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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2015
Persistent link: https://www.econbiz.de/10010514606
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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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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304
Persistent link: https://www.econbiz.de/10011818296
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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
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Asymptotically efficient estimation of cointegration regressions
Saikkonen, Pentti - In: Econometric theory 7 (1991) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10001111342
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Estimation and testing of cointegrated systems by an autoregressive approximation
Saikkonen, Pentti - In: Econometric theory 8 (1992) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10001126812
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Consistent estimation in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Saikkonen, Pentti - In: Econometric theory 17 (2001) 2, pp. 296-326
Persistent link: https://www.econbiz.de/10001568399
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Statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Saikkonen, Pentti - In: Econometric theory 17 (2001) 2, pp. 327-356
Persistent link: https://www.econbiz.de/10001568400
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Continuous weak convergence and stochastic equicontinuity results for integrated processes with an application to the estimation of a regression model
Saikkonen, Pentti - In: Econometric theory 9 (1993) 2, pp. 155-188
Persistent link: https://www.econbiz.de/10001143743
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Estimation of DSGE models under diffuse priors and data-driven identification constraints
Lanne, Markku; Luoto, Jani - 2015
Persistent link: https://www.econbiz.de/10011327710