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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Meitz, Mika - In: Econometric theory 22 (2006) 5, pp. 985-988

Persistent link: https://www.econbiz.de/10003379128

Testing for observation-dependent regime switching in mixture autoregressive models

Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 222 (2021) 1,3, pp. 601-624

Persistent link: https://www.econbiz.de/10012619762

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

Persistent link: https://www.econbiz.de/10012504441

Identification and estimation of non-Gaussian structural vector autoregressions

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2015

Persistent link: https://www.econbiz.de/10010514606

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

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

Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity

Meitz, Mika; Saikkonen, Pentti - 2011

Persistent link: https://www.econbiz.de/10008905452

Subgeometrically ergodic autoregressions

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

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