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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

Cointegrating smooth transition regressions

Saikkonen, Pentti; Choi, In - In: Econometric theory 20 (2004) 2, pp. 301-340

Persistent link: https://www.econbiz.de/10001987871

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/10002756922

Asymptotically efficient estimation of cointegration regressions

Saikkonen, Pentti - In: Econometric theory 7 (1991) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10001111342

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

Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes

Saikkonen, Pentti - In: Econometric reviews 18 (1999) 3, pp. 235-257

Persistent link: https://www.econbiz.de/10001404807

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

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

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

Testing identification via heteroskedasticity in structural vector autoregressive models

Lütkepohl, Helmut; Meitz, Mika; Netšunajev, 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/10011919912

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