Pentti Saikkonen

University of Helsinki - Department of Statistics

Professor

Finland

SCHOLARLY PAPERS

23

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1,267

SSRN CITATIONS
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Top 6,951

in Total Papers Citations

15

CROSSREF CITATIONS

132

Scholarly Papers (23)

1.

Nonlinear GARCH Models for Highly Persistent Volatility

Number of pages: 43 Posted: 20 Feb 2002
Markku Lanne and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 363 (83,345)
Citation 3

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nonlinear GARCH models, volatility persistence, exchange rates

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

EFA 2001 Barcelona Meetings
Number of pages: 34 Posted: 05 Jul 2001
Markku Lanne and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 201 (154,251)
Citation 3

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mixture model, volatility, interest rate

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

Journal of Financial Econometrics, Vol. 1, No. 1, pp. 96-125, 2003
Posted: 29 Feb 2008
Markku Lanne and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics

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3.
Downloads 96 (278,195)
Citation 2

Parameter Estimation in Nonlinear AR-GARCH Models

CREATES Research Paper 2008-30
Number of pages: 60 Posted: 24 Jun 2008
Mika Meitz and Pentti Saikkonen
Koc University - Department of Economics and University of Helsinki - Department of Statistics
Downloads 71 (337,529)
Citation 4

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AR-GARCH, asymptotic normality, consistency, nonlinear time series, quasi maximum likelihood estimation

Parameter Estimation in Nonlinear AR-GARCH Models

Number of pages: 60 Posted: 11 Jun 2008
Mika Meitz and Pentti Saikkonen
Koc University - Department of Economics and University of Helsinki - Department of Statistics
Downloads 25 (519,374)
Citation 4

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AR-GARCH, asymptotic normality, consistency, nonlinear time series, quasi

4.

Noncausal Vector Autoregression

Bank of Finland Research Discussion Paper No. 18/2009
Number of pages: 66 Posted: 17 Aug 2009
Markku Lanne and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 84 (302,694)
Citation 14

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elliptic distribution, fiscal foresight, maximum likelihood estimation, noncausal, nonfundamentalness, non-Gaussian, term structure of interest rates

5.

Forecasting with a Noncausal VAR Model

Bank of Finland Research Discussion Paper No. 33/2012
Number of pages: 43 Posted: 10 Nov 2012
Henri Nyberg and Pentti Saikkonen
University of Turku and University of Helsinki - Department of Statistics
Downloads 71 (333,738)

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noncausal vector autoregression, forecasting, simulation, importance sampling, inflation

6.

Modeling Expectations with Noncausal Autoregressions

Number of pages: 42 Posted: 07 Aug 2008
Markku Lanne and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 69 (339,080)
Citation 5

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Noncausal autoregressive model, forward-looking dynamics, inflation dynamics

7.
Downloads 63 (355,649)
Citation 13

Stability of Nonlinear Ar-Garch Models

CORE Discussion Paper No. 2006/78
Number of pages: 23 Posted: 19 Nov 2006
Mika Meitz and Pentti Saikkonen
Koc University - Department of Economics and University of Helsinki - Department of Statistics
Downloads 60 (369,554)
Citation 3

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Stability of Nonlinear AR-GARCH Models

Journal of Time Series Analysis, Vol. 29, Issue 3, pp. 453-475, May 2008
Number of pages: 23 Posted: 22 Apr 2008
Mika Meitz and Pentti Saikkonen
Koc University - Department of Economics and University of Helsinki - Department of Statistics
Downloads 3 (672,521)
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8.

Optimal Forecasting of Noncausal Autoregressive Time Series

HEER (Helsinki Center of Economic Research) Discussion Paper No. 286
Number of pages: 30 Posted: 06 Mar 2010
Markku Lanne, Jani Luoto and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies, University of Helsinki and University of Helsinki - Department of Statistics
Downloads 51 (393,308)
Citation 2

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Noncausal autoregression, density forecast, inflation

Testing for a Unit Root in Noncausal Autoregressive Models

Bank of Finland Research Discussion Paper No. 26/2013
Number of pages: 33 Posted: 22 Nov 2013
Pentti Saikkonen and Rickard Sandberg
University of Helsinki - Department of Statistics and Stockholm School of Economics - Stockholm Institute of Transition Economics (SITE)
Downloads 39 (447,271)

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maximum likelihood estimation, noncausal autoregressive model, non-Gaussian time series, unit root

Testing for a Unit Root in Noncausal Autoregressive Models

Journal of Time Series Analysis, Vol. 37, Issue 1, pp. 99-125, 2016
Number of pages: 27 Posted: 22 Dec 2015
Pentti Saikkonen and Rickard Sandberg
University of Helsinki - Department of Statistics and Stockholm School of Economics - Stockholm Institute of Transition Economics (SITE)
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Maximum likelihood estimation, noncausal autoregressive model, non‐Gaussian time series, unit root, bootstrap

10.

GMM Estimation with Noncausal Instruments

HECER Discussion Paper No. 274
Number of pages: 16 Posted: 16 Oct 2009
Pentti Saikkonen and Markku Lanne
University of Helsinki - Department of Statistics and University of Helsinki - Department of Political and Economic Studies
Downloads 39 (437,771)

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noncausal autoregression, instrumental variables, test of overidentifying restrictions

11.

A Mixture Autoregressive Model Based on Student's t-Distribution

Number of pages: 23 Posted: 24 May 2018 Last Revised: 22 Aug 2018
Mika Meitz, Daniel P. A. Preve and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies, Singapore Management University and University of Helsinki - Department of Statistics
Downloads 28 (487,811)
Citation 1

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Conditional heteroskedasticity, mixture model, regime switching, Student’s t-distribution

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift

Bank of Finland Research Discussion Paper No. 6/1999
Number of pages: 36 Posted: 17 Oct 2007
Pentti Saikkonen and Antti Ripatti
University of Helsinki - Department of Statistics and University of Helsinki
Downloads 28 (501,552)
Citation 1

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peso problem, Euler equations, GMM, threshold autoregressive models

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift

The Manchester School, Vol. 68, No. 5
Posted: 18 Apr 2001
Pentti Saikkonen and Antti Ripatti
University of Helsinki - Department of Statistics and University of Helsinki

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13.

Reducing Size Distortions of Parametric Stationarity Tests

Journal of Time Series Analysis, Vol. 24, pp. 423-439, July 2003
Number of pages: 17 Posted: 29 Sep 2003
Markku Lanne and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 26 (498,511)
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14.

StMAR Toolbox: A MATLAB Toolbox for Student's t Mixture Autoregressive Models

Number of pages: 18 Posted: 31 Aug 2018
Mika Meitz, Daniel P. A. Preve and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies, Singapore Management University and University of Helsinki - Department of Statistics
Downloads 25 (503,965)

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Mixture Model, Regime Switching, Conditional Heteroskedasticity, Student’s t Distribution, Financial Econometrics, Numerical Optimization, Parallel Computing, MATLAB

15.

Comparison of Unit Root Tests for Time Series with Level Shifts

Journal of Time Series Analysis, Vol. 23, pp. 667-685, 2002
Number of pages: 19 Posted: 14 Feb 2003
Markku Lanne, Helmut Luetkepohl and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies, European University Institute and University of Helsinki - Department of Statistics
Downloads 24 (509,701)
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16.

Non-Linear GARCH Models for Highly Persistent Volatility

Econometrics Journal, Vol. 8, No. 2, pp. 251-276, July 2005
Number of pages: 26 Posted: 02 Aug 2005
Markku Lanne and Pentti Saikkonen
University of Jyväskylä - School of Business and Economics and University of Helsinki - Department of Statistics
Downloads 18 (545,104)
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17.

Testing for the Co-integrating Rank of a VAR Process with Level Shift and Trend Break

Journal of Time Series Analysis, Vol. 29, Issue 2, pp. 331-358, March 2008
Number of pages: 28 Posted: 29 Feb 2008
Carsten Trenkler, Pentti Saikkonen and Helmut Luetkepohl
University of Mannheim, University of Helsinki - Department of Statistics and European University Institute
Downloads 13 (575,740)
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18.

Testing Linearity in Cointegrating Smooth Transition Regressions

Econometrics Journal, Vol. 7, No. 2, pp. 341-365, December 2004
Number of pages: 25 Posted: 13 Dec 2004
In Choi and Pentti Saikkonen
Hong Kong University of Science & Technology (HKUST) - Department of Economics and University of Helsinki - Department of Statistics
Downloads 12 (582,207)
Citation 1
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19.

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

DIW Berlin Discussion Paper No. 1764
Number of pages: 28 Posted: 21 Oct 2018
Free University of Berlin (FUB), University of Helsinki - Department of Political and Economic Studies, Free University of Berlin (FUB) and University of Helsinki - Department of Statistics
Downloads 11 (588,609)
Citation 2

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Heteroskedasticity, structural identification, vector autoregressive process

20.

GMM Estimation with Non‐Causal Instruments

Oxford Bulletin of Economics and Statistics, Vol. 73, Issue 5, pp. 581-592, 2011
Number of pages: 12 Posted: 16 Sep 2011
Markku Lanne and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 4 (635,113)
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21.

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term

Econometrics Journal, Vol. 12, Issue 3, pp. 414-435, November 2009
Number of pages: 22 Posted: 01 Dec 2009
Matei Demetrescu, Helmut Luetkepohl and Pentti Saikkonen
Goethe University Frankfurt - Faculty of Economics and Business Administration, European University Institute and University of Helsinki - Department of Statistics
Downloads 2 (652,176)
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22.

A Gaussian Mixture Autoregressive Model for Univariate Time Series

Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 247-266, 2015
Number of pages: 20 Posted: 13 Feb 2015
Leena Kalliovirta, Mika Meitz and Pentti Saikkonen
University of Helsinki - Department of Statistics, University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 0 (680,924)
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ergodicity, Markov chain, nonlinear autoregression, regime switching, stationarity

23.

A Review of Systems Cointegration Tests

Econometric Reviews, Vol. 20, No. 3, pp. 247-318, 2001
Posted: 09 Feb 2005
Kirstin Hubrich, Helmut Luetkepohl and Pentti Saikkonen
Board of Governors of the Federal Reserve System, European University Institute and University of Helsinki - Department of Statistics

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Systems cointegration tests, LR tests, nonparametric tests, asymptotic power, small sample simulations