Details about Helmut Lütkepohl

E-mail:
Homepage:	http://www.wiwiss.fu-berlin.de/institute/iso/luetkepohl/index.html
Postal address:	DIW Berlin Mohrenstr. 58 10117 Berlin Germany
Workplace:	DIW Berlin (Deutsches Institut für Wirtschaftsforschung) (German Institute for Economic Research (DIW)), (more information at EDIRC) Institut für Statistik und Ökonometrie (Institute of Statistics and Econometrics), Fachbereich Wirtschaftswissenschaften (Economics and Management Field), Freie Universität Berlin (Berlin Free University), (more information at EDIRC) CESifo, (more information at EDIRC)

Access statistics for papers by Helmut Lütkepohl.

Last updated 2013-03-04. Update your information in the RePEc Author Service.

Short-id: plt2

---

Jump to Journal Articles Edited books Chapters Software Items

Working Papers

2012

1. Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
2. Fundamental Problems with Nonfundamental Shocks
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
3. Identifying Structural Vector Autoregressions via Changes in Volatility
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
4. Reducing Confidence Bands for Simulated Impulse Responses
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research

2011

5. Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?
   Economics Working Papers, European University Institute View citations (2)
   Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (2)
   Working Papers, University of Sydney Business School, Discipline of Business Analytics (2011) View citations (2)
   See also Journal Article in International Journal of Forecasting (2013)
6. Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz
   Also in Economics Working Papers, European University Institute (2011)
   See also Journal Article in International Journal of Forecasting (2013)
7. Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks
   Economics Working Papers, European University Institute
8. Vector Autoregressive Models
   Economics Working Papers, European University Institute

2010

9. Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
   CESifo Working Paper Series, CESifo Group Munich
   Also in Economics Working Papers, European University Institute (2010)
   See also Journal Article in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) (2011)

2009

10. Forecasting Aggregated Time Series Variables: A Survey
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article in OECD Journal: Journal of Business Cycle Measurement and Analysis (2010)
11. Forecasting Levels of log Variables in Vector Autoregressions
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology View citations (2)
    Also in Economics Working Papers, European University Institute (2009) View citations (1)
    See also Journal Article in International Journal of Forecasting (2011)
12. Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity
    Economics Working Papers, European University Institute
    See also Journal Article in Journal of Time Series Analysis (2011)
13. Structural Vector Autoregressions with Markov Switching
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2010)
14. The Role of the Log Transformation in Forecasting Economic Variables
    CESifo Working Paper Series, CESifo Group Munich View citations (5)
    See also Journal Article in Empirical Economics (2012)

2008

15. A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
    Economics Working Papers, European University Institute
16. Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
    Economics Working Papers, European University Institute
    Also in CESifo Working Paper Series, CESifo Group Munich (2008)
17. Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
    Economics Working Papers, European University Institute

2007

18. Econometric Analysis with Vector Autoregressive Models
    Economics Working Papers, European University Institute View citations (2)

2006

19. Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in Economics Working Papers, European University Institute (2006) View citations (2)
    See also Journal Article in German Economic Review (2010)
20. Forecasting Euro-Area Variables with German Pre-EMU Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
    Also in Economics Working Papers, European University Institute (2006) View citations (2)
    See also Journal Article in Journal of Forecasting (2008)
21. Identifying Monetary Policy Shocks via Changes in Volatility
    Economics Working Papers, European University Institute View citations (4)
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (2008)
22. Structural Vector Autoregressions with Nonnormal Residuals
    CESifo Working Paper Series, CESifo Group Munich View citations (1)
    Also in Economics Working Papers, European University Institute (2005) View citations (12)
23. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Economics Working Papers, European University Institute
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2006)
    See also Journal Article in Journal of Time Series Analysis (2008)

2005

24. Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models
    Economics Working Papers, European University Institute
    See also Journal Article in Economics Letters (2008)
25. Structural Vector Autoregressive Analysis for Cointegrated Variables
    Economics Working Papers, European University Institute View citations (4)
    See also Journal Article in AStA Advances in Statistical Analysis (2006)
26. Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe
    Economics Working Papers, European University Institute View citations (7)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2005) View citations (11)

2004

27. A Small Monetary System for the Euro Area Based on German Data
    Economics Working Papers, European University Institute View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2006)
28. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    Economics Working Papers, European University Institute View citations (2)
29. Forecasting with VARMA Models
    Economics Working Papers, European University Institute
    See also Chapter (2006)
30. Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative
    Economics Working Papers, European University Institute View citations (6)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
31. Recent Advances in Cointegration Analysis
    Economics Working Papers, European University Institute View citations (1)
32. Residual Autocorrelation Testing for Vector Error Correction Models
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article in Journal of Econometrics (2006)

2003

33. Comparison of Model Reduction Methods for VAR Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)
    Also in Economics Working Papers, European University Institute (2002)
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)

2001

34. On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
    Open Access publications from Maastricht University, Maastricht University View citations (27)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (3)
    See also Journal Article in Economics Letters (2001)
35. Test procedures for unit roots in time series with level shifts at unknown time
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (8)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
36. Testing for the cointegrating rank of a VAR process with level shift at unknown time
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article in Econometrica (2004)
37. Testing for the cointegrating rank of a VAR process with structural shifts
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article in Journal of Business & Economic Statistics (2000)
38. The Transmission of German Monetary Policy in the Pre-Euro Period
    CESifo Working Paper Series, CESifo Group Munich View citations (3)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) View citations (1)
39. Unit root tests for time series with level shifts: A comparison of different proposals
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article in Economics Letters (2002)
40. Unit root tests in the presence of innovational outliers
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

2000

41. Bootstrapping impulse responses in VAR analyses
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
42. Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000)
    See also Journal Article in Journal of Econometrics (2003)
43. Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (1)
44. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article in Econometrics Journal (2001)
45. Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999)
46. Was there a regime change in the German monetary transmission mechanism in 1983?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1999

47. Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (4)
48. Comparison of unit root tests for time series with level shifts
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
49. Forecasting cointegrated VARMA processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
50. Testing for unit roots in time series with level shifts
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
51. Unit root tests for time series with a structural break: When the break point is known
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
52. Vector autoregressions
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
53. Vector autoregressive analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1998

54. A review of systemscointegration tests
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article in Econometric Reviews (2001)
55. Multivariate Volatility Analysis of VW Stock Prices
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
56. Testing for the cointegrating rank of a VAR process with an intercept
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1997

57. A money demand system for M3 in the unified Germany
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
58. Estimating the Kronecker indices of cointegrated echelon form VARMA models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article in Econometrics Journal (1998)
59. Local power of likelihood ratio tests for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
60. Order selection in testing for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
61. Problems related to bootstrapping impulse responses of autoregressive processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
62. Testing for the Cointegrating Rank of a VAR Process with a Time Trend
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article in Journal of Econometrics (2000)
63. Trend adjustment prior to testing for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1996

64. A Review of Nonparametric Time Series Analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (18)
65. Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
66. Impulse Response Analysis of Vector Autoregressive Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
67. Modelling the Demand for M3 in the Unified Germany
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (1996) View citations (11)
    See also Journal Article in The Review of Economics and Statistics (1998)
68. Statistische Modellierung von Volatilitäten
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1995

69. Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
70. Consistent Specification of Cointegrated Autoregressive Moving-Average Systems
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
71. Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article in Journal of Econometrics (1997)
72. Investigating Stability and Linearity of a German M1 Money Demand Function
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (1995) View citations (7)
    See also Journal Article in Journal of Applied Econometrics (1999)
73. Konjunkturanalyse mit Markov-Regimewechselmodellen
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
74. Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1994

75. Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
76. Kointegration und gemeinsame Trends
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
77. Making Wald Tests Work for Cointegrated Var Systems
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (9)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1994)
78. Problems Related to Testing for Granger-Causality in VARMA Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
79. Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
80. Testing for Multi-Step Causality in Time Series
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Undated

81. Lutkepohl
    Instructional Stata datasets for econometrics, Boston College Department of Economics

Journal Articles

2013

1. Does the Box–Cox transformation help in forecasting macroeconomic time series?
   International Journal of Forecasting, 2013, 29, (1), 88-99
   See also Working Paper (2011)
2. Forecasting contemporaneous aggregates with stochastic aggregation weights
   International Journal of Forecasting, 2013, 29, (1), 60-68
   See also Working Paper (2011)

2012

3. The role of the log transformation in forecasting economic variables
   Empirical Economics, 2012, 42, (3), 619-638 View citations (1)
   See also Working Paper (2009)

2011

4. Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R
   Statistical Papers, 2011, 52, (2), 495-496
5. Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index
   Journal of Time Series Econometrics, 2011, 3, (1), 7 View citations (1)
6. Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
   Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (1), 107-133
   See also Working Paper (2010)
7. Forecasting levels of log variables in vector autoregressions
   International Journal of Forecasting, 2011, 27, (4), 1108-1115 View citations (4)
   See also Working Paper (2009)
8. Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
   Journal of Time Series Analysis, 2011, 32, (3), 281-291
   See also Working Paper (2009)
9. I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews
   Statistical Papers, 2011, 52, (2), 497-499

2010

10. Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
    German Economic Review, 2010, 11, 381-396 View citations (1)
    See also Working Paper (2006)
11. Forecasting Aggregated Time Series Variables: A Survey
    OECD Journal: Journal of Business Cycle Measurement and Analysis, 2010, 2010, (2), 1-26 View citations (1)
    See also Working Paper (2009)
12. Structural vector autoregressions with Markov switching
    Journal of Economic Dynamics and Control, 2010, 34, (2), 121-131 View citations (8)
    See also Working Paper (2009)

2008

13. Forecasting euro area variables with German pre-EMU data
    Journal of Forecasting, 2008, 27, (6), 465-481 View citations (1)
    See also Working Paper (2006)
14. Identifying Monetary Policy Shocks via Changes in Volatility
    Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 View citations (14)
    See also Working Paper (2006)
15. Problems related to over-identifying restrictions for structural vector error correction models
    Economics Letters, 2008, 99, (3), 512-515 View citations (1)
    See also Working Paper (2005)
16. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Journal of Time Series Analysis, 2008, 29, (2), 331-358 View citations (3)
    See also Working Paper (2006)

2007

17. General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
    Journal of Econometrics, 2007, 136, (1), 319-324 View citations (6)

2006

18. A small monetary system for the euro area based on German data
    Journal of Applied Econometrics, 2006, 21, (6), 683-702 View citations (23)
    See also Working Paper (2004)
19. Residual autocorrelation testing for vector error correction models
    Journal of Econometrics, 2006, 134, (2), 579-604 View citations (8)
    See also Working Paper (2004)
20. Structural vector autoregressive analysis for cointegrated variables
    AStA Advances in Statistical Analysis, 2006, 90, (1), 75-88 View citations (10)
    See also Working Paper (2005)

2005

21. Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative
    Oxford Bulletin of Economics and Statistics, 2005, 67, (5), 673-690 View citations (7)
    See also Working Paper (2004)

2004

22. On unit root tests in the presence of transitional growth
    Economics Letters, 2004, 84, (3), 323-327 View citations (2)
23. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Econometrica, 2004, 72, (2), 647-662 View citations (23)
    See also Working Paper (2001)

2003

24. Comparison of tests for the cointegrating rank of a VAR process with a structural shift
    Journal of Econometrics, 2003, 113, (2), 201-229 View citations (7)
    See also Working Paper (2000)
25. Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time
    Oxford Bulletin of Economics and Statistics, 2003, 65, (1), 91-115 View citations (43)
    See also Working Paper (2001)

2002

26. Unit root tests for time series with level shifts: a comparison of different proposals
    Economics Letters, 2002, 75, (1), 109-114 View citations (1)
    See also Working Paper (2001)

2001

27. A REVIEW OF SYSTEMS COINTEGRATION TESTS
    Econometric Reviews, 2001, 20, (3), 247-318 View citations (30)
    See also Working Paper (1998)
28. Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen
    Perspektiven der Wirtschaftspolitik, 2001, 2, (3), 343-345
29. Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.-7. April 2000 im Schloss Rauischholzhausen
    Perspektiven der Wirtschaftspolitik, 2001, 2, (1), 105-108
30. Comment on essays on current state and future challenges of econometrics
    Journal of Econometrics, 2001, 100, (1), 81-82
31. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations (21)
    See also Working Paper (2000)
32. On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
    Economics Letters, 2001, 73, (2), 155-160 View citations (32)
    See also Working Paper (2001)

2000

33. Testing for the Cointegrating Rank of a VAR Process with Structural Shifts
    Journal of Business & Economic Statistics, 2000, 18, (4), 451-64 View citations (47)
    See also Working Paper (2001)
34. Testing for the cointegrating rank of a VAR process with a time trend
    Journal of Econometrics, 2000, 95, (1), 177-198 View citations (32)
    See also Working Paper (1997)

1999

35. A lag augmentation test for the cointegrating rank of a VAR process
    Economics Letters, 1999, 63, (1), 23-27 View citations (1)
36. Investigating Stability and Linearity of a German M1 Money Demand Function
    Journal of Applied Econometrics, 1999, 14, (5), 511-25 View citations (16)
    See also Working Paper (1995)

1998

37. A money demand system for German M3
    Empirical Economics, 1998, 23, (3), 371-386 View citations (28)
38. Estimating the Kronecker indices of cointegrated echelon-form VARMA models
    Econometrics Journal, 1998, 1, (ConferenceIssue), C76-C99 View citations (6)
    See also Working Paper (1997)
39. Modeling The Demand For M3 In The Unified Germany
    The Review of Economics and Statistics, 1998, 80, (3), 399-409 View citations (25)
    See also Working Paper (1996)
40. Money demand in Europe: Editors' preface
    Empirical Economics, 1998, 23, (3), 263-266 View citations (2)

1997

41. Analysis of cointegrated VARMA processes
    Journal of Econometrics, 1997, 80, (2), 223-239 View citations (16)
42. Impulse response analysis in infinite order cointegrated vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 127-157 View citations (18)
    See also Working Paper (1995)
43. Modified Wald tests under nonregular conditions
    Journal of Econometrics, 1997, 78, (2), 315-332 View citations (22)
44. Nonparametric dynamic modelling
    Journal of Econometrics, 1997, 81, (1), 1-5

1996

45. Infinite-Order Cointegrated Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (05), 814-844 View citations (12)
46. Specification of Echelon-Form VARMA Models
    Journal of Business & Economic Statistics, 1996, 14, (1), 69-79 View citations (11)
47. Specification of varying coefficient time series models via generalized flexible least squares
    Journal of Econometrics, 1996, 70, (1), 261-290 View citations (13)
48. Testing for Causation Using Infinite Order Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (01), 61-87 View citations (29)

1995

49. Book reviews
    Metrika, 1995, 42, (1), 139-148

1992

50. Granger-causality in cointegrated VAR processes The case of the term structure
    Economics Letters, 1992, 40, (3), 263-268 View citations (12)
51. Impulse response analysis of cointegrated systems
    Journal of Economic Dynamics and Control, 1992, 16, (1), 53-78 View citations (121)

1991

52. Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
    Econometric Theory, 1991, 7, (04), 487-496 View citations (16)

1990

53. Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models
    The Review of Economics and Statistics, 1990, 72, (1), 116-25 View citations (39)

1989

54. A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals
    Journal of Econometrics, 1989, 42, (3), 371-376 View citations (9)
55. Prediction Tests for Structural Stability of Multiple Time Series
    Journal of Business & Economic Statistics, 1989, 7, (1), 129-35
56. The Stability Assumption in Tests of Causality between Money and Income
    Empirical Economics, 1989, 14, (2), 139-50 View citations (3)

1988

57. Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process
    Econometric Theory, 1988, 4, (01), 77-85 View citations (3)
58. Prediction tests for structural stability
    Journal of Econometrics, 1988, 39, (3), 267-296

1986

59. Forecasting Vector ARMA Processes with Systematically Missing Observations
    Journal of Business & Economic Statistics, 1986, 4, (3), 375-90 View citations (2)

1985

60. The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions
    Economics Letters, 1985, 17, (1-2), 103-106 View citations (2)

1984

61. Forecasting Contemporaneously Aggregated Vector ARMA Processes
    Journal of Business & Economic Statistics, 1984, 2, (3), 201-14 View citations (14)
62. Linear aggregation of vector autoregressive moving average processes
    Economics Letters, 1984, 14, (4), 345-350 View citations (1)
63. Linear transformations of vector ARMA processes
    Journal of Econometrics, 1984, 26, (3), 283-293 View citations (26)
64. The Optimality of Rational Distributed Lags: A Comment
    International Economic Review, 1984, 25, (2), 503-06 View citations (1)

1983

65. Non-linear least squares estimation under non-linear equality constraints
    Economics Letters, 1983, 13, (2-3), 191-196

1982

66. Non-causality due to omitted variables
    Journal of Econometrics, 1982, 19, (2-3), 367-378 View citations (93)

1981

67. A model for non-negative and non-positive distributed lag functions
    Journal of Econometrics, 1981, 16, (2), 211-219 View citations (4)

Edited books

2004

1. Applied Time Series Econometrics
   Cambridge Books, Cambridge University Press
2. Applied Time Series Econometrics
   Cambridge Books, Cambridge University Press

Chapters

2006

1. Forecasting with VARMA Models
   Elsevier View citations (4)
   See also Working Paper (2004)

Software Items