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.
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.
Back to the
home page of the Time series analysis and econometrics programme
(in Finnish).
