Pentti Saikkonen
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Finnish statistician, professor emeritus of statistics
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Pentti Saikkonenmathematics Degrees
Mathematics
#7302
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#9952
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Statistics
#820
World Rank
#910
Historical Rank

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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.
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)
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