Pentti Saikkonen : Citation Profile


Are you Pentti Saikkonen?

28

H index

52

i10 index

3689

Citations

RESEARCH PRODUCTION:

73

Articles

69

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   40 years (1983 - 2023). See details.
   Cites by year: 92
   Journals where Pentti Saikkonen has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 52 (1.39 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa958
   Updated: 2024-01-16    RAS profile: 2024-01-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Meitz, Mika (4)

Kheifets, Igor (2)

Lütkepohl, Helmut (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 (53)

Lanne, Markku (47)

Lütkepohl, Helmut (46)

Wagner, Martin (43)

Hecq, Alain (42)

Nielsen, Morten (39)

Shahbaz, Muhammad (37)

Kurozumi, Eiji (37)

Tiwari, Aviral (34)

rey, serge (32)

Perron, Pierre (30)

Cites to:

Lütkepohl, Helmut (45)

Lanne, Markku (33)

Johansen, Soren (23)

Phillips, Peter (19)

Perron, Pierre (17)

Meitz, Mika (16)

Rahbek, Anders (15)

Hansen, Bruce (12)

Engle, Robert (11)

Campbell, John (11)

Stock, James (10)

Main data


Where Pentti Saikkonen has published?


Journals with more than one article published# docs
Econometric Theory21
Journal of Econometrics10
Journal of Time Series Analysis10
Journal of Business & Economic Statistics4
Econometrics Journal4
Econometric Reviews3
Economics Letters3
Statistics & Probability Letters2
Oxford Bulletin of Economics and Statistics2
The Journal of Financial Econometrics2

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.org6
Bank of Finland Research Discussion Papers / Bank of Finland5
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
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics2

Recent works citing Pentti Saikkonen (2024 and 2023)


YearTitle of citing document
2023.

Full description at Econpapers || Download paper

2023Does Domestic Food Production Contribute to Improved Life Expectancy? Evidence from Low-Income Food-Deficit Countries (LIFDCS In Africa. (2023). Nzeh, Innocent Chile. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330864.

Full description at Econpapers || Download paper

2023Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

Full description at Econpapers || Download paper

2023Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

Full description at Econpapers || Download paper

2023Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

Full description at Econpapers || Download paper

2023Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

Full description at Econpapers || Download paper

2023The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

Full description at Econpapers || Download paper

2023Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

Full description at Econpapers || Download paper

2023Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

Full description at Econpapers || Download paper

2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

Full description at Econpapers || Download paper

2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

Full description at Econpapers || Download paper

2023Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066.

Full description at Econpapers || Download paper

2023Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

Full description at Econpapers || Download paper

2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

Full description at Econpapers || Download paper

2023Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653.

Full description at Econpapers || Download paper

2023Asymptotics for the Generalized Autoregressive Conditional Duration Model. (2023). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2307.01779.

Full description at Econpapers || Download paper

2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

Full description at Econpapers || Download paper

2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

Full description at Econpapers || Download paper

2023Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543.

Full description at Econpapers || Download paper

2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

Full description at Econpapers || Download paper

2023Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Stock Markets Response to Real Output Shocks in China: A VARwAL Estimation. (2023). Wu, Kexing ; Ulku, Numan. In: China & World Economy. RePEc:bla:chinae:v:31:y:2023:i:5:p:1-25.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796.

Full description at Econpapers || Download paper

2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

Full description at Econpapers || Download paper

2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

Full description at Econpapers || Download paper

2023Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881.

Full description at Econpapers || Download paper

2023Exchange Rate (MIS-) Alignment: An Application of the Behavioural Equilibrium Exchange Rate (beer) Approach to Zimbabwe (1990-2018). (2023). Mugwira, Vincent ; Pasara, Michael Takudzwa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-05-15.

Full description at Econpapers || Download paper

2023Does digital finance change the stability of money demand function? Evidence from China. (2023). Lu, Yao ; Zhan, Shuwei ; Wang, Lijun. In: Journal of Asian Economics. RePEc:eee:asieco:v:88:y:2023:i:c:s1049007823000696.

Full description at Econpapers || Download paper

2023Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

Full description at Econpapers || Download paper

2023Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362.

Full description at Econpapers || Download paper

2023Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304.

Full description at Econpapers || Download paper

2023Refining set-identification in VARs through independence. (2023). Wright, Jonathan H ; Drautzburg, Thorsten. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1827-1847.

Full description at Econpapers || Download paper

2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

Full description at Econpapers || Download paper

2023Domestic macroeconomic determinants of precious metals prices in developed and emerging economies: An international analysis of the long and short run. (2023). O'Connor, Fergal ; Usman, Hafiz Muhammad. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003290.

Full description at Econpapers || Download paper

2023Monetary policy and information shocks in a block-recursive SVAR. (2023). Seepe, Andre ; Hetzenecker, Stephan ; Keweloh, Sascha A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931.

Full description at Econpapers || Download paper

2023The sustainability of current account in the BRICS countries depends on economic policies’ support to structural adaptation. (2023). Singh, Tarlok. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:3:p:570-591.

Full description at Econpapers || Download paper

2023Economic development, natural resource utilization, GHG emissions and sustainable development: A case study of China. (2023). Muda, Iskandar ; Ali, Anis ; al Shraah, Ata ; Alhasan, Tariq Kamal ; Wong, Wing-Keung ; Ze, FU. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003070.

Full description at Econpapers || Download paper

2023The key roles of renewable energy and economic growth in disaggregated environmental degradation: Evidence from highly developed, heterogeneous and cross-correlated countries. (2023). Arauzo-Carod, Josep-Maria ; Kostakis, Ioannis. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1315-1325.

Full description at Econpapers || Download paper

2023The motifs of risk transmission in multivariate time series: Application to commodity prices. (2023). Spelta, Alessandro ; Pagnottoni, Paolo. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:87:y:2023:i:pb:s0038012122002609.

Full description at Econpapers || Download paper

2023Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317.

Full description at Econpapers || Download paper

2023Does exporting cause productivity growth? Evidence from Chilean firms. (2023). Coad, Alex ; Ciarli, Tommaso ; Moneta, Alessio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:228-239.

Full description at Econpapers || Download paper

2023Labor Productivity, Real Wages, and Employment in OECD Economies. (2023). Cruz, Manuel David. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:367-382.

Full description at Econpapers || Download paper

2023Are we making progress on decarbonization? A panel heterogeneous study of the long-run relationship in selected economies. (2023). Skare, Marinko ; Porada-Rocho, Magorzata. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:188:y:2023:i:c:s0040162522008009.

Full description at Econpapers || Download paper

2023Green trade or green technology? The way forward for G-7 economies to achieve COP 26 targets while making competing policy choices. (2023). Naqvi, Bushra ; Abbas, Syed Kumail ; Han, Zhiyong ; Bai, Jiancheng. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:191:y:2023:i:c:s0040162523001622.

Full description at Econpapers || Download paper

2023Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666.

Full description at Econpapers || Download paper

2023Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:9-:d:1092261.

Full description at Econpapers || Download paper

2023Forecasting Methods of Key Ratios and Their Impact in Company’s Value. (2023). Galanos, Christos ; Artsidakis, Stylianos ; Liapis, Angelos. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:140-:d:1075564.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Does political risk undermine environment and economic development in Pakistan? Empirical evidence from China–Pakistan economic corridor. (2023). Ashraf, Junaid. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09434-z.

Full description at Econpapers || Download paper

2023Climate risk and investment in equities in Europe: a Panel SVAR approach. (2023). Parla, Fabio ; Cipollini, Andrea. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0093.

Full description at Econpapers || Download paper

2023The price and income elasticities of natural gas demand in Azerbaijan: Is there room to export more?. (2023). Gurbanov, Sarvar ; Maharramli, Shahin ; Mukhtarov, Shahriyar ; Mikayilov, Jeyhun I. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01987-2.

Full description at Econpapers || Download paper

2023State-level Taylor rule and monetary policy stress. (2023). Gajewski, Pawe ; Duran, Hasan Engin. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:89-120.

Full description at Econpapers || Download paper

2023Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression. (2023). Zheng, Chaowen ; Zhang, Jing ; Li, Haiqi. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2023-07.

Full description at Econpapers || Download paper

2023Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555.

Full description at Econpapers || Download paper

2023Asymmetric effect of financial globalization on carbon emissions in G7 countries: Fresh insight from quantile-on-quantile regression. (2023). Aladenika, Bisola ; Akpan, Usenobong ; Akadiri, Seyi Saint ; Adebayo, Tomiwa Sunday. In: Energy & Environment. RePEc:sae:engenv:v:34:y:2023:i:5:p:1285-1304.

Full description at Econpapers || Download paper

2023Analyzing the Drivers of the Shadow Economy for the Case of the CESEE Region. (2023). Gkmenoalu, Korhan ; Amir, Aysel. In: Journal of Economics / Ekonomicky casopis. RePEc:sav:journl:v:71:y:2023:i:2:p:155-181.

Full description at Econpapers || Download paper

2023Forecasting binary outcomes in soccer. (2023). Mattera, Raffaele. In: Annals of Operations Research. RePEc:spr:annopr:v:325:y:2023:i:1:d:10.1007_s10479-021-04224-8.

Full description at Econpapers || Download paper

2023Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data. (2023). Diks, Cees ; Kugiumtzis, Dimitris ; Kyrtsou, Catherine ; Papana, Angeliki. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02275-9.

Full description at Econpapers || Download paper

2023A new quadratic asymmetric error correction model: does size matter?. (2023). Alsamara, Mouyad ; Mrabet, Zouhair ; Mnasri, Ayman. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02323-4.

Full description at Econpapers || Download paper

2023Simultaneous identification of fiscal and monetary policy shocks. (2023). Mansur, Alfan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02352-z.

Full description at Econpapers || Download paper

2023Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5.

Full description at Econpapers || Download paper

2023Linking personal remittance and fossil fuels energy consumption to environmental degradation: evidence from all SAARC countries. (2023). Ali, Hamid ; Ul, Qurat ; Rauf, Fawad ; Wang, Feng ; Rani, Tayyaba. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:8:d:10.1007_s10668-022-02407-2.

Full description at Econpapers || Download paper

2023Investment, autonomous demand and long-run capacity utilization: an empirical test for the Euro Area. (2023). Gallo, Ettore ; Barbieri, Maria Cristina. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:40:y:2023:i:1:d:10.1007_s40888-022-00291-7.

Full description at Econpapers || Download paper

2023Linear and Nonlinear Causal Linkages Between Exports and Growth in Next Eleven Economies. (2023). el Montasser, Ghassen ; Abid, Abir ; Ben-Salha, Ousama. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:2:d:10.1007_s13132-022-00958-3.

Full description at Econpapers || Download paper

2023Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5.

Full description at Econpapers || Download paper

2023Estimating energy demand elasticities for gas exporting countries: a dynamic panel data approach. (2023). Mansourkiaee, Eshagh. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00373-5.

Full description at Econpapers || Download paper

2023A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03.

Full description at Econpapers || Download paper

2023Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07.

Full description at Econpapers || Download paper

2023The effects of market integration on pollution: an analysis of EU enlargements. (2023). Klaassen, Franc ; Sommer, Konstantin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220039.

Full description at Econpapers || Download paper

2023Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065.

Full description at Econpapers || Download paper

2023Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations. (2023). Shintani, Mototsugu ; Kurita, Takamitsu. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1216.

Full description at Econpapers || Download paper

2023A Truncated Mixture Transition Model for Interval-valued Time Series. (2023). Luo, Yun ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202315.

Full description at Econpapers || Download paper

2023Do terms of trade affect economic growth? Robust evidence from India. (2023). Singh, Tarlok. In: Economics of Transition and Institutional Change. RePEc:wly:ectrin:v:31:y:2023:i:2:p:491-521.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023The multifaceted impact of US trade policy on financial markets. (2023). Menkhoff, Lukas ; Boer, Lukas ; Rieth, Malte. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:388-406.

Full description at Econpapers || Download paper

2023Environmental sustainability in South Africa: Understanding the criticality of economic policy uncertainty, fiscal decentralization, and green innovation. (2023). Muchapondwa, Edwin ; Udeagha, Maxwell Chukwudi. In: Sustainable Development. RePEc:wly:sustdv:v:31:y:2023:i:3:p:1638-1651.

Full description at Econpapers || Download paper

Pentti Saikkonen has edited the books:


YearTitleTypeCited

Works by Pentti Saikkonen:


YearTitleTypeCited
2008Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper19
2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
article
2008Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2010Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2008Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]
paper91
2017Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91
article
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]
paper26
2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: The Journal of Financial Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 26
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 nother version. Agregated cites: 26
paper
2017Testing for observation-dependent regime switching in mixture autoregressive models In: Papers.
[Full Text][Citation analysis]
paper6
2021Testing for observation-dependent regime switching in mixture autoregressive models.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6
article
2018A mixture autoregressive model based on Students $t$-distribution In: Papers.
[Full Text][Citation analysis]
paper0
2023A mixture autoregressive model based on Student’s t–distribution.(2023) In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
article
2019Stationarity and ergodicity of vector STAR models In: Papers.
[Full Text][Citation analysis]
paper1
2020Stationarity and ergodicity of vector STAR models.(2020) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
article
2020Subgeometrically ergodic autoregressions In: Papers.
[Full Text][Citation analysis]
paper0
2022SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS.(2022) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
article
2019Subgeometric ergodicity and $\beta$-mixing In: Papers.
[Full Text][Citation analysis]
paper0
2023Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity In: Papers.
[Full Text][Citation analysis]
paper0
1999Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]
article17
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article211
2001Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 211
paper
2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]
article15
2000Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 15
paper
2007A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article72
2005A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72
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]
article1
2000Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article25
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article211
2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 211
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 nother version. Agregated cites: 211
paper
2003Reducing size distortions of parametric stationarity tests In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article6
2000Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother 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.
[Full Text][Citation analysis]
article25
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25
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 nother version. Agregated cites: 25
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.
[Full Text][Citation analysis]
This paper has nother 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 nother version. Agregated cites: 15
paper
2007Stability of nonlinear AR-GARCH models.(2007) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15
paper
2015A Gaussian Mixture Autoregressive Model for Univariate Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article19
2016Testing for a Unit Root in Noncausal Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article10
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10
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]
article1
2000On the Estimation of Euler Equations in the Presence of a Potential Regime Shift In: Manchester School.
[Full Text][Citation analysis]
article7
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7
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]
article84
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84
paper
2011GMM Estimation with Non?causal Instruments In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article7
2009GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7
paper
2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
article66
2010Noncausal autoregressions for economic time series.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66
paper
1995Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems In: Econometric Theory.
[Full Text][Citation analysis]
article34
1996Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory.
[Full Text][Citation analysis]
article30
1999LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory.
[Full Text][Citation analysis]
article28
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 nother version. Agregated cites: 28
paper
2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory.
[Full Text][Citation analysis]
article187
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 nother version. Agregated cites: 187
paper
2001CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article14
2001STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article8
2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory.
[Full Text][Citation analysis]
article185
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 185
paper
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]
This paper has nother version. Agregated cites: 185
paper
2004COINTEGRATING SMOOTH TRANSITION REGRESSIONS In: Econometric Theory.
[Full Text][Citation analysis]
article99
2006BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING In: Econometric Theory.
[Full Text][Citation analysis]
article14
2008STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]
article19
2008ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article45
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45
paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45
paper
2010TESTS FOR NONLINEAR COINTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]
article36
2013NONCAUSAL VECTOR AUTOREGRESSION In: Econometric Theory.
[Full Text][Citation analysis]
article46
2010Noncausal Vector Autoregression.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46
paper
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46
paper
1991Asymptotically Efficient Estimation of Cointegration Regressions In: Econometric Theory.
[Full Text][Citation analysis]
article596
1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation In: Econometric Theory.
[Full Text][Citation analysis]
article213
1993Estimation of Cointegration Vectors with Linear Restrictions In: Econometric Theory.
[Full Text][Citation analysis]
article24
1993Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model In: Econometric Theory.
[Full Text][Citation analysis]
article8
1993Point Optimal Tests for Testing the Order of Differencing in ARIMA Models In: Econometric Theory.
[Full Text][Citation analysis]
article18
1993A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root In: Econometric Theory.
[Full Text][Citation analysis]
article0
2018Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
paper7
2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7
article
2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: EconStor Open Access Articles and Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7
article
2004Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time In: Econometrica.
[Full Text][Citation analysis]
article66
2001Testing for the cointegrating rank of a VAR process with level shift at unknown time.(2001) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66
paper
2004A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]
paper3
2000Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
paper69
2003Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69
article
2000Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69
paper
2009Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal.
[Full Text][Citation analysis]
article12
2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process In: Econometrics Journal.
[Citation analysis]
article105
2000Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 105
paper
2004Testing linearity in cointegrating smooth transition regressions In: Econometrics Journal.
[Full Text][Citation analysis]
article86
2005Non-linear GARCH models for highly persistent volatility In: Econometrics Journal.
[Full Text][Citation analysis]
article25
2002Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25
paper
2014Forecasting with a noncausal VAR model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article10
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10
paper
1996Power of the Lagrange multiplier test for testing an autoregressive unit root In: Economics Letters.
[Full Text][Citation analysis]
article0
1999A lag augmentation test for the cointegrating rank of a VAR process In: Economics Letters.
[Full Text][Citation analysis]
article3
2006Why is it so difficult to uncover the risk-return tradeoff in stock returns? In: Economics Letters.
[Full Text][Citation analysis]
article33
2005Stability results for nonlinear error correction models In: Journal of Econometrics.
[Full Text][Citation analysis]
article26
2006Residual autocorrelation testing for vector error correction models In: Journal of Econometrics.
[Full Text][Citation analysis]
article29
2004Residual Autocorrelation Testing for Vector Error Correction Models.(2004) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29
paper
2016Gaussian mixture vector autoregression In: Journal of Econometrics.
[Full Text][Citation analysis]
article22
1989Asymptotic relative efficiency of the classical test statistics under misspecification In: Journal of Econometrics.
[Full Text][Citation analysis]
article25
1997Impulse response analysis in infinite order cointegrated vector autoregressive processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article32
1995Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes.(1995) In: SFB 373 Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 32
paper
1997Testing cointegration in infinite order vector autoregressive processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article68
2000Testing for the cointegrating rank of a VAR process with a time trend In: Journal of Econometrics.
[Full Text][Citation analysis]
article209
1997Testing for the Cointegrating Rank of a VAR Process with a Time Trend.(1997) In: SFB 373 Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 209
paper
2012Optimal forecasting of noncausal autoregressive time series In: International Journal of Forecasting.
[Full Text][Citation analysis]
article41
2010Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41
paper
2013Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article7
2012Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7
paper
1995Dependent versions of a central limit theorem for the squared length of a sample mean In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article0
2010A note on the geometric ergodicity of a nonlinear AR-ARCH model In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article2
2010A note on the geometric ergodicity of a nonlinear AR–ARCH model.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2004Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift In: Economics Working Papers.
[Full Text][Citation analysis]
paper16
2005Modeling Conditional Skewness in Stock Returns In: Economics Working Papers.
[Full Text][Citation analysis]
paper15
2007Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15
article
2008Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers.
[Full Text][Citation analysis]
paper7
2008Modeling Expectations with Noncausal Autoregressions.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7
paper
2012Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
paper0
2012Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2013Testing for Linear and Nonlinear Predictability of Stock Returns In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article4
2012Supplementary appendix to noncausal vector autoregression In: MPRA Paper.
[Full Text][Citation analysis]
paper0
1999Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes In: Econometric Reviews.
[Full Text][Citation analysis]
article19
2001A REVIEW OF SYSTEMS COINTEGRATION TESTS In: Econometric Reviews.
[Full Text][Citation analysis]
article67
1998A review of systemscointegration tests.(1998) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67
paper
2008Predicting U.S. Recessions with Dynamic Binary Response Models In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article120
In: .
[Full Text][Citation analysis]
paper0
1995Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes In: SFB 373 Discussion Papers.
[Citation analysis]
paper0
1997Trend adjustment prior to testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper2
1997Order selection in testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper1
1999Testing for unit roots in time series with level shifts In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper1
1999Unit root tests for time series with a structural break: When the break point is known In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper2
2000Cointegrating smooth transition regressions with applications to the Asian currency crisis In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper0
2001Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper1
2001Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team