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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
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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
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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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Vector autoregressive processes with nonlinear time trends in cointegrating relations
Ripatti, Antti; Saikkonen, Pentti - In: Macroeconomic dynamics 5 (2001) 4, pp. 577-597
Persistent link: https://www.econbiz.de/10001625171
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Testing for unit roots in time series with level shifts
Saikkonen, Pentti; Lütkepohl, Helmut - In: Allgemeines statistisches Archiv : AStA ; journal of … 85 (2001) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001555592
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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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Modeling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku; Saikkonen, Pentti - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 96-125
Persistent link: https://www.econbiz.de/10002220969
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Testing linearity in cointegrating transition regressions
Choi, In; Saikkonen, Pentti - In: The econometrics journal 7 (2004) 2, pp. 341-365
Persistent link: https://www.econbiz.de/10002463466