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Browsing by Author "Saikkonen, Pentti"
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19981020BuchA Review of systemscointegration tests Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti

20001001BuchCointegrating Smooth Transition RegressionsWith Applications to the Asian CurrencyCrisis Saikkonen, Pentti; Choi, InThis paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array ...

20000207BuchComparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten

19991029BuchComparison of Unit Root Tests for Time Series with Level Shifts Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti

19970714BuchLocal Power of Likelihood Ratio Tests for the Cointegrating Rank of a VAR Process Saikkonen, Pentti; Lütkepohl, HelmutLikelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear ...

20001005BuchMaximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten

20050930BuchModeling the U.S. ShortTerm Interest Rate by Mixture Autoregressive Processes Lanne, Markku; Saikkonen, Pentti

20051007BuchNonlinear GARCH Models for Highly Persistent Volatility Lanne, Markku; Saikkonen, Pentti

19971127BuchOrder Selection in Testing for the Cointegrating Rank of a VAR Process Lütkepohl, Helmut; Saikkonen, PenttiThe impact of the choice of the lag length on tests for the number of cointegration relations in a vector autoregressive (VAR) process is investigated. It is shown that the asymptotic distribution of likelihood ratio (LR) ...

20050916BuchReducing Size Distortions of Parametric Stationarity Tests Lanne, Markku; Saikkonen, Pentti

20011001BuchStability Results for Nonlinear Vector Autoregressions with an Application to a Nonlinear Error Correction Model Saikkonen, Pentti

20010620BuchTest Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti

19990913BuchTesting for a Unit Root in a Time Series with a Level Shift at Unknown Time Saikkonen, Pentti; Lütkepohl, Helmut

19980610BuchTesting for the Cointegrating Rank of a VAR Process with an Intercept Saikkonen, Pentti; Lütkepohl, HelmutTesting the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative ...

20060911BuchTesting for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, HelmutA test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated ...

20010905BuchTesting for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten

20010723BuchTesting for the Cointegrating Rank of a VAR Process with Structural Shifts Saikkonen, Pentti; Lütkepohl, Helmut

19990226BuchTesting for Unit Roots in Time Series with Level Shifts Saikkonen, Pentti; Lütkepohl, HelmutTests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple onetime shift which can be captured by a dummy variable ...

19971022BuchTrend Adjustment Prior to Testing for the Cointegrating Rank of a VAR Process Saikkonen, Pentti; Lütkepohl, HelmutTesting the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend ...

19990319BuchUnit Root Tests for Time Series with a Structural Break When the Break Point is KnownLütkepohl, Helmut; Müller, Christian; Saikkonen, Pentti