10)

Campbell, John (9)

Engle, Robert (9)

Bec, Frédérique (8)

Shephard, Neil (7)

Main data


Where Pentti Saikkonen has published?


Journals with more than one article published# docs
Econometric Theory20
Journal of Time Series Analysis10
Journal of Econometrics9
Econometrics Journal4
Journal of Business & Economic Statistics4
Econometric Reviews3
Economics Letters3
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 (2020 and 2019)


YearTitle of citing document
2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

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2019Identification of Noncausal Models by Quantile Autoregressions. (2019). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:1904.05952.

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2019Efficient 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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2019Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs. (2019). Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04087.

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2019Predicting 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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2020Oracle 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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2020Identifiability 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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2019Public Saving, a Social Vice: Is Keynes Right? Sub-Saharan Africa Economic Growth in Perspective. (2019). Adediyan, Aderopo Raphael. In: Asian Development Policy Review. RePEc:asi:adprev:2019:p:297-306.

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2019The Nexus between Government Expenditure and Revenue in Tanzania. (2019). Kazungu, Khatibu. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2019:p:158-170.

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2019Migración internacional y determinantes de las remesas de trabajadores en Colombia. (2019). Montes-Uribe, Enrique ; Garavito, Aaron ; Hernandez-Bejarano, Manuel Dario ; Collazos-Gaitan, Maria Mercedes ; Garavito-Acosta, Aaron Levi. In: Borradores de Economia. RePEc:bdr:borrec:1066.

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2017Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity. (2017). Turnip, Guido. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:302:p:465-483.

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2018How do shocks to bank capital affect lending and growth?. (2018). Miettinen, Paavo ; Tolo, Eero. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_025.

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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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2019Does Business Confidence Matter for Investment?. (2019). Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:17-13.

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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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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:crs:wpaper:2019-09.

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2019Helicopter Drops of Money under Secular Stagnation. (2019). Michau, Jean-Baptiste. In: Working Papers. RePEc:crs:wpaper:2019-10.

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2019External debts, current account balance and exchange rates in emerging countries. (2019). Bouraoui, Taoufik. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00062.

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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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2019A two-step short-term probabilistic wind forecasting methodology based on predictive distribution optimization. (2019). Hodge, Bri-Mathias ; Chartan, Erol Kevin ; Feng, Cong ; Sun, Mucun ; Zhang, Jie. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:1497-1505.

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2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61.

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2019Do denominations of origin provide useful quality signals? The case of Bordeaux wines. (2019). Cardebat, Jean-Marie ; Alston, Julian M ; Livat, Florine. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:518-532.

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2017Statistical inference for independent component analysis: Application to structural VAR models. (2017). Renne, Jean-Paul ; Monfort, Alain ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:111-126.

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2018Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282.

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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441.

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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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2017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

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2019Taming financial development to reduce crises. (2019). Lajaunie, Quentin ; Candelon, Bertrand ; ben Naceur, Sami ; Bennaceur, Sami . In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:6.

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2019A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180.

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2019Price and volatility spillovers across the international steam coal market. (2019). , Marco ; Ciner, Cetin ; Brzeszczynski, Janusz ; Batten, Jonathan A ; Yarovaya, Larisa ; Lucey, Brian. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:119-138.

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2019Does electricity price matter for innovation in renewable energy technologies in China?. (2019). Lin, Boqiang ; Chen, Yufang. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:259-266.

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2019Energy and economic growth in the USA two decades later: Replication and reanalysis. (2019). Leiva, Benjamin ; Liu, Zhongyuan. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:89-99.

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2019Ask CARL: Forecasting tail probabilities for energy commodities. (2019). Leccadito, Arturo ; Algieri, Bernardina. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302786.

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2019Market integration and technology mix: Evidence from the German and French electricity markets. (2019). Haxhimusa, Adhurim ; Gugler, Klaus. In: Energy Policy. RePEc:eee:enepol:v:126:y:2019:i:c:p:30-46.

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2019The role of natural gas consumption in Saudi Arabias output and its implication for trade and environmental quality. (2019). Akadiri, Seyi ; Gungor, Hasan . In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:230-238.

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2019Policy measures targeting a more integrated gas market: Impact of a merger of two trading zones on prices and arbitrage activity in France. (2019). MASSOL, Olivier ; Dukhanina, Ekaterina ; Leveque, Franois. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:583-593.

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2019Modeling the relationship between firm and user generated content and the stages of the marketing funnel. (2019). O'Connor, Peter ; Kumar, Ashish ; Colicev, Anatoli. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:36:y:2019:i:1:p:100-116.

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2019Recession forecasting using Bayesian classification. (2019). Hall, Aaron Smalter ; Davig, Troy. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:848-867.

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2019The micro-foundations of an open economy money demand: An application to central and eastern European countries. (2019). Albulescu, Claudiu ; Pepin, Dominique ; Miller, Stephen M. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:60:y:2019:i:c:p:33-45.

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2019Data-driven structural BVAR analysis of unconventional monetary policy. (2019). Puonti, Paivi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:1.

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2019Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach. (2019). Mishra, Shekhar ; Meo, Muhammad Saeed ; Sharif, Arshian ; Rehman, Syed Abdul ; Khuntia, Sashikanta. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:292-304.

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2019The controversy of the resource curse and the environment in the SDGs background: The African context. (2019). Tiba, Sofien ; Frikha, Mohamed. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:437-452.

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2019The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy. (2019). Souza, Francisca Mendona ; de Souza, Claudia Aline ; da Silva, Wesley Vieira ; da Veiga, Claudimar Pereira. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:9-21.

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2019The investment-uncertainty relationship in the oil and gas industry. (2019). Manera, Matteo ; Sadeghzadeh, Mehdi ; Ahmadi, Maryam. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:52.

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2019A road to enhancements in natural gas use in Iran: A multivariate modelling approach. (2019). Driha, Oana M ; Etokakpan, Mfonobong Udom ; Bekun, Festus Victor ; Balsalobre-Lorente, Daniel. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719300248.

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2019Negative house price co-movements and US recessions. (2019). Eriksen, Jonas ; Christiansen, Charlotte ; Moller, Stig V. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:77:y:2019:i:c:p:382-394.

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2019Does the long-run monetary model hold for Sub-Saharan Africa? A time series and panel-cointegration study. (2019). Ibhagui, Oyakhilome W. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:279-303.

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2019Estimating the conditional equity risk premium in African frontier markets. (2019). Othieno, Ferdinand ; Biekpe, Nicholas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:538-551.

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2019The effects of economic policy and political uncertainties on economic activities. (2019). Gholipour Fereidouni, Hassan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:210-218.

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2019The role of oil prices on the Russian business cycle. (2019). Pönkä, Harri ; Zheng, YI ; Ponka, Harri. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:70-78.

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2019On categorical time series models with covariates. (2019). Truquet, Lionel ; Fokianos, Konstantinos. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3446-3462.

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2019Estimating the long-run metro demand elasticities for Lisbon: A time-varying approach. (2019). Sobreira, Nuno ; Goulart, Pedro ; Melo, Patricia C. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:126:y:2019:i:c:p:360-376.

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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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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: THEMA Working Papers. RePEc:ema:worpap:2019-07.

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2017Disagreement in inflation forecasts and inflation risk premia in Brazil. (2017). Fernandes, Marcelo ; de Azevedo, Clemens V ; Doi, Jonas Takayuki . In: Textos para discussão. RePEc:fgv:eesptd:453.

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2019Mixed causal-noncausal autoregressions with exogenous regressors. (2019). Telg, Sean ; Hecq, Alain ; Issler, Joo Victor. In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:810.

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

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

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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2019Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models. (2019). Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:2-:d:196454.

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2019Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio. (2019). Skoura, Angeliki. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:2:p:28-:d:219048.

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2019Modeling the Relationship between Crude Oil and Agricultural Commodity Prices. (2019). Vu, Tan ; Vo, Duc ; McAleer, Michael. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:7:p:1344-:d:220919.

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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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2019What Factors Affect Income Inequality and Economic Growth in Middle-Income Countries?. (2019). Vo, Duc ; Nguyen, Thang ; Tran, Ngoc Phu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:40-:d:212308.

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2019Investigating the Energy–Economic Growth–Governance Nexus: Evidence from Central and Eastern European Countries. (2019). Lupu, Dan ; Paraschiv, Gigel ; Bercu, Ana-Maria. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3355-:d:240610.

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2019The Link between Economic Complexity and Carbon Emissions in the European Union Countries: A Model Based on the Environmental Kuznets Curve (EKC) Approach. (2019). Neagu, Olimpia. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:17:p:4753-:d:262613.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2019The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries. (2019). Pépin, Dominique ; Albulescu, Claudiu ; Miller, Stephen ; Pepin, Dominique. In: Post-Print. RePEc:hal:journl:hal-01348842.

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2017Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Guegan, Dominique ; Chorro, Christophe ; Ielpo, Florian. In: Post-Print. RePEc:hal:journl:halshs-00973922.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing *. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:hal:wpaper:hal-02175760.

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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium. (2019). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-656.

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2020Macroeconomic determinants of apartment prices in Swedish and German cities. (2020). Engerstam, Sviatlana. In: Working Paper Series. RePEc:hhs:kthrec:2020_002.

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2019On (bootstrapped) cointegration tests in partial systems. (2019). Schreiber, Sven. In: IMK Working Paper. RePEc:imk:wpaper:199-2019.

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2019Türkiye Konut Piyasasında Etkinlik Analizi. (2019). Seven, Ünal ; alp, esra. In: Istanbul Business Research. RePEc:ist:ibsibr:v:48:y:2019:i:1:p:84-112.

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2019The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods. (2019). Bulut, Umit. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:69:y:2019:i:2:p:159-173.

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2019The Yen Exchange Rate and the Hollowing Out of the Japanese Industry. (2019). Volz, Ulrich ; Belke, Ansgar. In: IZA Discussion Papers. RePEc:iza:izadps:dp12565.

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2020Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares. (2020). Midili, Murat. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9876-8.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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2019Exchange rate pass-through to import prices in Europe: A panel cointegration approach. (2019). Arsova, Antonia. In: Working Paper Series in Economics. RePEc:lue:wpaper:384.

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2019The impact of health on GDP: A panel data investigation.. (2019). Fountas, Stilianos ; Neofytidou, Aliona. In: Discussion Paper Series. RePEc:mcd:mcddps:2019_04.

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2019Measuring “Dark Matter” in Asset Pricing Models. (2019). Kogan, Leonid ; Dou, Winston ; Chen, Hui. In: NBER Working Papers. RePEc:nbr:nberwo:26418.

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2019Investment, Autonomous Demand and Long Run Capacity Utilization: An Empirical Test for the Euro Area. (2019). Gallo, Ettore. In: Working Papers. RePEc:new:wpaper:1904.

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2018Structural Volatility Impulse Response Function and Asymptotic Inference. (2018). Liu, Xiaochun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:316-339..

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2019 Saltos, tendencias y la atribución del cambio climático: un análisis de series de tiempo. (2019). Perron, Pierre ; Estrada, Francisco. In: Revista Economía. RePEc:pcp:pucrev:y:2019:i:83:p:1-31.

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2019Sources to Finance Fiscal Deficit and Their Impact on Inflation: A Case Study of Pakistan. (2019). Khalid, Mahmood. In: The Pakistan Development Review. RePEc:pid:journl:v:58:y:2019:i:1:p:27-43.

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2018Social Investment and youth labour market participation: a EU regional analysis. (2018). Giannetti, Caterina ; Ecchia, Giulio ; Gagliardi, Francesca. In: Discussion Papers. RePEc:pie:dsedps:2018/236.

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2019Forecasting bubbles with mixed causal-noncausal autoregressive models. (2019). Hecq, Alain ; Voisin, Elisa. In: MPRA Paper. RePEc:pra:mprapa:92734.

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2019A Bivariate Forecasting Model For Russian GDP Under Structural Changes In Monetary Policy and Long-Term Growth. (2019). Polbin, Andrey ; Fokin, Nikita. In: MPRA Paper. RePEc:pra:mprapa:95306.

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2019Residual Augmented Fourier ADF Unit Root Test. (2019). Aydın, Mücahit ; YILANCI, Veli ; Aydin, Mehmet . In: MPRA Paper. RePEc:pra:mprapa:96797.

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2019Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353.

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2017Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models. (2017). Serwa, Dobromi ; Wdowiski, Piotr. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:4:p:323-357.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-06.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-22.

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

Pentti Saikkonen has edited the books:


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Works by Pentti Saikkonen:


YearTitleTypeCited
2008Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers.
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2008Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers.
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This paper has another version. Agregated cites: 6
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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: 6
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: 6
paper
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
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paper31
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: 31
article
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
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paper23
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: 23
article
2000Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 23
paper
2017Testing for observation-dependent regime switching in mixture autoregressive models In: Papers.
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paper1
2018A mixture autoregressive model based on Students $t$-distribution In: Papers.
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paper0
2018A mixture autoregressive model based on Student’s t–distribution.(2018) In: GRU Working Paper Series.
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This paper has another version. Agregated cites: 0
paper
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]
article15
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article176
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: 176
paper
2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]
article8
2000Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
2007A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics.
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article58
2005A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper.
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This paper has another version. Agregated cites: 58
paper
2008Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters In: International Statistical Review.
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article0
1996TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION In: Journal of Time Series Analysis.
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article0
2000Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis.
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article2
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
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article184
2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
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This paper has another version. Agregated cites: 184
paper
1999Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 184
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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article15
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: 15
paper
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2008Stability of nonlinear AR‐GARCH models In: Journal of Time Series Analysis.
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article15
2006Stability of nonlinear AR-GARCH models.(2006) In: CORE Discussion Papers.
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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.
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article12
2016Testing for a Unit Root in Noncausal Autoregressive Models In: Journal of Time Series Analysis.
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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.
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article0
1986ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS In: Journal of Time Series Analysis.
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article0
2000On the Estimation of Euler Equations in the Presence of a Potential Regime Shift. In: Manchester School.
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article6
1999On the estimation of Euler equations in the presence of a potential regime shift.(1999) In: Research Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
2003Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics.
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article73
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: 73
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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This paper has another version. Agregated cites: 4
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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paper24
2013NONCAUSAL VECTOR AUTOREGRESSION.(2013) In: Econometric Theory.
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This paper has another version. Agregated cites: 24
article
2010Noncausal Vector Autoregression.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 24
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
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2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
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article42
2010Noncausal autoregressions for economic time series.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 42
paper
1995Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems In: Econometric Theory.
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article24
1996Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory.
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article20
1999LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory.
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article25
1997Local power of likelihood ratio tests for the cointegrating rank of a VAR process.(1997) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 25
paper
2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory.
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article158
1998Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 158
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.
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article4
2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory.
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article160
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: 160
paper
1999Testing for a unit root in a time series with a level shift at unknown time.(1999) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 160
paper
2004COINTEGRATING SMOOTH TRANSITION REGRESSIONS In: Econometric Theory.
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article60
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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article16
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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article41
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: 41
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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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This paper has another version. Agregated cites: 41
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2010TESTS FOR NONLINEAR COINTEGRATION In: Econometric Theory.
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article23
2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS In: Econometric Theory.
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article11
1991Asymptotically Efficient Estimation of Cointegration Regressions In: Econometric Theory.
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article481
1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation In: Econometric Theory.
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article145
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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paper0
2004Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time In: Econometrica.
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article54
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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This paper has another version. Agregated cites: 54
paper
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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paper62
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: 62
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: 62
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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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2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers.
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This paper has another version. Agregated cites: 10
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2001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process In: Econometrics Journal.
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article71
2000Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 71
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2004Testing linearity in cointegrating smooth transition regressions In: Econometrics Journal.
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article71
2005Non-linear GARCH models for highly persistent volatility In: Econometrics Journal.
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article22
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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paper11
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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paper3
1997Order selection in testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers.
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paper0
1999Testing for unit roots in time series with level shifts In: SFB 373 Discussion Papers.
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paper1
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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paper2
2000Cointegrating smooth transition regressions with applications to the Asian currency crisis In: SFB 373 Discussion Papers.
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paper0
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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paper1

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