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Details about Helmut Lütkepohl

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Homepage:http://www.wiwiss.fu-berlin.de/fachbereich/vwl/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)
Abteilung Volkswirtschaftslehre (Department of Economics), Fachbereich Wirtschaftswissenschaft (Economics and Management Field), Freie Universität Berlin (Berlin Free University), (more information at EDIRC)
CESifo, (more information at EDIRC)

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Working Papers

2017

  1. Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
  2. Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads

2016

  1. Calculating Joint Bands for Impulse Response Functions using Highest Density Regions
    Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association Downloads
  2. Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) (2016) Downloads
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2016) Downloads
  3. Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
    Discussion Papers, School of Economics, The University of New South Wales Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads

2015

  1. Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads
  2. Structural Vector Autoregressions with Heteroskedasticy
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. Testing for Identification in SVAR-GARCH Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2016)
  4. Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)

2014

  1. Confidence Bands for Impulse Responses: Bonferroni versus Wald
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (5)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2014) Downloads View citations (6)
    Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) Downloads View citations (5)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) Downloads View citations (6)
  2. Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) Downloads View citations (3)
  3. Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2014) Downloads View citations (3)
    CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (3)

    See also Journal Article in Journal of Economic Surveys (2016)
  4. Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) Downloads View citations (2)

2013

  1. Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (5)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2013) Downloads View citations (8)
    MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) (2013) Downloads View citations (11)

    See also Journal Article in International Journal of Forecasting (2015)

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 Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2014)
  2. Fundamental Problems with Nonfundamental Shocks
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
  3. Identifying Structural Vector Autoregressions via Changes in Volatility
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
  4. Reducing Confidence Bands for Simulated Impulse Responses
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    See also Journal Article in Statistical Papers (2013)

2011

  1. Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?
    Economics Working Papers, European University Institute Downloads View citations (4)
    Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2011) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2013)
  2. Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads
    Also in Economics Working Papers, European University Institute (2011) Downloads

    See also Journal Article in International Journal of Forecasting (2013)
  3. Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks
    Economics Working Papers, European University Institute Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2014)
  4. Vector Autoregressive Models
    Economics Working Papers, European University Institute Downloads View citations (8)
    See also Chapter (2013)

2010

  1. Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    See also Journal Article in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) (2011)

2009

  1. Forecasting Aggregated Time Series Variables: A Survey
    Economics Working Papers, European University Institute Downloads View citations (2)
    See also Journal Article in OECD Journal: Journal of Business Cycle Measurement and Analysis (2010)
  2. Forecasting Levels of log Variables in Vector Autoregressions
    Economics Working Papers, European University Institute Downloads View citations (3)
    Also in Working Paper Series, Department of Economics, Norwegian University of Science and Technology (2009) Downloads View citations (3)

    See also Journal Article in International Journal of Forecasting (2011)
  3. Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity
    Economics Working Papers, European University Institute Downloads
    See also Journal Article in Journal of Time Series Analysis (2011)
  4. Structural Vector Autoregressions with Markov Switching
    Economics Working Papers, European University Institute Downloads View citations (10)
    See also Journal Article in Journal of Economic Dynamics and Control (2010)
  5. The Role of the Log Transformation in Forecasting Economic Variables
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (7)
    See also Journal Article in Empirical Economics (2012)

2008

  1. A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
    Economics Working Papers, European University Institute Downloads View citations (3)
  2. Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
    Economics Working Papers, European University Institute Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (3)
  3. Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
    Economics Working Papers, European University Institute Downloads View citations (2)
    See also Journal Article in Econometrics Journal (2009)

2007

  1. Econometric Analysis with Vector Autoregressive Models
    Economics Working Papers, European University Institute Downloads View citations (4)

2006

  1. Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Economics Working Papers, European University Institute (2006) Downloads View citations (5)

    See also Journal Article in German Economic Review (2010)
  2. Forecasting Euro-Area Variables with German Pre-EMU Data
    Economics Working Papers, European University Institute Downloads View citations (2)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2006) Downloads View citations (2)

    See also Journal Article in Journal of Forecasting (2008)
  3. Identifying Monetary Policy Shocks via Changes in Volatility
    Economics Working Papers, European University Institute Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (1)

    See also Journal Article in Journal of Money, Credit and Banking (2008)
  4. Structural Vector Autoregressions with Nonnormal Residuals
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Economics Working Papers, European University Institute (2005) Downloads View citations (11)
  5. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Economics Working Papers, European University Institute Downloads
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2006) Downloads

    See also Journal Article in Journal of Time Series Analysis (2008)

2005

  1. Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models
    Economics Working Papers, European University Institute Downloads
    See also Journal Article in Economics Letters (2008)
  2. Structural Vector Autoregressive Analysis for Cointegrated Variables
    Economics Working Papers, European University Institute Downloads View citations (5)
    See also Journal Article in AStA Advances in Statistical Analysis (2006)
  3. Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (17)
    Also in Economics Working Papers, European University Institute (2005) Downloads View citations (11)

2004

  1. A Small Monetary System for the Euro Area Based on German Data
    Economics Working Papers, European University Institute Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2006)
  2. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    Economics Working Papers, European University Institute Downloads View citations (7)
  3. Forecasting with VARMA Models
    Economics Working Papers, European University Institute Downloads View citations (2)
    See also Chapter (2006)
  4. Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative
    Economics Working Papers, European University Institute Downloads View citations (7)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  5. Recent Advances in Cointegration Analysis
    Economics Working Papers, European University Institute Downloads View citations (2)
  6. Residual Autocorrelation Testing for Vector Error Correction Models
    Economics Working Papers, European University Institute Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Comparison of Model Reduction Methods for VAR Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (14)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) Downloads View citations (2)
    Economics Working Papers, European University Institute (2002) Downloads View citations (2)

2002

  1. Comparison of Unit Root Tests for Time Series with Level Shifts
    MPRA Paper, University Library of Munich, Germany Downloads View citations (145)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) Downloads View citations (6)

2001

  1. 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 Downloads View citations (12)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  2. 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 Downloads View citations (1)
    See also Journal Article in Econometrica (2004)
  3. 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 Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2000)
  4. The Transmission of German Monetary Policy in the Pre-Euro Period
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) Downloads View citations (2)
  5. 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 Downloads View citations (2)
    See also Journal Article in Economics Letters (2002)
  6. 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 Downloads View citations (1)

2000

  1. Bootstrapping impulse responses in VAR analyses
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  2. Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (33)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (30)

    See also Journal Article in Journal of Econometrics (2003)
  3. Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (20)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (1)
  4. 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 Downloads View citations (7)
    See also Journal Article in Econometrics Journal (2001)
  5. On the reliability of chow type test for parameter constancy in multivariate dynamic models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (3)
    See also Journal Article in Economics Letters (2001)
  6. 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 Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) Downloads View citations (1)
  7. 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 Downloads

1999

  1. Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (17)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) Downloads View citations (5)
  2. Forecasting cointegrated VARMA processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  3. 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 Downloads View citations (1)
  4. 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 Downloads View citations (1)
  5. Vector autoregressions
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  6. Vector autoregressive analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads

1998

  1. A review of systemscointegration tests
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article in Econometric Reviews (2001)
  2. 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
  3. 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 Downloads

1997

  1. 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 Downloads
  2. 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 Downloads View citations (1)
    See also Journal Article in Econometrics Journal (1998)
  3. 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 Downloads
  4. 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 Downloads View citations (1)
  5. 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 Downloads View citations (2)
  6. 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)
  7. 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 Downloads View citations (2)

1996

  1. 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 (36)
  2. 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 View citations (6)
  3. 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)
  4. 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 SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1996) View citations (9)

    See also Journal Article in The Review of Economics and Statistics (1998)
  5. Statistische Modellierung von Volatilitäten
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1995

  1. 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
  2. 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 (8)
  3. 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 (2)
    See also Journal Article in Journal of Econometrics (1997)
  4. Investigating Stability and Linearity of a German M1 Money Demand Function
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (9)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1995) View citations (3)

    See also Journal Article in Journal of Applied Econometrics (1999)
  5. Konjunkturanalyse mit Markov-Regimewechselmodellen
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
  6. 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

  1. 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
  2. Kointegration und gemeinsame Trends
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  3. Making Wald Tests Work for Cointegrated Var Systems
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (12)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1994)
  4. 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
  5. 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 (4)
  6. 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

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

Journal Articles

2017

  1. Structural vector autoregressions with heteroskedasticity: A review of different volatility models
    Econometrics and Statistics, 2017, 1, (C), 2-18 Downloads

2016

  1. STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY
    Journal of Economic Surveys, 2016, 30, (2), 377-392 Downloads View citations (3)
    See also Working Paper (2014)
  2. Testing for identification in SVAR-GARCH models
    Journal of Economic Dynamics and Control, 2016, 73, (C), 241-258 Downloads View citations (4)
    See also Working Paper (2015)

2015

  1. Comparison of methods for constructing joint confidence bands for impulse response functions
    International Journal of Forecasting, 2015, 31, (3), 782-798 Downloads View citations (5)
    See also Working Paper (2013)
  2. Confidence Bands for Impulse Responses: Bonferroni vs. Wald
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 800-821 Downloads View citations (3)

2014

  1. DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS
    Journal of Applied Econometrics, 2014, 29, (3), 479-496 Downloads View citations (11)
    See also Working Paper (2012)
  2. Mulaik, S. A.: Foundations of factor analysis
    Statistical Papers, 2014, 55, (4), 1229-1230 Downloads
  3. Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
    Journal of Econometrics, 2014, 183, (1), 104-116 Downloads View citations (17)
    See also Working Paper (2011)

2013

  1. Does the Box–Cox transformation help in forecasting macroeconomic time series?
    International Journal of Forecasting, 2013, 29, (1), 88-99 Downloads View citations (7)
    See also Working Paper (2011)
  2. Forecasting contemporaneous aggregates with stochastic aggregation weights
    International Journal of Forecasting, 2013, 29, (1), 60-68 Downloads
    See also Working Paper (2011)
  3. Reducing confidence bands for simulated impulse responses
    Statistical Papers, 2013, 54, (4), 1131-1145 Downloads View citations (1)
    See also Working Paper (2012)

2012

  1. The role of the log transformation in forecasting economic variables
    Empirical Economics, 2012, 42, (3), 619-638 Downloads View citations (12)
    See also Working Paper (2009)

2011

  1. Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R
    Statistical Papers, 2011, 52, (2), 495-496 Downloads
  2. Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index
    Journal of Time Series Econometrics, 2011, 3, (1), 1-23 Downloads View citations (6)
  3. Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (1), 107-133 Downloads View citations (1)
    See also Working Paper (2010)
  4. Forecasting levels of log variables in vector autoregressions
    International Journal of Forecasting, 2011, 27, (4), 1108-1115 Downloads View citations (9)
    See also Working Paper (2009)
  5. Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
    Journal of Time Series Analysis, 2011, 32, (3), 281-291 View citations (3)
    See also Working Paper (2009)
  6. I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews
    Statistical Papers, 2011, 52, (2), 497-499 Downloads

2010

  1. Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
    German Economic Review, 2010, 11, 381-396 Downloads View citations (3)
    See also Working Paper (2006)
  2. Forecasting Aggregated Time Series Variables: A Survey
    OECD Journal: Journal of Business Cycle Measurement and Analysis, 2010, 2010, (2), 1-26 Downloads View citations (5)
    See also Working Paper (2009)
  3. Structural vector autoregressions with Markov switching
    Journal of Economic Dynamics and Control, 2010, 34, (2), 121-131 Downloads View citations (62)
    See also Working Paper (2009)

2009

  1. Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
    Econometrics Journal, 2009, 12, (3), 414-435 Downloads View citations (5)
    See also Working Paper (2008)

2008

  1. Forecasting euro area variables with German pre-EMU data
    Journal of Forecasting, 2008, 27, (6), 465-481 Downloads View citations (15)
    See also Working Paper (2006)
  2. Identifying Monetary Policy Shocks via Changes in Volatility
    Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 Downloads View citations (58)
    See also Working Paper (2006)
  3. Problems related to over-identifying restrictions for structural vector error correction models
    Economics Letters, 2008, 99, (3), 512-515 Downloads View citations (1)
    See also Working Paper (2005)
  4. 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 Downloads View citations (13)
    See also Working Paper (2006)

2007

  1. General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
    Journal of Econometrics, 2007, 136, (1), 319-324 Downloads View citations (14)

2006

  1. A small monetary system for the euro area based on German data
    Journal of Applied Econometrics, 2006, 21, (6), 683-702 Downloads View citations (25)
    See also Working Paper (2004)
  2. Residual autocorrelation testing for vector error correction models
    Journal of Econometrics, 2006, 134, (2), 579-604 Downloads View citations (15)
    See also Working Paper (2004)
  3. Structural vector autoregressive analysis for cointegrated variables
    AStA Advances in Statistical Analysis, 2006, 90, (1), 75-88 Downloads View citations (59)
    See also Working Paper (2005)

2005

  1. 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 Downloads View citations (10)
    See also Working Paper (2004)

2004

  1. On unit root tests in the presence of transitional growth
    Economics Letters, 2004, 84, (3), 323-327 Downloads View citations (2)
  2. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Econometrica, 2004, 72, (2), 647-662 Downloads View citations (48)
    See also Working Paper (2001)

2003

  1. Comparison of tests for the cointegrating rank of a VAR process with a structural shift
    Journal of Econometrics, 2003, 113, (2), 201-229 Downloads View citations (20)
    See also Working Paper (2000)
  2. 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 Downloads View citations (56)
    See also Working Paper (2001)

2002

  1. Unit root tests for time series with level shifts: a comparison of different proposals
    Economics Letters, 2002, 75, (1), 109-114 Downloads View citations (27)
    See also Working Paper (2001)

2001

  1. A REVIEW OF SYSTEMS COINTEGRATION TESTS
    Econometric Reviews, 2001, 20, (3), 247-318 Downloads View citations (53)
    See also Working Paper (1998)
  2. 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 Downloads
  3. Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.-7. April 2000 im Schloss Rauischholzhausen
    Perspektiven der Wirtschaftspolitik, 2001, 2, (1), 105-108 Downloads
  4. Comment on essays on current state and future challenges of econometrics
    Journal of Econometrics, 2001, 100, (1), 81-82 Downloads
  5. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations (45)
    See also Working Paper (2000)
  6. On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
    Economics Letters, 2001, 73, (2), 155-160 Downloads View citations (56)
    See also Working Paper (2000)

2000

  1. Testing for the Cointegrating Rank of a VAR Process with Structural Shifts
    Journal of Business & Economic Statistics, 2000, 18, (4), 451-64 View citations (148)
    See also Working Paper (2001)
  2. Testing for the cointegrating rank of a VAR process with a time trend
    Journal of Econometrics, 2000, 95, (1), 177-198 Downloads View citations (111)
    See also Working Paper (1997)

1999

  1. A lag augmentation test for the cointegrating rank of a VAR process
    Economics Letters, 1999, 63, (1), 23-27 Downloads View citations (4)
  2. Investigating Stability and Linearity of a German M1 Money Demand Function
    Journal of Applied Econometrics, 1999, 14, (5), 511-25 Downloads View citations (43)
    See also Working Paper (1995)

1998

  1. A money demand system for German M3
    Empirical Economics, 1998, 23, (3), 371-386 Downloads View citations (33)
  2. 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)
  3. Modeling The Demand For M3 In The Unified Germany
    The Review of Economics and Statistics, 1998, 80, (3), 399-409 Downloads View citations (36)
    See also Working Paper (1996)
  4. Money demand in Europe: Editors' preface
    Empirical Economics, 1998, 23, (3), 263-266 Downloads View citations (2)

1997

  1. Analysis of cointegrated VARMA processes
    Journal of Econometrics, 1997, 80, (2), 223-239 Downloads View citations (21)
  2. Impulse response analysis in infinite order cointegrated vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 127-157 Downloads View citations (23)
    See also Working Paper (1995)
  3. Modified Wald tests under nonregular conditions
    Journal of Econometrics, 1997, 78, (2), 315-332 Downloads View citations (40)
  4. Nonparametric dynamic modelling
    Journal of Econometrics, 1997, 81, (1), 1-5 Downloads

1996

  1. Infinite-Order Cointegrated Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (05), 814-844 Downloads View citations (21)
  2. Specification of Echelon-Form VARMA Models
    Journal of Business & Economic Statistics, 1996, 14, (1), 69-79 View citations (28)
  3. Specification of varying coefficient time series models via generalized flexible least squares
    Journal of Econometrics, 1996, 70, (1), 261-290 Downloads View citations (15)
  4. Testing for Causation Using Infinite Order Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (01), 61-87 Downloads View citations (37)

1995

  1. Book reviews
    Metrika: International Journal for Theoretical and Applied Statistics, 1995, 42, (1), 139-148 Downloads

1992

  1. Granger-causality in cointegrated VAR processes The case of the term structure
    Economics Letters, 1992, 40, (3), 263-268 Downloads View citations (35)
  2. Impulse response analysis of cointegrated systems
    Journal of Economic Dynamics and Control, 1992, 16, (1), 53-78 Downloads View citations (168)

1991

  1. Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
    Econometric Theory, 1991, 7, (04), 487-496 Downloads View citations (23)

1990

  1. 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 Downloads View citations (62)

1989

  1. 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 Downloads View citations (11)
  2. Prediction Tests for Structural Stability of Multiple Time Series
    Journal of Business & Economic Statistics, 1989, 7, (1), 129-35
  3. The Stability Assumption in Tests of Causality between Money and Income
    Empirical Economics, 1989, 14, (2), 139-50 View citations (3)

1988

  1. Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process
    Econometric Theory, 1988, 4, (01), 77-85 Downloads View citations (3)
  2. Prediction tests for structural stability
    Journal of Econometrics, 1988, 39, (3), 267-296 Downloads View citations (1)

1986

  1. Forecasting Vector ARMA Processes with Systematically Missing Observations
    Journal of Business & Economic Statistics, 1986, 4, (3), 375-90 View citations (1)

1985

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

1984

  1. Forecasting Contemporaneously Aggregated Vector ARMA Processes
    Journal of Business & Economic Statistics, 1984, 2, (3), 201-14 View citations (26)
  2. Linear aggregation of vector autoregressive moving average processes
    Economics Letters, 1984, 14, (4), 345-350 Downloads View citations (5)
  3. Linear transformations of vector ARMA processes
    Journal of Econometrics, 1984, 26, (3), 283-293 Downloads View citations (41)
  4. The Optimality of Rational Distributed Lags: A Comment
    International Economic Review, 1984, 25, (2), 503-06 Downloads View citations (1)

1983

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

1982

  1. Non-causality due to omitted variables
    Journal of Econometrics, 1982, 19, (2-3), 367-378 Downloads View citations (170)

1981

  1. A model for non-negative and non-positive distributed lag functions
    Journal of Econometrics, 1981, 16, (2), 211-219 Downloads View citations (10)

Edited books

2004

  1. Applied Time Series Econometrics
    Cambridge Books, Cambridge University Press View citations (21)
  2. Applied Time Series Econometrics
    Cambridge Books, Cambridge University Press View citations (21)

Chapters

2013

  1. Vector autoregressive models
    Chapter 6 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 139-164 Downloads View citations (1)
    See also Working Paper (2011)

2006

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

Software Items

 
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