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Publications by Pentti Saikkonen

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

Econometrics Journal

English

Optimal Forecasting of Noncausal Autoregressive Time Series

SSRN Electronic Journal

English

Testing for the Cointegrating Rank of a VAR Process With Level Shift at Unknown Time

English

Comparison of Tests for the Cointegrating Rank of a VAR Process With a Structural Shift

Journal of Econometrics

Philosophy of Science

Applied Mathematics

English

Testing for the Cointegrating Rank of a VAR Process With Structural Shifts

Journal of Business and Economic Statistics

Social Sciences

English

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift

SSRN Electronic Journal

English