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Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - In: Econometric theory 27 (2011) 6, pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
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Noncausal vector autoregression
Lanne, Markku; Saikkonen, Pentti - In: Econometric theory 29 (2013) 3, pp. 447-481
Persistent link: https://www.econbiz.de/10009778526
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Subgeometrically ergodic autoregressions
Meitz, Mika; Saikkonen, Pentti - In: Econometric theory 38 (2022) 5, pp. 959-985
Persistent link: https://www.econbiz.de/10013469687
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Point optimal tests for testing the order of differencing in ARIMA models
Saikkonen, Pentti - In: Econometric theory 9 (1993) 3, pp. 343-362
Persistent link: https://www.econbiz.de/10001151130
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Infinite-order cointegrated vector autoregressive processes
Saikkonen, Pentti - In: Econometric theory 12 (1996) 5, pp. 814-844
Persistent link: https://www.econbiz.de/10001214299
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Testing for a unit root in a time series with a level shift at unknown time
Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 18 (2002) 2, pp. 313-348
Persistent link: https://www.econbiz.de/10001661298
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Cointegrating smooth transition regressions
Saikkonen, Pentti; Choi, In - In: Econometric theory 20 (2004) 2, pp. 301-340
Persistent link: https://www.econbiz.de/10001987871
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Stability of regime switching error correction models under linear cointegration
Saikkonen, Pentti - In: Econometric theory 24 (2008) 1, pp. 294-318
Persistent link: https://www.econbiz.de/10003894159