Saikkonen, Pentti

name

• Saikkonen, Pentti

Authored works

• An efficient method for the estimation of multivariate moving average models
• Asymptotic moments for an estimator of the inverse autocorrelation function
• Asymptotic properties of some preliminary estimators for autoregressive moving average time series models
• Asymptotic properties of some tests for autocorrelation
• Asymptotic properties of some tests for cross correlation
• Asymptotic relative efficiency of some tests of fit in time series models
• Asymptotically efficient estimation of cointegration regressions
• Comparing asymptotic properties of some tests used in the specification of time series models
• Estimates for spectral averages
• Full information and limited information hypothesis testing results for multivariate time series models
• Lagrange multiplier tests for testing non-linearities in time series models
• Modelling the dynamic relationship between wages and prices in Finland
• On the estimation of Euler equations in the presence of a potential regime shift
• Properties of the Lagrange multiplier test under misspecification
• Testing for serial correlation in dynamic simultaneous equation models with autoregressive disturbances

Works contributed to

• A skewed GARCH-in-mean model : an application to U.S. stock returns
• A specification strategy for order determination in ARMA models
• Cointegrated vector autoregressive process with continuous structural changes
• Testing linearity against univariate smooth transition models
• Testing linearity in univariate time series models
• Threshold autoregressions for strongly autocorrelated time series
• Why is it so difficult to uncover the risk-return tradeoff in stock returns?

Works about Saikkonen, Pentti