Working Papers

  • Reliable residuals for multivariate nonlinear time series models PDF  (with Leena Kalliovirta).
  • A mixture autoregressive model based on Student’s t–distribution PDF (with Mika Meitz and Daniel Preve).
  • Subgeometric ergodicity and β-mixing PDF (with Mika Meitz).

Publications

2020

  • Subgeometrically ergodic autoregressions. Accepted for publication in Econometric Theory PDF (with Mika Meitz). Supplementary Material omitted from the paper.
  • Testing for observation-dependent regime switching in mixture autoregressive models. Accepted for publication in Journal of Econometrics PDF (with Mika Meitz). Supplementary Material omitted from the paper.
  • Testing identification via heteroskedasticity in structural vector autoregressive models. Accepted for publication in Econometrics Journal PDF (with Helmut Lütkepohl, Mika Meitz, and Aleksei Netšunajev).
  • Stationarity and ergodicity of vector STAR models. Econometric Reviews 39 407–414 (with Igor Kheifets).

2017

  • Identification and estimation of non-Gaussian structural vector autoregressions. Journal of Econometrics  196, 288-304 (with Markku Lanne and Mika Meitz).

2016

  • Testing for a unit root in noncausal autoregressive models. Journal of Time Series Analysis 37, 99-125 (with Rickard Sandberg). Supplementary material omitted from the paper.
  • Gaussian mixture vector autoregression Journal of Econometrics  192, 485-498 (with Leena Kalliovirta and Mika Meitz).

2015

  • Gaussian mixture autoregressive model for univariate time series. Journal of Time Series Analysis 36, 247-266 (with Leena Kalliovirta and Mika Meitz).  Supplementary material omitted from the paper.

2014

  • Essays in Nonlinear Time Series Econometrics. Oxford University Press (with Niels Haldrup and Mika Meitz, editors).
  • Forecasting with a noncausal VAR model. Computational Statistics and Data Analysis 76, 536-555 (Henri Nyberg).

2013

  • Testing for linear and nonlinear predictability of stock returns. Journal of Financial Econometrics 11, 682-705 (with Markku Lanne and Mika Meitz).
  • Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity.  Journal of Multivariate Analysis 114, 227-255 (with Mika Meitz). Supplementary material omitted from the paper.
  • Noncausal vector autoregression. Econometric Theory 29, 447-481 (with Markku Lanne).  Supplementary material omitted from the paper.

2012

  • Optimal forecasting of noncausal autoregressive time series. International Journal of Forecasting 28, 623-631 (with Markku Lanne and Jani Luoto).

2011

  • Parameter estimation in nonlinear AR-GARCH models. Econometric Theory 27,  1236-1278 (with Mika Meitz). Additional proofs omitted from the paper.
  • Noncausal autoregressions for economic time series. Journal of Time Series Econometrics , Vol. 3, Iss. 3, Article 2 (with Markku Lanne).
  • GMM estimation with noncausal instruments. Oxford Bulletin of Economics and Statistics 73, 581-592 (with Markku Lanne).

2010

  • Tests for nonlinear cointegration. Econometric Theory 26, 682-709 (with In Choi).
  • A note on the geometric ergodicity of a nonlinear AR-ARCH model. Statistics and Probability Letters 80, 631-638 (with Mika Meitz).

2009

  • Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term.  Econometrics Journal 12, 414-435 (with Matei Demetrescu and Helmut Lütkepohl).

2008

  • Predicting U.S. recessions with dynamic binary response models. Review of Economics and Statistics 90, 777-791 (with Heikki Kauppi).
  • Stability of nonlinear AR-GARCH models. Journal of Time Series Analysis 29, 453-475 (with Mika Meitz).
  • Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models. Econometric Theory 24, 1291-1320 (with Mika Meitz).
  • Testing for the cointegrating rank of a VAR process with level shift and trend break. Journal of Time Series Analysis 29, 331-358 (with Carsten Trenkler and Helmut Lütkepohl).
  • Stability of regime switching error correction models under linear cointegration. Econometric Theory 24, 294-318.

2007

  • Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedasticity. Statistica Sinica 17, 221-239.
  • A multivariate generalized orthogonal factor GARCH model. Journal of Business & Economic Statistics 25, 61-75 (with Markku Lanne).
  • Modeling conditional skewness in stock returns. European Journal of Finance 13, 691-704 (with Markku Lanne).

2006

  • Residual autocorrelation testing for vector error correction models. Journal of Econometrics 134, 579-604 (with Ralf Brüggemann and Helmut Lütkepohl).
  • Break date estimation for VAR processes with level shift with an application to cointegration testing. Econometric Theory 22, 15-68 (with Carsten Trenkler and Helmut Lütkepohl).
  • Why is it so difficult to uncover the risk-return tradeoff in stock returns? Economics Letters 92, 118-125 (with Markku Lanne).

2005

  • Stability results for nonlinear error correction models. Journal of Econometrics 127, 69-81.
  • Nonlinear GARCH models for highly persistent volatility. Econometrics Journal 8, 251-276 (with Markku Lanne).

2004

  • Cointegrating smooth transition regressions. Econometric Theory 20, 301-340 (with In Choi)
  • Testing linearity in cointegrating smooth transition regressions. Econometrics Journal 7, 341-346 (with In Choi).
  • Testing for the cointegrating rank of a VAR process with level shifts at unknown time. Econometrica 72, 647-662 (with Carsten Trenkler and Helmut Lütkepohl).

2003

  • Modeling the U.S. short-term interest rate by mixture autoregressive processes. Journal of Financial Econometrics 1, 96-125 (with Markku Lanne).
  • Comparison of tests for the cointegrating rank of a VAR process with a structural shift. Journal of Econometrics 113, 201-229 (with Carsten Trenkler and Helmut Lütkepohl).
  • Reducing size distortions of parametric stationarity tests. Journal of Time Series Analysis 24, 423-439 (with Markku Lanne).
  • Test procedures for unit roots in time series with level shifts at unknown time. Oxford Bulletin of Economics and Statistics 65, 91-115 (with Markku Lanne and Helmut Lütkepohl).

2002

  • Testing for a unit root in a time series with a level shift at unknown time. Econometric Theory 18, 313-348 (with Helmut Lütkepohl).
  • Threshold autoregressions for strongly autocorrelated time series. Journal of Business & Economic Statistics 20, 282-289 (with Markku Lanne).
  • Comparison of unit root tests for time series with level shifts. Journal of Time Series Analysis 23, 667-685 (with Markku Lanne and Helmut Lütkepohl).
  • Unit root tests in the presence of innovational outliers. In I. Klein and S. Mittnik (eds.) Contributions to Modern Econometrics, pp. 151-167, Kluwer Academic Publishers, Dordrecht, The Netherlands (with Markku Lanne and Helmut Lütkepohl).

2001

  • Testing for unit roots in time series with level shifts. Allgemeines Statistisches Archiv 85, 1-25 (with Helmut Lütkepohl).
  • Consistent estimation in cointegrated vector autoregressive processes with nonlinear time trends in cointegrating relations. Econometric Theory 17, 296-326.
  • Statistical inference in cointegrated vector autoregressive processes with nonlinear time trends in cointegrating relations. Econometric Theory 17, 327-356.
  • Vector autoregressive processes with nonlinear time trends in cointegrating relations. Macroeconomic Dynamics 5, 577-597 (with Antti Ripatti).
  • A review of systems cointegration tests. Econometric Reviews 20, 247-318 (with Kirstin Hubrich and Helmut Lütkepohl).
  • Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. Econometrics Journal 4, 287-310 (with Carsten Trenkler and Helmut Lütkepohl).
  • Unit root tests for time series with a structural break when the break point is known. In C. Hsiao, K. Morimune, and J. Powell (eds.) Nonlinear Statistical Modeling, pp. 327-348, Cambridge University Press, Cambridge (with Helmut Lütkepohl and Christian Müller).

2000

  • Testing for the cointegrating rank of a VAR process with a time trend. Journal of Econometrics 95, 177-198 (with Helmut Lütkepohl).
  • Testing for the cointegrating rank of a VAR process with an intercept. Econometric Theory 16, 373-406 (with Helmut Lütkepohl).
  • Trend adjustment prior to testing for the cointegrating rank of a VAR process. Journal of Time Series Analysis 21, 435-456 (with Helmut Lütkepohl).
  • Testing for the cointegrating rank of a VAR process with structural shifts. Journal of Business & Economic Statistics 18, 451-464 (with Helmut Lütkepohl).
  • On the estimation of Euler equations in the presence of a potential regime shift. The Manchester School 68 s1, 92-121 (with Antti Ripatti).
  • Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes. In A. Barnett, D.F. Hendry, S. Hylleberg, T. Teräsvirta, and A. Würtz (eds.) Nonlinear Econometric Modelling in Time Series Analysis, pp. 165-201. Cambridge University Press, Cambridge (with Helmut Lütkepohl).

1999

  • Testing for a valid normalization of cointegrating vectors in vector autoregressive processes. Journal of Business & Economic Statistics 17, 195-204 (with Ritva Luukkonen and Antti Ripatti)
  • Local power of likelihood ratio tests for the cointegrating rank of a VAR process. Econometric Theory 15, 50-78 (with Helmut Lütkepohl).
  • A lag augmentation test for the cointegrating rank of a VAR process.  Economics Letters 63, 23-27 (with Helmut Lütkepohl).
  • Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes. Econometric Reviews 18, 235-257.
  • Order selection in testing for the cointegrating rank of a VAR process. In R.F. Engle and H. White (eds.) Cointegration, Causality, and Forecasting, A Festschrift in Honour of Clive W.J. Granger, pp. 168-199, Oxford University Press, Oxford (with Helmut Lütkepohl).

1997

  • Testing cointegration in infinite order cointegrated vector autoregressive processes. Journal of Econometrics 81, 93-126 (with Ritva Luukkonen).
  • Impulse response analysis in infinite order cointegrated vector autoregressive processes. Journal of Econometrics 81, 127-157 (with Helmut Lütkepohl).

1996

  • Infinite order cointegrated vector autoregressive processes: Estimation and inference. Econometric Theory 12, 814-844 (with Helmut Lütkepohl).
  • Testing the order of differencing in time series regression. Journal of Time Series Analysis 17, 481-496 (with Ritva Luukkonen).

1995

  • Dependent versions of a central limit theorem for the squared length of a sample mean. Statistics and Probability Letters 22, 185-194.
  • Problems with the asymptotic theory of maximum likelihood estimation in integrated and cointegrated systems. Econometric Theory 11, 888-911.
  • Power of the Lagrange multiplier test for testing an autoregressive unit root. Economics Letters 51, 27-35 (with Ritva Luukkonen).

1993

  • Estimation of cointegration vectors with linear restrictions. Econometric Theory 9, 19-35.
  • Continuous weak convergence and stochastic equicontinuity results for integrated processes with an application to the estimation of a regression model. Econometric Theory 9, 155-188.
  • Testing for a moving average unit root in autoregressive integrated moving average models. Journal of the American Statistical Association 88, 596-601 (with Ritva Luukkonen).
  • Point optimal tests for testing the order of differencing in ARIMA models. Econometric Theory 9, 343-362 (with Ritva Luukkonen).
  • A note on a Lagrange multiplier test for testing an autoregressive unit root. Econometric Theory 9, 494-498.

1992

  • Estimation and testing of cointegrated systems by an autoregressive approximation. Econometric Theory 8, 1-27.

1991

  • Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7, 1-21.
  • Power properties of a time series linearity test against some simple bilinear alternatives. Statistica Sinica 1, 453-464 (with Ritva Luukkonen).

1989

  • Asymptotic relative efficiency of the classical test statistics under misspecification. Journal of Econometrics 42, 351-364.
  • Estimating multivariate autoregressive moving average models by fitting long autoregressions. Communications in Statistics – Theory and Methods 18, 1589-1615 (with Ritva Luukkonen).

1988

  • A specification strategy for order determination in ARMA models. Communications in Statistics – Simulation and Computation 17, 1037-1054 (with Jan G. de Gooijer).
  • Lagrange multiplier tests for testing non-linearities in time series models. Scandinavian Journal of Statistics 15, 55-68 (with Ritva Luukkonen).
  • Testing linearity in univariate time series models. Scandinavian Journal of Statistics 15, 161-175 (with Ritva Luukkonen and Timo Teräsvirta).
  • Testing linearity against smooth transition autoregressive models. Biometrika 75, 491-499 (with Ritva Luukkonen and Timo Teräsvirta).
  • An efficient method for the estimation of multivariate moving average models. Communications in Statistics – Theory and Methods 17, 4257-4270 (with Ritva Luukkonen).

1986

  • Asymptotic properties of some tests for autocorrelation. Statistics 17, 49-61.
  • Asymptotic properties of some preliminary estimators for autoregressive moving average time series models. Journal of Time Series Analysis 7, 133-155.

1985

  • Modelling the dynamic relationship between wages and prices in Finland. Scandinavian Journal of Economics 87, 102-119 (with Timo Teräsvirta).

1983

  • Asymptotic relative efficiency of some tests of fit in time series models. Journal of Time Series Analysis 4, 69-78.
  • Asymptotic properties of some tests for cross correlation. Scandinavian Journal of Statistics 10, 269-280.