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Browsing ECO Working Papers by Author "SAIKKONEN, Pentti"
Now showing items 1-7 of 7
Title:Modeling Expectations with Noncausal Autoregressions
Author(s):LANNE, Markku; SAIKKONEN, PenttiDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract: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, PenttiDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract: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, PenttiDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract: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, HelmutDate:2006Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract: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 ...