University of Helsinki Department of Mathematics and Statistics
Faculty of Science
Faculty of Social Sciences

 

Econometrics

Econometric research has a long tradition in the University of Helsinki initiated by the first Professor of Statistics Leo Törnqvist. Since the 1990s modern methods of modelling nonstationary trending time series has been the focus of the Research Group of Econometrics. Recent research is also concerned with analysis of nonlinear time series analysis relevant e.g. in the analysis of financial time series.

People
Faiz Alsuhail
Leena Kalliovirta
Henri Nyberg
Pekka Pere
Pentti Saikkonen

Collaborators
Heikki Kauppi
Markku Lanne

Recent Research
Research Group in Financial and and Macroeconometrics

Selected publications
Pentti Saikkonen: Stability Results for Nonlinear Error Correction Models.  Journal of Econometrics 127 (2005), 69-81.
Pentti Saikkonen (with Helmut Lütkepohl and Carsten Trenkler): Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time. Econometrica 72 (2004), 647-662.
Pentti Saikkonen (with Markku Lanne): Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.  Journal of Financial Econometrics 1 (2003), 96-125.
Pentti Saikkonen: Consistent Estimation in Cointegrated Vector Autoregressive Processes with Nonlinear Time Trends in Cointegrating Relations. Econometric Theory 17 (2001), 296-326.
Pentti Saikkonen: Statistical Inference in Cointegrated Vector Autoregressive Processes with Nonlinear Time Trends in Cointegrating Relations. Econometric Theory 17 (2001), 327-356.
Pekka Pere: AR(1) Models, Unit Roots, and Adjusted Profile Likelihood. Econometric Theory 19 (2003), 885-922.
Pekka Pere: Adjusted Estimates and Wald Statistics for the AR(1) Model with Constant. Journal of Econometrics 98 (2000), 335-363.

The group was closely connected with the Research Unit of Economic Structures and Growth (RUESG) as long as it existed. RUESG was a centre of excellence in research for the years 2002-2007.

Updated 24.1.2012.



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