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Residual autocorrelation testing for vector error correction models
Bruggemann, Ralf; Lutkepohl, Helmut; Saikkonen, Pentti - In: Journal of Econometrics 134 (2006) 2, pp. 579-604
Persistent link: https://www.econbiz.de/10005238949
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Impulse response analysis in infinite order cointegrated vector autoregressive processes
Lutkepohl, Helmut; Saikkonen, Pentti - In: Journal of Econometrics 81 (1997) 1, pp. 127-157
Persistent link: https://www.econbiz.de/10005192642
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Testing cointegration in infinite order vector autoregressive processes
Saikkonen, Pentti; Luukkonen, Ritva - In: Journal of Econometrics 81 (1997) 1, pp. 93-126
Persistent link: https://www.econbiz.de/10005192667
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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/10005192758
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Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Lutkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: Journal of Econometrics 113 (2003) 2, pp. 201-229
Persistent link: https://www.econbiz.de/10005228747
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Testing for the cointegrating rank of a VAR process with a time trend
Lutkepohl, Helmut; Saikkonen, Pentti - In: Journal of Econometrics 95 (2000) 1, pp. 177-198
Persistent link: https://www.econbiz.de/10005228790
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Asymptotic relative efficiency of the classical test statistics under misspecification
Saikkonen, Pentti - In: Journal of Econometrics 42 (1989) 3, pp. 351-369
Persistent link: https://www.econbiz.de/10005122694