Pentti Saikkonen

Research Interests

Nonstationary time series, Nonlinear time series, Noncausal autoregressive models

See also: Research Group in Financial and Macroeconometrics Link

Recent working papers

• Noncausal vector autoregression (with Markku Lanne) PDF
• Parameter estimation in nonlinear AR-GARCH models (with Mika Meitz) PDF
• Modeling expectations with noncausal autoregressions (with Markku Lanne) PDF

Publications since 2000

Manuscripts accepted and in press

• Tests for nonlinear cointegration. Econometric Theory (with In Choi).
• Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term. Econometrics Journal (with Matei Demetrescu and Helmut Lütkepohl).

2008

• Predicting U.S. recessions with dynamic binary response models. Review of Economics and Statistics 90, 777-791 (with Heikki Kauppi).
• Stability of nonlinear AR-GARCH models. Journal of Time Series Analysis 29, 453-475 (with Mika Meitz).
• Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models. Econometric Theory 24, 1291-1320 (with Mika Meitz).
• Testing for the cointegrating rank of a VAR process with level shift and trend break. Journal of Time Series Analysis 29, 331-358 (with Carsten Trenkler and Helmut Lütkepohl).
• Stability of regime switching error correction models under linear cointegration. Econometric Theory 24, 294-318.

2007

• Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedasticity. Statistica Sinica 17, 221-239.
• A multivariate generalized orthogonal factor GARCH model. Journal of Business & Economic Statistics 25, 61-75 (with Markku Lanne).
• Modeling conditional skewness in stock returns. European Journal of Finance 13, 691-704 (with Markku Lanne).

2006

• Residual autocorrelation testing for vector error correction models. Journal of Econometrics 134, 579-604 (with Ralf Brüggemann and Helmut Lütkepohl).
• Break date estimation for VAR processes with level shift with an application to cointegration testing. Econometric Theory 22, 15-68 (with Carsten Trenkler and Helmut Lütkepohl).
• Why is it so difficult to uncover the risk-return tradeoff in stock returns? Economics Letters 92, 118-125 (with Markku Lanne).

2005

• Stability results for nonlinear error correction models. Journal of Econometrics 127, 69-81 (with Markku Lanne).
• Nonlinear GARCH models for highly persistent volatility. Econometrics Journal 8, 251-276.

2004

• Cointegrating smooth transition regressions. Econometric Theory 20, 301-340 (with In Choi)
• Testing linearity in cointegrating smooth transition regressions. Econometrics Journal 7, 341-346 (with In Choi).
• Testing for the cointegrating rank of a VAR process with level shifts at unknown time. Econometrica 72, 647-662 (with Carsten Trenkler and Helmut Lütkepohl).

2003

• Modeling the U.S. short-term interest rate by mixture autoregressive processes. Journal of Financial Econometrics 1, 96-125 (with Markku Lanne).
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift. Journal of Econometrics 113, 201-229 (with Carsten Trenkler and Helmut Lütkepohl).
• Reducing size distortions of parametric stationarity tests. Journal of Time Series Analysis 24, 423-439 (with Markku Lanne).
• Test procedures for unit roots in time series with level shifts at unknown time. Oxford Bulletin of Economics and Statistics 65, 91-115 (with Markku Lanne and Helmut Lütkepohl).

2002

• Testing for a unit root in a time series with a level shift at unknown time. Econometric Theory 18, 313-348 (with Helmut Lütkepohl).
• Threshold autoregressions for strongly autocorrelated time series. Journal of Business & Economic Statistics 20, 282-289 (with Markku Lanne).
• Comparison of unit root tests for time series with level shifts. Journal of Time Series Analysis 23, 667-685 (with Markku Lanne and Helmut Lütkepohl).

2001

• Testing for unit roots in time series with level shifts. Allgemeines Statistisches Archiv 85, 1-25 (with Helmut Lütkepohl).
• Consistent estimation in cointegrated vector autoregressive processes with nonlinear time trends in cointegrating relations. Econometric Theory 17, 296-326.
• Statistical inference in cointegrated vector autoregressive processes with nonlinear time trends in cointegrating relations. Econometric Theory 17, 327-356.
• Vector autoregressive processes with nonlinear time trends in cointegrating relations. Macroeconomic Dynamics 5, 577-597 (with Antti Ripatti).
• A review of systems cointegration tests. Econometric Reviews 20, 247-318 (with Kirstin Hubrich and Helmut Lütkepohl).
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. Econometrics Journal 4, 287-310 (with Carsten Trenkler and Helmut Lütkepohl).

2000

• Testing for the cointegrating rank of a VAR process with a time trend. Journal of Econometrics 95, 177-198 (with Helmut Lütkepohl).
• Testing for the cointegrating rank of a VAR process with an intercept. Econometric Theory 16, 373-406 (with Helmut Lütkepohl).
• Trend adjustment prior to testing for the cointegrating rank of a VAR process. Journal of Time Series Analysis 21, 435-456 (with Helmut Lütkepohl).
• Testing for the cointegrating rank of a VAR process with structural shifts. Journal of Business & Economic Statistics 18, 451-464 (with Helmut Lütkepohl).
• On the estimation of Euler equations in the presence of a potential regime shift. The Manchester School 68 s1, 92-121 (with Antti Ripatti).