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~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of econometrics"
~language:"eng"
~person:"Saikkonen, Pentti"
~subject:"Autokorrelation"
~subject:"Theory"
~type_genre:"Article in journal"
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Autokorrelation
Theory
Theorie
6
VAR model
6
VAR-Modell
6
Cointegration
4
Estimation theory
4
Kointegration
4
Schätztheorie
4
Time series analysis
3
Zeitreihenanalyse
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Autocorrelation
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Gaussian mixture autoregressive model
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Geldnachfrage
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Higher-order approximation of the log-likelihood
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Identification
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Logistic mixture autoregressive model
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Maximum-Likelihood-Schätzung
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Non-Gaussianity
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Nonlinear vector autoregressive models
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Regime switching
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Saikkonen, Pentti
Phillips, Peter C. B.
37
Lee, Lung-fei
26
Koop, Gary
16
Yu, Jun
16
Gouriéroux, Christian
15
Pesaran, M. Hashem
15
Swanson, Norman R.
15
Linton, Oliver
14
Ghysels, Eric
13
Diebold, Francis X.
12
McAleer, Michael
12
Robinson, Peter M.
12
Aït-Sahalia, Yacine
11
Chib, Siddhartha
11
Granger, C. W. J.
11
Hsiao, Cheng
11
Renault, Eric
11
Schmidt, Peter
11
Steel, Mark F. J.
11
Timmermann, Allan
11
Xiao, Zhijie
11
Corradi, Valentina
10
Dufour, Jean-Marie
10
Hong, Yongmiao
10
Taylor, Robert
10
Tsionas, Efthymios G.
10
Li, Qi
9
Sun, Yixiao
9
Whang, Yoon-jae
9
Baltagi, Badi H.
8
Barnett, William A.
8
Hidalgo, Javier
8
Kohn, Robert
8
Kumbhakar, Subal
8
Lewbel, Arthur
8
Lütkepohl, Helmut
8
Magnus, Jan R.
8
Ng, Serena
8
Park, Joon Y.
8
Patton, Andrew J.
8
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International review of financial analysis
Journal of econometrics
Econometric theory
17
The econometrics journal
4
Econometric reviews
2
Economics letters
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Nonparametric dynamic modelling
2
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of time series econometrics
1
Macroeconomic dynamics
1
Oxford bulletin of economics and statistics
1
The Manchester School
1
The review of economics and statistics
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ECONIS (ZBW)
7
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1
Testing for observation-dependent regime switching in mixture autoregressive models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 601-624
Persistent link: https://www.econbiz.de/10012619762
Saved in:
2
Residual autocorrelation testing for vector error correction models
Brüggemann, Ralf
;
Lütkepohl, Helmut
;
Saikkonen, Pentti
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 579-604
Persistent link: https://www.econbiz.de/10003374345
Saved in:
3
Stability results for nonlinear error correction models
Saikkonen, Pentti
- In:
Journal of econometrics
127
(
2005
)
1
,
pp. 69-81
Persistent link: https://www.econbiz.de/10002756922
Saved in:
4
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Lütkepohl, Helmut
;
Saikkonen, Pentti
;
Trenkler, Carsten
- In:
Journal of econometrics
113
(
2003
)
2
,
pp. 201-229
Persistent link: https://www.econbiz.de/10001738893
Saved in:
5
Testing for the cointegrating rank of a VAR process with a time trend
Lütkepohl, Helmut
;
Saikkonen, Pentti
- In:
Journal of econometrics
95
(
2000
)
1
,
pp. 177-198
Persistent link: https://www.econbiz.de/10001432560
Saved in:
6
Impulse response analysis in infinite order cointegrated vector autoregressive processes
Lütkepohl, Helmut
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 127-157
Persistent link: https://www.econbiz.de/10001336799
Saved in:
7
Testing cointegration in infinite order vector autoregressive processes
Saikkonen, Pentti
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 93-126
Persistent link: https://www.econbiz.de/10001336800
Saved in:
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