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Testing for predictability in a noninvertible ARMA model

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012

We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...

Persistent link: https://www.econbiz.de/10009621936

Cointegrating smooth transition regressions

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

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

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

Lanne, Markku; Saikkonen, Pentti - 2000

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

Reducing size distortions of parametric stationarity tests

Lanne, Markku; Saikkonen, Pentti - 2000

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

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

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

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

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

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

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