Pentti Saikkonen | Academic Influence

Pentti Saikkonen's AcademicInfluence.com Rankings

Pentti Saikkonen

Mathematics

#7302

World Rank

#9952

Historical Rank

Statistics

#820

World Rank

#910

Historical Rank

mathematics Degrees

Download Badge

Mathematics

Pentti Saikkonen's Degrees

PhD Statistics University of Helsinki

Why Is Pentti Saikkonen Influential?

(Suggest an Edit or Addition)

According to Wikipedia, Pentti Juhani Saikkonen is a Finnish statistician specializing in time series analysis. Since 2004 he is a professor of statistics at the University of Helsinki. A native of Lahti, Saikkonen attended the University of Helsinki, where he earned his licentiate in 1981, and his doctorate in 1986.

(See a Problem?)

Pentti Saikkonen's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Testing linearity against smooth transition autoregressive models (1988) (1440)
Asymptotically Efficient Estimation of Cointegration Regressions (1991) (1167)
Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation (1992) (397)
Comparison of unit root tests for time series with level shifts (2002) (356)
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME (2002) (352)
Predicting U.S. Recessions with Dynamic Binary Response Models (2008) (326)
Testing for the Cointegrating Rank of a VAR Process With Structural Shifts (2000) (301)
Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process (2001) (258)
Lagrange multiplier tests for testing non-linearities in time series models (1988) (156)
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time (2003) (152)
Identification and estimation of non-Gaussian structural vector autoregressions (2015) (146)
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process (2000) (142)
Testing linearity in univariate, time series models (1988) (142)
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (2004) (136)
A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001) (128)
COINTEGRATING SMOOTH TRANSITION REGRESSIONS (2004) (125)
Testing cointegration in infinite order vector autoregressive processes (1997) (119)
Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models (1993) (118)
A Multivariate Generalized Orthogonal Factor GARCH Model (2007) (116)
Testing for the Cointegrating Rank of a VAR Process with a Time Trend (2000) (116)
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (2008) (108)
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT (2000) (96)
Testing Linearity in Cointegrating Smooth Transition Regressions (2004) (96)
Impulse response analysis in infinite order cointegrated vector autoregressive processes (1997) (92)
TESTS FOR NONLINEAR COINTEGRATION (2009) (92)
Noncausal Autoregressions for Economic Time Series (2010) (82)
Order Selection in Testing for the Cointegrating Rank of a VAR Process (1997) (76)
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes (2003) (69)
Stability results for nonlinear error correction models (2005) (66)
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS (1999) (61)
Non-Linear GARCH Models for Highly Persistent Volatility (2005) (59)
Optimal Forecasting of Noncausal Autoregressive Time Series (2010) (59)
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break (2008) (59)
Residual autocorrelation testing for vector error correction models (2006) (58)
Parameter Estimation in Nonlinear AR-GARCH Models (2011) (58)
Infinite-Order Cointegrated Vector Autoregressive Processes (1996) (57)
Comparison of tests for the cointegrating rank of a VAR process with a structural shift (2003) (55)
Why is it so difficult to uncover the risk-return tradeoff in stock returns? (2006) (55)
Stability of Nonlinear Ar-Garch Models (2006) (47)
Asymptotic relative efficiency of the classical test statistics under misspecification (1989) (45)
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION (2007) (44)
Stability of nonlinear AR‐GARCH models (2008) (44)
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems (1995) (44)
Estimation of Cointegration Vectors with Linear Restrictions (1993) (42)
Trend Adjustment Prior to Testing for the Cointegrating Rank of a VAR Process (1997) (40)
Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes (1999) (38)
A review of systemscointegration tests (1998) (35)
Nonlinear GARCH Models for Highly Persistent Volatility (2002) (34)
Gaussian mixture vector autoregression (2016) (34)
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models (1993) (34)
Forecasting with a Noncausal VAR Model (2012) (32)
A Gaussian Mixture Autoregressive Model for Univariate Time Series (2015) (31)
Threshold Autoregressions for Strongly Autocorrelated Time Series (2002) (29)
Testing for unit roots in time series with level shifts (2001) (29)
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING (2005) (25)
STABILITY OF MIXTURES OF VECTOR AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (2007) (24)
CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS (2001) (22)
Testing for a Unit Root in Noncausal Autoregressive Models (2013) (21)
Asymptotic Properties Of Some Preliminary Estimators For Autoregressive Moving Average Time Series Models (1986) (21)
Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model (1993) (21)
STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS (2001) (19)
Reducing size distortions of parametric stationarity tests (2003) (18)
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term (2009) (17)
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes (1999) (17)
Unit root tests for time series with a structural break when the break point is known (1999) (16)
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity (2013) (15)
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models (2018) (15)
Modeling Expectations with Noncausal Autoregressions (2008) (15)
Nonlinear GARCH Models for Highly Persistent Volatility 1 (2004) (13)
A note on the geometric ergodicity of a nonlinear AR-ARCH model (2010) (13)
Testing for observation-dependent regime switching in mixture autoregressive models (2017) (12)
A mixture autoregressive model based on Student’s t–distribution (2018) (12)
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns (2004) (10)
GMM Estimation with Non‐Causal Instruments (2011) (10)
On mixture autoregressive models (2003) (10)
Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model (2001) (9)
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (2008) (9)
On the Estimation of Euler Equations in the Presence of a Potential Regime Shift (1999) (8)
Testing for Linear and Nonlinear Predictability of Stock Returns (2013) (8)
A lag augmentation test for the cointegrating rank of a VAR process (1999) (8)
GMM Estimation with Noncausal Instruments (2009) (7)
Modelling the Dynamic Relationship between Wages and Prices in Finland (1985) (6)
StMAR Toolbox: A MATLAB Toolbox for Student's t Mixture Autoregressive Models (2018) (6)
Innnite Order Cointegrated Vector Autoregressive Processes: Estimation and Inference (1994) (6)
Essays on Non-linear Time Series Econometrics (2014) (4)
Subgeometric ergodicity and β-mixing (2019) (4)
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION (1996) (4)
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS (2019) (4)
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes (1995) (4)
Stationarity and ergodicity of vector STAR models (2018) (3)
Cointegrating smooth transition regressions with applications to the Asian currency crisis (2000) (3)
A specification strategy for order determination in arma models (1988) (3)
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift (2004) (3)
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root (1993) (3)
Cointegrated vector autoregressive processes with continuous structural changes (1998) (3)
Dependent versions of a central limit theorem for the squared length of a sample mean (1995) (2)
Subgeometric ergodicity and $\beta$-mixing (2019) (2)
Unit Root Tests in the Presence of Innovational Outliers (2002) (2)
MODELING THE EURO–USD EXCHANGE RATE WITH THE GAUSSIAN MIXTURE AUTOREGRESSIVE MODEL (2014) (2)
Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters (2008) (2)
A Multivariate Generalized Orthogonal Factor GARCH Model 1 (2004) (1)
Power of the Lagrange multiplier test for testing an autoregressive unit root (1996) (1)
Asymptotic properties of some tests for autocorrelation (1986) (1)
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS (1983) (1)
Estimating multivariate autoregressive moving average models by fitting long autoregressions (1989) (1)
An efficient method for the estimation of multivariate moving averge models (1988) (1)
Testing for predictability in a noninvertible ARMA model (2012) (1)
Non-causal Inflation (2010) (1)
Asymptotic properties of some tests for cross correlation (1983) (1)
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity (2022) (0)
ECO 2008 / 25 Parameter Estimation in Nonlinear AR-GARCH Models (2008) (0)
photograph section (2019) (0)
An Application to U.S. Stock Returns (2004) (0)
Supplementary appendix to "noncausal vector autoregression" (2012) (0)
No . 212 Modeling Expectations with Noncausal Autoregressions * (2013) (0)
Impulse Response Analysis in In nite OrderCointegrated Vector Autoregressive ProcessesbyHelmut (1995) (0)
CREATES Research Paper 2008-30 Parameter estimation in nonlinear AR-GARCH models (2008) (0)

This paper list is powered by the following services:

Other Resources About Pentti Saikkonen

en.wikipedia.org

What Schools Are Affiliated With Pentti Saikkonen?

Pentti Saikkonen is affiliated with the following schools:

University of Helsinki