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Cointegrating smooth transition regressions

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

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

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

Modelling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - 2000

Persistent link: https://www.econbiz.de/10001528164

Cointegrating smooth transition regressions with application to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

Persistent link: https://www.econbiz.de/10001555318

Nonlinear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - 2002

Persistent link: https://www.econbiz.de/10001668610

Reducing size distortions of parametric stationarity tests

Lanne, Markku; Saikkonen, Pentti - 2000

Persistent link: https://www.econbiz.de/10001470392

Testing linearity in cointegrating transition regressions

Choi, In; Saikkonen, Pentti - In: The econometrics journal 7 (2004) 2, pp. 341-365

Persistent link: https://www.econbiz.de/10002463466

Modeling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 96-125

Persistent link: https://www.econbiz.de/10002220969

Nob-linear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - In: The econometrics journal 8 (2005) 2, pp. 251-276

Persistent link: https://www.econbiz.de/10003018967

Reducing size distortions of parametric stationarity tests

Lanne, Markku; Saikkonen, Pentti - 2000

The use of asymptotic critical values in stationarity tests against the alternative of a unit rot process is known to lead to overrejections in finite samples when the considered process is stationary but highly persistent. We claim that in recent parametric tests this is caused by estimation...

Persistent link: https://www.econbiz.de/10009582386