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Publications 2002 2018

2018

Testing identification via heteroskedasticity in structural vector autoregressive models

Lütkepohl, H., Meitz, M. H., Netšunajev, A. & Saikkonen, P. J., Oct 2018, In : DIW Discussion Papers. 2018, 1764, 26 p.

Research output: Contribution to journalArticleScientific

Open Access
2017

Identification and Estimation of Non-Gaussian Structural Vector Autoregressions

Lanne, M., Meitz, M. & Saikkonen, P., Feb 2017, In : Journal of Econometrics. 196, 2, p. 288-304 17 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File

Testing for observation-dependent regime switching in mixture autoregressive models

Meitz, M. H. & Saikkonen, P. J., Oct 2017, In : HECER discussion papers. 420, 56 p.

Research output: Contribution to journalArticleScientific

2016

Gaussian mixture vector autoregression

Kalliovirta, L. K., Meitz, M. H. & Saikkonen, P. J., Jun 2016, In : Journal of Econometrics. 192, 2, p. 485-498 14 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File

Testing for a unit root in noncausal autoregressive models

Saikkonen, P. & Sandberg, R., Jan 2016, In : Journal of Time Series Analysis. 37, 1, p. 99-125 27 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
2015

A GAUSSIAN MIXTURE AUTOREGRESSIVE MODEL FOR UNIVARIATE TIME SERIES

Kalliovirta, L., Meitz, M. & Saikkonen, P., Mar 2015, In : Journal of Time Series Analysis. 36, 2, p. 247-266 20 p.

Research output: Contribution to journalArticleScientificpeer-review

Identification and Estimation of Non-Gaussian Structural Vector Autoregressions

Lanne, M., Meitz, M. & Saikkonen, P., Apr 2015, In : CREATES Research Papers. 2015-16, p. 1-22 22 p.

Research output: Contribution to journalArticleProfessional

Open Access
2014

Essays in Nonlinear Time Series Econometrics

Haldrup, N. (ed.), Meitz, M. (ed.) & Saikkonen, P. (ed.), Jun 2014, Oxford: Oxford University Press. 367 p.

Research output: Book/ReportAnthology or special issueScientificpeer-review

Forecasting with a Noncausal VAR Model

Nyberg, H. & Saikkonen, P., Aug 2014, In : Computational Statistics & Data Analysis. 76, p. 536-555 20 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File

Gaussian mixture vector autoregression

Kalliovirta, L., Meitz, M. & Saikkonen, P., Nov 2014, In : HECER discussion papers. 386, p. 1-37 37 p.

Research output: Contribution to journalArticleScientific

MODELING THE EURO–USD EXCHANGE RATE WITH THE GAUSSIAN MIXTURE AUTOREGRESSIVE MODEL

Kalliovirta, L., Meitz, M. & Saikkonen, P., 2014, Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynnönen . Knif, J. & Pape, B. (eds.). Vaasa: University of Vaasa, p. 171-194 23 p. (Acta Wasaensia ; vol. 296)(Acta Wasaensia. Statistics; vol. 7).

Research output: Chapter in Book/Report/Conference proceedingChapterScientific

2013

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

Meitz, M. & Saikkonen, P., Feb 2013, In : Journal of Multivariate Analysis. 114, p. 227-255 29 p.

Research output: Contribution to journalArticleScientificpeer-review

Noncausal Vector Autoregression

Lanne, M. & Saikkonen, P., Jun 2013, In : Econometric Theory. 29, 3, p. 447 - 481 35 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File

Testing for a unit root in noncausal autoregressive models

Saikkonen, P. & Sandberg, R., 17 Nov 2013, Helsinki: Bank of Finland, 33 p. (Bank of Finland Research Discussion Papers; no. 26/2013).

Research output: Working paperDiscussion paperScientific

Open Access

Testing for Linear and Nonlinear Predictability of Stock Returns

Lanne, M., Meitz, M. & Saikkonen, P., 2013, In : Journal of financial econometrics.. 11, 4, p. 682 - 705

Research output: Contribution to journalArticleScientificpeer-review

2012

A Gaussian Mixture autoregressive model for univariate time series

Kalliovirta, L., Meitz, M. & Saikkonen, P., 14 Aug 2012, Helsinki: Helsinki Center of Economic Research. 44 p. (HECER Discussion Paper ; no. 352)

Research output: Book/ReportBookScientificpeer-review

Forecasting with a noncausal VAR model

Nyberg, H. & Saikkonen, P., Nov 2012, Helsinki: Bank of Finland, 37 p. (Bank of Finland Research Discussion Papers; no. 33/2012).

Research output: Working paperDiscussion paperScientific

Open Access

Optimal forecasting of noncausal autoregressive time series

Lanne, M., Luoto, J. & Saikkonen, P., 2012, In : International Journal of Forecasting. 28, 3, p. 623-631 9 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File

Testing for Predictability in a Noninvertible ARMA Model

Lanne, M., Saikkonen, P. & Meitz, M., 2012, In : HECER discussion papers. 351, 33 p.

Research output: Contribution to journalArticleScientific

Open Access
2011

GMM estimation with non-causal instruments

Lanne, M. & Saikkonen, P., 2011, In : Oxford Bulletin of Economics and Statistics. 73, p. 581-592

Research output: Contribution to journalArticleScientificpeer-review

Noncausal autoregressions for economic time series

Lanne, M. & Saikkonen, P., 2011, In : Journal of Time Series Econometrics. 3, 3

Research output: Contribution to journalArticleScientificpeer-review

Noncausal vector autoregression

Lanne, M. & Saikkonen, P., 2011, Unknown host publication. p. 57-62 6 p. (Suomen tilastoseuran vuosikirja; vol. 2010).

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

Parameter estimation in nonlinear AR-GARCH models

Meitz, M. & Saikkonen, P., 2011, In : Econometric Theory. 27, 6, p. 1236–1278 43 p.

Research output: Contribution to journalArticleScientificpeer-review

2010

A note on the geometric ergodicity of a nonlinear AR-ARCH model

Meitz, M. & Saikkonen, P., 2010, In : Statistics & Probability Letters. 80, 7-8, p. 631-638 8 p.

Research output: Contribution to journalArticleScientificpeer-review

Non-causal Inflation

Ellison, M., Lanne, M., Ripatti, A. & Saikkonen, P., 2010, Suomen Pankki.

Research output: Book/ReportCommissioned reportProfessional

Noncausal vector autoregression

Lanne, M. & Saikkonen, P., 2010, Helsinki: University of Helsinki. 56 p. (Discussion papers / Helsinki Center of Economic Research; no. No 293)

Research output: Book/ReportBookScientificpeer-review

Optimal forecasting of noncausal autoregressive time series

Lanne, M., Luoto, J. & Saikkonen, P., 2010, Helsinki: Helsinki Center of Economic Research. 28 p. (Discussion papers / Helsinki Center of Economic Research; no. No 286)

Research output: Book/ReportBookScientificpeer-review

Tests for nonlinear cointegration

Choi, I. & Saikkonen, P., 2010, In : Econometric Theory. 26, 3, p. 682-709 18 p.

Research output: Contribution to journalArticleScientificpeer-review

2009

GMM estimation with noncausal instruments

Lanne, M. & Saikkonen, P., 2009, Helsinki: Helsinki Center of Economic Research. 14 p. (Discussion papers / Helsinki Center of Economic Research; no. No 274)

Research output: Book/ReportBookScientificpeer-review

Noncausal vector autoregression

Lanne, M. & Saikkonen, P., 2009, Helsinki: Bank of Finland, 61 p. (Bank of Finland Research Discussion Papers; no. 18/2009).

Research output: Working paperDiscussion paperScientific

Open Access

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Demetrescu, M., Lütkepohl, H. & Saikkonen, P., 2009, In : Econometrics Journal. 12, 3, p. 414-435 22 p.

Research output: Contribution to journalArticleScientificpeer-review

2008

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models

Meitz, M. & Saikkonen, P., 2008, In : Econometric Theory. 24, 5, p. 1291-1320 30 p.

Research output: Contribution to journalArticleScientificpeer-review

Parameter estimation in non-linear AR-GARCH models

Meitz, M. & Saikkonen, P., 2008, Florence: European University Institute, Department of Economics. 58 p. (EUI working papers ECO / European University Institute, Department of Economics; no. No 2008, 25)

Research output: Book/ReportBookScientificpeer-review

Predicting U.S. recessions with dynamic binary response models

Saikkonen, P. & Kauppi, H., 2008, In : Review of Economics and Statistics. 90, p. 777-791 15 p.

Research output: Contribution to journalArticleScientificpeer-review

Stability of nonlinear AR-GARCH models

Meitz, M. & Saikkonen, P., 2008, In : Journal of Time Series Analysis. 29, 3, p. 453-475 23 p.

Research output: Contribution to journalArticleScientificpeer-review

Stability of regime switching error correction models under linear cointegration

Saikkonen, P., 2008, In : Econometric Theory. 24, 1, p. 294-318 25 p.

Research output: Contribution to journalArticleScientificpeer-review

Testing for the cointegrating rank of a VAR process with level shift and trend break

Trenkler, C., Saikkonen, P. & Lutkepohl, H., Mar 2008, In : Journal of Time Series Analysis. 29, 2, p. 331-358 28 p.

Research output: Contribution to journalArticleScientificpeer-review

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Demetrescu, M., Lutkepohl, H. & Saikkonen, P., 2008, Florence: European University Institute, Department of Economics. 35 p. (EUI working papers ECO / European University Institute, Department of Economics; no. No 2008, 24)

Research output: Book/ReportBookScientificpeer-review

Testing for the cointregrating rank of a VAR process with level shift and trend break

Trenkler, C., Saikkonen, P. & Lutkepohl, H., 2008, In : Journal of Time Series Analysis. 29, 2, p. 331-358 28 p.

Research output: Contribution to journalArticleScientificpeer-review

2007

A multivariate generalized orthogonal factor GARCH model

Lanne, M. & Saikkonen, P., 2007, In : Journal of Business and Economic Statistics. 25, 1, p. 61-75 15 p.

Research output: Contribution to journalArticleScientificpeer-review

Modeling conditional skewness in stock returns

Lanne, M. & Saikkonen, P., 2007, In : European Journal of Finance. 13, 8, p. 691-704 14 p.

Research output: Contribution to journalArticleScientificpeer-review

Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedasticity

Saikkonen, P., 2007, In : Statistica Sinica. 17, 1, p. 221-239 19 p.

Research output: Contribution to journalArticleScientificpeer-review

2006

Break date estimation for VAR processes with level shift with an application to cointegration testing

Saikkonen, P., Lutkepohl, H. & Trenkler, C., 2006, In : Econometric Theory. 22, p. 15-68 54 p.

Research output: Contribution to journalArticleScientificpeer-review

Residual autocorrelation testing for vector error correction models

Bruggemann, R., Lutkepohl, H. & Saikkonen, P., 2006, In : Journal of Econometrics. 134, p. 579-604 26 p.

Research output: Contribution to journalArticleScientificpeer-review

Why is it so difficult to uncover the risk-return tradeoff in stock returns?

Lanne, M. & Saikkonen, P., 2006, In : Economics Letters. 92, 1, p. 118-125 8 p.

Research output: Contribution to journalArticleScientificpeer-review

2005

A multivariate generalized orthogonal factor GARCH model

Lanne, M. & Saikkonen, P., 2005, [Helsinki]: Helsinki Center of Economic Research. 50 p. (Discussion papers / Helsinki Center of Economic Research; no. No 63)

Research output: Book/ReportBookScientificpeer-review

Modeling conditional skewness in stock returns

Lanne, M. & Saikkonen, P., 2005, Florence: European University Institute, Department of Economics. 22 p. (EUI working papers ECO / European University Institute, Department of Economics; no. No. 2005/14)

Research output: Book/ReportBookScientificpeer-review

Non-linear GARCH models for highly persistent volatility

Lanne, M. & Saikkonen, P., 2005, In : Econometrics Journal. 8, p. 251-276 26 p.

Research output: Contribution to journalArticleScientificpeer-review

Predicting U.S. recessions with dynamic binary response models

Kauppi, H. & Saikkonen, P., 2005, [Helsinki]: Helsinki Center of Economic Research. 34 p. (Discussion papers / Helsinki Center of Economic Research; no. No 79)

Research output: Book/ReportBookScientificpeer-review

Stability results for nonlinear error correction models

Saikkonen, P., 2005, In : Journal of Econometrics. 127, p. 69-81 13 p.

Research output: Contribution to journalArticleScientificpeer-review