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Pentti Saikkonen

Pentti Saikkonen

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Mathematics
Finland
2026

D-Index & Metrics

Mathematics

D-Index
45
Citations
11034
World Ranking
1441
National Ranking
6

Research.com Recognitions

  • 2026 - Research.com Mathematics in Finland Leader Award
  • 2025 - Research.com Mathematics in Finland Leader Award

Overview

Pentti Saikkonen is affiliated with the University of Helsinki in Finland. Their primary research spans the fields of Mathematics and Economics, Econometrics and Finance, with a focus on Statistics and Probability, Finance, Artificial Intelligence, and broader areas in Economics and Econometrics.

The scientist's work addresses topics including Financial Risk and Volatility Modeling, Bayesian Methods and Mixture Models, Statistical Distribution Estimation and Applications, Statistical Methods and Inference, Market Dynamics and Volatility, Monetary Policy and Economic Impact, and Statistical Methods and Bayesian Inference.

Notable recent publications include:

  • Testing identification via heteroskedasticity in structural vector autoregressive models, 2020, Econometrics Journal
  • A mixture autoregressive model based on Student's t-distribution, 2021, Communication in Statistics- Theory and Methods
  • Subgeometric ergodicity and β-mixing, 2021, Journal of Applied Probability
  • Testing for observation-dependent regime switching in mixture autoregressive models, 2020, Journal of Econometrics
  • A mixture autoregressive model based on Student's t-distribution, 2021, OPAL (Open@LaTrobe) (La Trobe University)

Frequent co-authors of Pentti Saikkonen include:

  • Mika Meitz
  • Helmut Lütkepohl
  • Aleksei Netšunajev
  • Daniel Preve

Publications have appeared in venues such as:

  • Econometrics Journal
  • Communication in Statistics- Theory and Methods
  • Journal of Applied Probability
  • Journal of Econometrics
  • OPAL (Open@LaTrobe) (La Trobe University)

Best Publications

  • Testing linearity against smooth transition autoregressive models

    Ritva Luukkonen;Pentti Saikkonen;Timo Teräsvirta

  • Asymptotically Efficient Estimation of Cointegration Regressions

    Pentti Saikkonen

  • Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation

    Pentti Saikkonen

  • TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

    Pentti Saikkonen;Helmut Lütkepohl

  • Comparison of unit root tests for time series with level shifts

    Markku Lanne;Helmut Lütkepohl;Pentti Saikkonen

  • Predicting U.S. Recessions with Dynamic Binary Response Models

    Heikki Kauppi;Pentti Saikkonen

  • Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process

    Helmut Lütkepohl;Pentti Saikkonen;Carsten Trenkler

  • Testing for the cointegrating rank of a VAR process with structural shifts

    Pentti Saikkonen;Helmut Lütkepohl

  • Identification and estimation of non-Gaussian structural vector autoregressions ☆

    Markku Lanne;Mika Harri Meitz;Pentti Juhani Saikkonen

  • Testing for the Cointegrating Rank of a VAR Process with an Intercept

    Pentti Saikkonen;Helmut Lütkepohl

  • Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time

    Markku Lanne;Helmut Lütkepohl;Pentti Saikkonen

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

    Helmut Lütkepohl;Pentti Saikkonen;Carsten Trenkler

  • Testing linearity in univariate, time series models

    R. Luukkonen;P. Saikkonen;T. Terasvirta

  • Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process

    Pentti Saikkonen;Helmut Lutkepohl

  • Cointegrating Smooth Transition Regressions

    Pentti Saikkonen;In Choi

  • A Multivariate Generalized Orthogonal Factor GARCH Model

    Markku Lanne;Pentti Saikkonen

  • Testing cointegration in infinite order vector autoregressive processes

    Pentti Saikkonen;Ritva Luukkonen

  • Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

    Pentti Saikkonen;Ritva Luukkonen

  • A REVIEW OF SYSTEMS COINTEGRATION TESTS

    Kirstin Hubrich;Helmut Lütkepohl;Pentti Saikkonen

  • Testing linearity in cointegrating smooth transition regressions

    In Choi;Pentti Saikkonen

  • Comparison of Unit Root Tests for Time Series with Level Shifts

    Markku Lanne;Helmut Luetkepohl;Helmut Luetkepohl;Pentti Saikkonen

Frequent Co-Authors

Helmut Lütkepohl
Helmut Lütkepohl Freie Universität Berlin
Timo Teräsvirta
Timo Teräsvirta Aarhus University

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