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Browsing by Author "Saikkonen, Pentti"
Now showing items 1-20 of 24
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1998-10-20BuchA Review of systemscointegration tests Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti
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2005-12-12ZeitschriftenartikelBreak Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing Saikkonen, Pentti; Lütkepohl, Helmut; Trenkler, CarstenIn testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period ...
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2000-10-01BuchCointegrating 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 ...
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2000-02-07BuchComparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten
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1999-10-29BuchComparison of Unit Root Tests for Time Series with Level Shifts Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti
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1997-07-14BuchLocal 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 ...
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2000-10-05BuchMaximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten
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2005-09-30BuchModeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes Lanne, Markku; Saikkonen, Pentti
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2005-10-07BuchNonlinear GARCH Models for Highly Persistent Volatility Lanne, Markku; Saikkonen, Pentti
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1997-11-27BuchOrder 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) ...
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2005-09-16BuchReducing Size Distortions of Parametric Stationarity Tests Lanne, Markku; Saikkonen, Pentti
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2001-10-01BuchStability Results for Nonlinear Vector Autoregressions with an Application to a Nonlinear Error Correction Model Saikkonen, Pentti
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2001-06-20BuchTest Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti
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1999-09-13BuchTesting for a Unit Root in a Time Series with a Level Shift at Unknown Time Saikkonen, Pentti; Lütkepohl, Helmut
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2002-05-16ZeitschriftenartikelTesting for a unit root in a time series with a level shift at unknown time Saikkonen, Pentti; Lütkepohl, HelmutUnit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift ...
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1998-06-10BuchTesting 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 ...
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2000-06-01ZeitschriftenartikelTesting 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 (1990, Oxford Bulletin of Economics and ...
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2006-09-11DiskussionspapierTesting 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 ...
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2001-09-05BuchTesting for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten
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2001-07-23BuchTesting for the Cointegrating Rank of a VAR Process with Structural Shifts Saikkonen, Pentti; Lütkepohl, Helmut