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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304
Persistent link: https://www.econbiz.de/10011818296
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Stability results for nonlinear error correction models
Saikkonen, Pentti - In: Journal of econometrics 127 (2005) 1, pp. 69-81
Persistent link: https://www.econbiz.de/10002756922
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Testing for the cointegrating rank of a VAR process with a time trend
Lütkepohl, Helmut; Saikkonen, Pentti - In: Journal of econometrics 95 (2000) 1, pp. 177-198
Persistent link: https://www.econbiz.de/10001432560
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Impulse response analysis in infinite order cointegrated vector autoregressive processes
Lütkepohl, Helmut - In: Journal of econometrics 81 (1997) 1, pp. 127-157
Persistent link: https://www.econbiz.de/10001336799
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Testing cointegration in infinite order vector autoregressive processes
Saikkonen, Pentti - In: Journal of econometrics 81 (1997) 1, pp. 93-126
Persistent link: https://www.econbiz.de/10001336800
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Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: Journal of econometrics 113 (2003) 2, pp. 201-229
Persistent link: https://www.econbiz.de/10001738893
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Gaussian mixture vector autoregression
Kalliovirta, Leena; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 192 (2016) 2, pp. 485-498
Persistent link: https://www.econbiz.de/10011704732
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Testing for observation-dependent regime switching in mixture autoregressive models
Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 222 (2021) 1,3, pp. 601-624
Persistent link: https://www.econbiz.de/10012619762
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Residual autocorrelation testing for vector error correction models
Brüggemann, Ralf; Lütkepohl, Helmut; Saikkonen, Pentti - In: Journal of econometrics 134 (2006) 2, pp. 579-604
Persistent link: https://www.econbiz.de/10003374345
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Stability results for nonlinear error correction models
Saikkonen, Pentti - In: Journal of econometrics 127 (2005) 1, pp. 69-82
Persistent link: https://www.econbiz.de/10006752635