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Browsing ECO Working Papers by Author "SAIKKONEN, Pentti"

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Title: Modeling Expectations with Noncausal Autoregressions Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper is concerned with univariate noncausal autoregressive models and their potential usefulness in economic applications. We argue that noncausal autoregres- sive models are especially well suited for modeling ...
Title: Parameter Estimation in Nonlinear AR-GARCH Models Author(s): MEITZ, Mika; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a functional coe cient autoregression of order p (AR(p)) with the conditional ...
Title: Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s): DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: When applying Johansen's procedure for determining the coin- tegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in ...
Title: Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break Author(s): TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, Helmut Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
Title: Modeling Conditional Skewness in Stock Returns Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO
Title: Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift Author(s): SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, Carsten Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO
Title: Residual Autocorrelation Testing for Vector Error Correction Models Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO

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