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Browsing ECO Articles by Author "SAIKKONEN, Pentti"
Now showing items 1-10 of 10
Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2009Type of Publication:ArticleAbstract:P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration ...
Title:Residual Autocorrelation Testing for Vector Error Correction Models
Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2006Type of Publication:ArticleAbstract:In applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case ...
Title:Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns?
Author(s):LANNE, Markku; SAIKKONEN, PenttiDate:2006Type of Publication:ArticleAbstract:The low power of the standard Wald test in a GARCH-in-Mean model with an unnecessary intercept is shown to explain the apparent absence of a risk-return tradeoff in stocks. The importance of this finding is illustrated ...
Title:Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing
Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, CarstenDate:2006Type of Publication:ArticleAbstract:In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period ...
Title:Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time
Author(s):LANNE, Markku; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2003Type of Publication:ArticleAbstract:Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests ...
Title:Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
Author(s):LUETKEPOHL, Helmut; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2003Type of Publication:ArticleAbstract:Two different types of tests for the cointegrating rank of vector autoregressive processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the likelihood ratio ...
Title:Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time
Author(s):SAIKKONEN, Pentti; LUETKEPOHL, HelmutDate:2002Type of Publication:ArticleAbstract:Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift ...
Title:Comparison of Unit Root Tests for Time Series with Level Shifts
Author(s):LANNE, Markku; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2002Type of Publication:ArticleAbstract:Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for. Prior ...