Search Results - person:"Pentti, Saikkonen"

Subgeometrically ergodic autoregressions

Meitz, Mika; Saikkonen, Pentti - In: Econometric theory 38 (2022) 5, pp. 959-985

Persistent link: https://www.econbiz.de/10013469687

Testing identification via heteroskedasticity in structural vector autoregressive models

Lütkepohl, Helmut; Meitz, Mika; Nets̆unajev, Aleksei; … - 2018

Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the unrestricted model including the covariance...

Persistent link: https://www.econbiz.de/10011916918

A mixture autoregressive model based on Student's t-distribution

Meitz, Mika; Preve, Daniel; Saikkonen, Pentti - 2018

Persistent link: https://www.econbiz.de/10011866239

Testing identification via heteroskedasticity in structural vector autoregressive models

Lütkepohl, Helmut; Meitz, Mika; Netšunajev, Aleksei; … - In: The Econometrics Journal 24 (2021) 1, pp. 1-22

Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald-type tests for which only the unrestricted model, including the covariance...

Persistent link: https://www.econbiz.de/10012509003