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Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes

Saikkonen, Pentti - In: Econometric reviews 18 (1999) 3, pp. 235-257

Persistent link: https://www.econbiz.de/10001404807

Estimation and testing of cointegrated systems by an autoregressive approximation

Saikkonen, Pentti - In: Econometric theory 8 (1992) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10001126812

Asymptotically efficient estimation of cointegration regressions

Saikkonen, Pentti - In: Econometric theory 7 (1991) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10001111342

Continuous weak convergence and stochastic equicontinuity results for integrated processes with an application to the estimation of a regression model

Saikkonen, Pentti - In: Econometric theory 9 (1993) 2, pp. 155-188

Persistent link: https://www.econbiz.de/10001143743

Consistent estimation in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations

Saikkonen, Pentti - In: Econometric theory 17 (2001) 2, pp. 296-326

Persistent link: https://www.econbiz.de/10001568399

Statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations

Saikkonen, Pentti - In: Econometric theory 17 (2001) 2, pp. 327-356

Persistent link: https://www.econbiz.de/10001568400

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

Stability of regime switching error correction models under linear cointegration

Saikkonen, Pentti - In: Econometric theory 24 (2008) 1, pp. 294-318

Persistent link: https://www.econbiz.de/10003894159

Cointegrating smooth transition regressions

Saikkonen, Pentti; Choi, In - In: Econometric theory 20 (2004) 2, pp. 301-340

Persistent link: https://www.econbiz.de/10001987871

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

A 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 variables. The tests are not likelihood ratio tests but the deterministic...

Persistent link: https://www.econbiz.de/10005861271