Mika Meitz

About Me

I am Professor of Economics and Head of the Discipline of Economics at the University of Helsinki. I received my PhD in Econometrics from the Stockholm School of Economics in 2006. From 2006 to 2008, I was a Postdoctoral Research Fellow in Economics at University of Oxford. From 2008 to 2013, I was an Assistant Professor in the Department of Economics at Koç University in Istanbul. I have worked at University of Helsinki since 2013 and was promoted to full professor in 2019.

My field is econometrics and my current research interests include machine learning methods, time series, and statistical inference.

• Curriculum Vitae (PDF)
• Google Scholar
• ORCID Profile
• arXiv.org Author Page

Working Papers

• “Generative predictive distributions for time series” (with Jordi Llorens-Terrazas), June 2026. arXiv:2606.16773. Revise & Resubmit.

Publications

19. “Minimax asymptotics” (with Alexander Shapiro)
    Electronic Journal of Statistics, 19, 5117–5146, 2025. [https://doi.org/10.1214/25-EJS2457]
18. “Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity” (with Pentti Saikkonen)
    Econometric Theory, 41, 218–248, 2025. [https://doi.org/10.1017/S026646662300035X]
17. “Statistical inference for generative adversarial networks and other minimax problems”
    Scandinavian Journal of Statistics, 51, 1323–1356, 2024. [https://doi.org/10.1111/sjos.12710]
16. “A mixture autoregressive model based on Student’s t-distribution” (with Daniel Preve and Pentti Saikkonen)
    Communications in Statistics – Theory and Methods, 52, 498–514, 2023. [https://doi.org/10.1080/03610926.2021.1916531]
15. “Subgeometrically ergodic autoregressions” (with Pentti Saikkonen)
    Econometric Theory, 38, 959–985, 2022. [https://doi.org/10.1017/S0266466620000419]
14. “Subgeometric ergodicity and β-mixing” (with Pentti Saikkonen)
    Journal of Applied Probability, 58, 594–608, 2021. [https://doi.org/10.1017/jpr.2020.108]
13. “Testing for observation-dependent regime switching in mixture autoregressive models” (with Pentti Saikkonen)
    Journal of Econometrics, 222, 601–624, 2021. [https://doi.org/10.1016/j.jeconom.2020.04.048]
12. “Testing identification via heteroskedasticity in structural vector autoregressive models” (with Helmut Lütkepohl, Aleksei Netšunajev, and Pentti Saikkonen)
    Econometrics Journal, 24, 1–22, 2021. [https://doi.org/10.1093/ectj/utaa008]
11. “Identification and estimation of non-Gaussian structural vector autoregressions” (with Markku Lanne and Pentti Saikkonen)
    Journal of Econometrics, 196, 288–304, 2017. [https://doi.org/10.1016/j.jeconom.2016.06.002]
10. “Gaussian mixture vector autoregression” (with Leena Kalliovirta and Pentti Saikkonen)
    Journal of Econometrics, 192, 485–498, 2016. [https://doi.org/10.1016/j.jeconom.2016.02.012]
9. “A Gaussian mixture autoregressive model for univariate time series” (with Leena Kalliovirta and Pentti Saikkonen)
   Journal of Time Series Analysis, 36, 247–266, 2015. [https://doi.org/10.1111/jtsa.12108]
8. “Testing for linear and nonlinear predictability of stock returns” (with Markku Lanne and Pentti Saikkonen)
   Journal of Financial Econometrics, 11, 682–705, 2013. [https://doi.org/10.1093/jjfinec/nbt004]
7. “Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity” (with Pentti Saikkonen)
   Journal of Multivariate Analysis, 114, 227–255, 2013. [https://doi.org/10.1016/j.jmva.2012.07.015]
6. “Parameter estimation in nonlinear AR–GARCH models” (with Pentti Saikkonen)
   Econometric Theory, 27, 1236–1278, 2011. [https://doi.org/10.1017/S0266466611000041]
5. “A note on the geometric ergodicity of a nonlinear AR–ARCH model” (with Pentti Saikkonen)
   Statistics and Probability Letters, 80, 631–638, 2010. [https://doi.org/10.1016/j.spl.2009.12.020]
4. “Stability of nonlinear AR–GARCH models” (with Pentti Saikkonen)
   Journal of Time Series Analysis, 29, 453–475, 2008. [https://doi.org/10.1111/j.1467-9892.2007.00562.x]
3. “Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models” (with Pentti Saikkonen)
   Econometric Theory, 24, 1291–1320, 2008. [https://doi.org/10.1017/S0266466608080511]
2. “A necessary and sufficient condition for the strict stationarity of a family of GARCH processes”
   Econometric Theory, 22, 985–988, 2006. [https://doi.org/10.1017/S0266466606060476]
1. “Evaluating models of autoregressive conditional duration” (with Timo Teräsvirta)
   Journal of Business and Economic Statistics, 24, 104–124, 2006. [https://doi.org/10.1198/073500105000000081]

Book

Essays in Nonlinear Time Series Econometrics (with Niels Haldrup and Pentti Saikkonen, eds.), Oxford University Press, 2014. [https://doi.org/10.1093/acprof:oso/9780199679959.001.0001]