| 2007 | Pentti Saikkonen: Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedasticity. In: Statistica Sinica, 2007, 221-239 |
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| 2006 | Pentti Saikkonen, Helmut Lütkepohl, Carsten Trenkler: Break date estimation for VAR processes with level shift with an application to cointegration testing. In: Econometric Theory, 2006, 15-68 |
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| 2005 | Pentti Saikkonen: Stability results for nonlinear error correction models. In: Journal of Econometrics, 2005, 69-81 |
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| 2004 | Pentti Saikkonen, In Choi Cointegrating smooth transition regressions
. In: Econometric Theory, 2004, 301-340 |
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| 2004 | Helmut Lütkepohl, Pentti Saikkonen, Carsten Trenkler: Testing for the cointegrating rank of a VAR process with level shifts at unknown time. In: Econometrica, 2004, 647-662 |
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| 2003 | Helmut Lütkepohl, Pentti Saikkonen, Carsten Trenkler: Comparison of tests for the cointegrating rank of a VAR process with a structural shift. In: Journal of Econometrics, 2003, 201-229 |
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| 2003 | Markku Lanne, Pentti Saikkonen: Modeling the U.S. short-term interest rate by mixture autoregressive processes. In: Journal of Financial Econometrics , 2003, 96-125 |
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| 2003 | Markku Lanne, Helmut Lütkepohl, Pentti Saikkonen: Test procedures for unit roots in time series with level shifts at unknown time . In: Oxford Bulletin of Economics and Statistics , 2003, 91-115 |
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| 2002 | Markku Lanne, Helmut Lütkepohl, Pentti Saikkonen: Comparison of unit root tests for time series with level shifts. In: Journal of Time Series Analysis, 2002, 667-685 |
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| 2002 | Pentti Saikkonen, Helmut Lütkepohl: Testing for a unit root in a time series with a level shift at unknown time. In: Econometric Theory, 2002, 313-348 |
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| 2002 | Markku Lanne, Helmut Lütkepohl, Pentti Saikkonen: Unit root tests in the presence of innovational outliers. In: Ingo Klein, Stefan Mittnik, Contributions to Modern Econometrics. Kluwer Academic Publishers, 2002. 151-167 |
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| 2001 | Helmut Lütkepohl, Pentti Saikkonen, Carsten Trenkler: Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. In: Econometrics Journal, 2001, 287-310 |
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| 2001 | Pentti Saikkonen, Helmut Lütkepohl: Testing for unit roots in time series with level shifts. In: Allgemeines Statistisches Archiv, 2001, 1-25 |
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