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Pentti Saikkonen

Global rank #1183 98%

Institution: Helsingin yliopisto, Matematiikan ja tilastotieteen laitos

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 1989

Most Recent: 2022

RePEc ID: psa958 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 1.01 1.51 0.00 3.52
Last 10 Years 0.00 2.35 1.51 0.00 6.20
All Time 0.00 11.73 32.68 0.00 57.64

Publication Statistics

Raw Publications 39
Coauthorship-Adjusted Count 47.63

Publications (39)

Year Article Journal Tier Authors
2022 SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS Econometric Theory B 2
2021 Testing identification via heteroskedasticity in structural vector autoregressive models The Econometrics Journal B 4
2021 Testing for observation-dependent regime switching in mixture autoregressive models Journal of Econometrics A 2
2017 Identification and estimation of non-Gaussian structural vector autoregressions Journal of Econometrics A 3
2016 Gaussian mixture vector autoregression Journal of Econometrics A 3
2013 NONCAUSAL VECTOR AUTOREGRESSION Econometric Theory B 2
2012 Optimal forecasting of noncausal autoregressive time series International Journal of Forecasting B 3
2011 GMM Estimation with Non‐causal Instruments Oxford Bulletin of Economics and Statistics B 2
2011 PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS Econometric Theory B 2
2010 TESTS FOR NONLINEAR COINTEGRATION Econometric Theory B 2
2008 Predicting U.S. Recessions with Dynamic Binary Response Models Review of Economics and Statistics A 2
2008 ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS Econometric Theory B 2
2008 STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION Econometric Theory B 1
2006 Residual autocorrelation testing for vector error correction models Journal of Econometrics A 3
2006 Why is it so difficult to uncover the risk-return tradeoff in stock returns? Economics Letters C 2
2006 BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING Econometric Theory B 3
2005 Stability results for nonlinear error correction models Journal of Econometrics A 1
2004 COINTEGRATING SMOOTH TRANSITION REGRESSIONS Econometric Theory B 2
2003 Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time Oxford Bulletin of Economics and Statistics B 3
2003 Comparison of tests for the cointegrating rank of a VAR process with a structural shift Journal of Econometrics A 3
2002 TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME Econometric Theory B 2
2001 CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS Econometric Theory B 1
2001 STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS Econometric Theory B 1
2000 TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT Econometric Theory B 2
2000 Testing for the cointegrating rank of a VAR process with a time trend Journal of Econometrics A 2
1999 LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS Econometric Theory B 2
1999 A lag augmentation test for the cointegrating rank of a VAR process Economics Letters C 2
1997 Impulse response analysis in infinite order cointegrated vector autoregressive processes Journal of Econometrics A 2
1997 Testing cointegration in infinite order vector autoregressive processes Journal of Econometrics A 2
1996 Infinite-Order Cointegrated Vector Autoregressive Processes Econometric Theory B 2
1996 Power of the Lagrange multiplier test for testing an autoregressive unit root Economics Letters C 2
1995 Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems Econometric Theory B 1
1993 Estimation of Cointegration Vectors with Linear Restrictions Econometric Theory B 1
1993 Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model Econometric Theory B 1
1993 Point Optimal Tests for Testing the Order of Differencing in ARIMA Models Econometric Theory B 2
1993 A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root Econometric Theory B 1
1992 Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation Econometric Theory B 1
1991 Asymptotically Efficient Estimation of Cointegration Regressions Econometric Theory B 1
1989 Asymptotic relative efficiency of the classical test statistics under misspecification Journal of Econometrics A 1