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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

Cointegrating smooth transition regressions with application to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

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

Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes

Saikkonen, Pentti; Lütkepohl, Helmut - In: Nonlinear econometric modeling in time series : …, (pp. 165-201). 2000

Persistent link: https://www.econbiz.de/10001532227

Vector autoregressive processes with nonlinear time trends in cointegrating relations

Ripatti, Antti; Saikkonen, Pentti - In: Macroeconomic dynamics 5 (2001) 4, pp. 577-597

Persistent link: https://www.econbiz.de/10001625171

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

Stability of nonlinear AR-GARCH models

Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2006

Persistent link: https://www.econbiz.de/10003375909

Testing for linear and nonlinear predictability of stock returns

Lanne, Markus; Meitz, Mika; Saikkonen, Pentti - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 682-705

Persistent link: https://www.econbiz.de/10010233866

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This 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 asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025