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) CESifo, (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)

Access statistics for papers by Helmut Lütkepohl.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

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Working Papers

2025

1. Comparing External and Internal Instruments for Vector Autoregressions
   University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK.
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2025)
2. Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research

2024

3. Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
   Also in University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. (2024) View citations (2)
4. Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions
   University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. View citations (1)
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2024) View citations (1)
5. Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference
   Papers, arXiv.org View citations (2)
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2024) View citations (2)

2023

6. Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions
   University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. View citations (7)
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2023) View citations (7)

2022

7. Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
   Also in University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. (2022) View citations (1)

2021

8. Comparison of Local Projection Estimators for Proxy Vector Autoregressions
   University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK.
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2021)
   See also Journal Article Comparison of local projection estimators for proxy vector autoregressions, Journal of Economic Dynamics and Control, Elsevier (2022) View citations (11) (2022)
9. Heteroskedastic Proxy Vector Autoregressions
   VfS Annual Conference 2021 (Virtual Conference): Climate Economics, Verein für Socialpolitik / German Economic Association View citations (7)
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2020) View citations (5)
   See also Journal Article Heteroscedastic Proxy Vector Autoregressions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (10) (2022)
10. Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (7)
    See also Journal Article Qualitative versus quantitative external information for proxy vector autoregressive analysis, Journal of Economic Dynamics and Control, Elsevier (2021) View citations (7) (2021)

2020

11. A Simple Instrument for Proxy Vector Autoregressive Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
12. An Alternative Bootstrap for Proxy Vector Autoregressions
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
    Also in University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. (2020) View citations (5)
    See also Journal Article An Alternative Bootstrap for Proxy Vector Autoregressions, Computational Economics, Springer (2023) View citations (2) (2023)
13. Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research

2018

14. Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity
    Papers, arXiv.org
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2017)
    See also Journal Article Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity, Journal of Economic Dynamics and Control, Elsevier (2020) View citations (6) (2020)
15. Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    See also Journal Article Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH, Journal of Economic Dynamics and Control, Elsevier (2019) View citations (11) (2019)
16. Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review
    Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2018) View citations (2)
    See also Journal Article Constructing joint confidence bands for impulse response functions of VAR models – A review, Econometrics and Statistics, Elsevier (2020) View citations (4) (2020)
17. Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
    See also Journal Article Testing identification via heteroskedasticity in structural vector autoregressive models, The Econometrics Journal, Royal Economic Society (2021) View citations (11) (2021)
18. The Relation between Monetary Policy and the Stock Market in Europe
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
    See also Journal Article The Relation between Monetary Policy and the Stock Market in Europe, Econometrics, MDPI (2018) View citations (3) (2018)

2017

19. Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
    See also Journal Article Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis, EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics (2018) View citations (16) (2018)
20. Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association (2017)
    See also Journal Article Estimation of structural impulse responses: short-run versus long-run identifying restrictions, AStA Advances in Statistical Analysis, Springer (2018) View citations (2) (2018)

2016

21. Calculating Joint Bands for Impulse Response Functions using Highest Density Regions
    VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association
22. Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) (2016) View citations (5)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2016)
    See also Journal Article Calculating joint confidence bands for impulse response functions using highest density regions, Empirical Economics, Springer (2018) View citations (14) (2018)
23. Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
    Discussion Papers, School of Economics, The University of New South Wales
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016)
    See also Journal Article Inference in partially identified heteroskedastic simultaneous equations models, Journal of Econometrics, Elsevier (2020) View citations (1) (2020)

2015

24. Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models
    CESifo Working Paper Series, CESifo View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2015)
25. 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 View citations (3)
26. Testing for identification in SVAR-GARCH models
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Testing for identification in SVAR-GARCH models, Journal of Economic Dynamics and Control, Elsevier (2016) View citations (23) (2016)

2014

27. Confidence Bands for Impulse Responses: Bonferroni versus Wald
    CESifo Working Paper Series, CESifo View citations (10)
    Also in VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) View citations (6)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) View citations (8)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
28. Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (9)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
29. Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
    Also in CESifo Working Paper Series, CESifo (2014) View citations (5)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
    See also Journal Article STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY, Journal of Economic Surveys, Wiley Blackwell (2016) View citations (12) (2016)
30. Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (13)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)

2013

31. Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
    MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) View citations (12)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (11)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2013)
    See also Journal Article Comparison of methods for constructing joint confidence bands for impulse response functions, International Journal of Forecasting, Elsevier (2015) View citations (50) (2015)

2012

32. 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 View citations (11)
    See also Journal Article DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (41) (2014)
33. Fundamental Problems with Nonfundamental Shocks
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
34. Identifying Structural Vector Autoregressions via Changes in Volatility
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
35. Reducing Confidence Bands for Simulated Impulse Responses
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
    See also Journal Article Reducing confidence bands for simulated impulse responses, Statistical Papers, Springer (2013) View citations (4) (2013)

2011

36. Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?
    Economics Working Papers, European University Institute View citations (5)
    Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2011) View citations (5)
    MPRA Paper, University Library of Munich, Germany (2011) View citations (5)
    See also Journal Article Does the Box–Cox transformation help in forecasting macroeconomic time series?, International Journal of Forecasting, Elsevier (2013) View citations (12) (2013)
37. 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 Forecasting contemporaneous aggregates with stochastic aggregation weights, International Journal of Forecasting, Elsevier (2013) View citations (4) (2013)
38. Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks
    Economics Working Papers, European University Institute View citations (9)
    See also Journal Article Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks, Journal of Econometrics, Elsevier (2014) View citations (87) (2014)
39. Vector Autoregressive Models
    Economics Working Papers, European University Institute View citations (16)
    See also Chapter Vector autoregressive models, Chapters, Edward Elgar Publishing (2013) View citations (5) (2013)

2010

40. Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
    CESifo Working Paper Series, CESifo View citations (3)
    See also Journal Article Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights, Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter (2011) View citations (6) (2011)

2009

41. Forecasting Aggregated Time Series Variables: A Survey
    Economics Working Papers, European University Institute View citations (4)
    See also Journal Article Forecasting Aggregated Time Series Variables: A Survey, OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2010) View citations (7) (2010)
42. Forecasting Levels of log Variables in Vector Autoregressions
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology View citations (3)
    Also in Economics Working Papers, European University Institute (2009) View citations (5)
    See also Journal Article Forecasting levels of log variables in vector autoregressions, International Journal of Forecasting, Elsevier (2011) View citations (10) (2011)
43. Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity
    Economics Working Papers, European University Institute
    See also Journal Article Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity, Journal of Time Series Analysis, Wiley Blackwell (2011) View citations (6) (2011)
44. Structural Vector Autoregressions with Markov Switching
    Economics Working Papers, European University Institute View citations (10)
    See also Journal Article Structural vector autoregressions with Markov switching, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (189) (2010)
45. The Role of the Log Transformation in Forecasting Economic Variables
    CESifo Working Paper Series, CESifo View citations (15)
    See also Journal Article The role of the log transformation in forecasting economic variables, Empirical Economics, Springer (2012) View citations (49) (2012)

2008

46. A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
    Economics Working Papers, European University Institute View citations (7)
47. Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
    CESifo Working Paper Series, CESifo View citations (7)
    Also in Economics Working Papers, European University Institute (2008) View citations (7)
48. Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
    Economics Working Papers, European University Institute View citations (6)
    See also Journal Article Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term, Econometrics Journal, Royal Economic Society (2009) View citations (6) (2009)

2007

49. Econometric Analysis with Vector Autoregressive Models
    Economics Working Papers, European University Institute View citations (6)

2006

50. Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in Economics Working Papers, European University Institute (2006) View citations (6)
    See also Journal Article Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance, German Economic Review, De Gruyter (2010) (2010)
51. Forecasting Euro-Area Variables with German Pre-EMU Data
    Economics Working Papers, European University Institute View citations (4)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2006)
    See also Journal Article Forecasting euro area variables with German pre-EMU data, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) View citations (19) (2008)
52. Identifying Monetary Policy Shocks via Changes in Volatility
    CESifo Working Paper Series, CESifo View citations (3)
    Also in Economics Working Papers, European University Institute (2006) View citations (4)
    See also Journal Article Identifying Monetary Policy Shocks via Changes in Volatility, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (53) (2008)
53. Structural Vector Autoregressions with Nonnormal Residuals
    CESifo Working Paper Series, CESifo View citations (3)
    Also in Economics Working Papers, European University Institute (2005) View citations (11)
    See also Journal Article Structural Vector Autoregressions With Nonnormal Residuals, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (182) (2010)
54. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Economics Working Papers, European University Institute View citations (4)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2006)
    See also Journal Article Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (22) (2008)

2005

55. Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article Problems related to over-identifying restrictions for structural vector error correction models, Economics Letters, Elsevier (2008) View citations (4) (2008)
56. Structural Vector Autoregressive Analysis for Cointegrated Variables
    Economics Working Papers, European University Institute View citations (6)
    See also Journal Article Structural vector autoregressive analysis for cointegrated variables, AStA Advances in Statistical Analysis, Springer (2006) View citations (131) (2006)
    Chapter Structural Vector Autoregressive Analysis for Cointegrated Variables, Springer Books, Springer (2006) View citations (8) (2006)
57. 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 (20)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2005)

2004

58. A Small Monetary System for the Euro Area Based on German Data
    Economics Working Papers, European University Institute View citations (5)
    See also Journal Article A small monetary system for the euro area based on German data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (36) (2006)
59. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    Economics Working Papers, European University Institute View citations (16)
60. Forecasting with VARMA Models
    Economics Working Papers, European University Institute View citations (6)
    See also Chapter Forecasting with VARMA Models, Handbook of Economic Forecasting, Elsevier (2006) View citations (11) (2006)
61. Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative
    Economics Working Papers, European University Institute View citations (8)
    See also Journal Article Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (10) (2005)
62. Recent Advances in Cointegration Analysis
    Economics Working Papers, European University Institute View citations (3)
    See also Chapter Recent Advances in Cointegration Analysis, Contributions to Economic Analysis, Emerald Group Publishing Limited (2004) (2004)
63. Residual Autocorrelation Testing for Vector Error Correction Models
    Economics Working Papers, European University Institute View citations (3)
    See also Journal Article Residual autocorrelation testing for vector error correction models, Journal of Econometrics, Elsevier (2006) View citations (26) (2006)

2003

64. Comparison of Model Reduction Methods for VAR Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (17)
    Also in Economics Working Papers, European University Institute (2002) View citations (4)
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) View citations (4)

2002

65. Comparison of Unit Root Tests for Time Series with Level Shifts
    MPRA Paper, University Library of Munich, Germany View citations (221)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (6)
    See also Journal Article Comparison of unit root tests for time series with level shifts, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (146) (2002)

2001

66. 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 (28)
    See also Journal Article Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (65) (2003)
67. 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 Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time, Econometrica, Econometric Society (2004) View citations (70) (2004)
68. 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 Testing for the Cointegrating Rank of a VAR Process with Structural Shifts, Journal of Business & Economic Statistics, American Statistical Association (2000) View citations (229) (2000)
69. The Transmission of German Monetary Policy in the Pre-Euro Period
    CESifo Working Paper Series, CESifo 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 (2)
    See also Journal Article TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD, Macroeconomic Dynamics, Cambridge University Press (2003) View citations (25) (2003)
70. 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 (3)
    See also Journal Article Unit root tests for time series with level shifts: a comparison of different proposals, Economics Letters, Elsevier (2002) View citations (137) (2002)
71. 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

72. 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 (7)
73. 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 (49)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (47)
    See also Journal Article Comparison of tests for the cointegrating rank of a VAR process with a structural shift, Journal of Econometrics, Elsevier (2003) View citations (30) (2003)
74. 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 (21)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (1)
75. 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 View citations (16)
    See also Journal Article Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, Econometrics Journal, Royal Economic Society (2001) View citations (95) (2001)
76. 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 View citations (3)
    See also Journal Article On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models, Economics Letters, Elsevier (2001) View citations (88) (2001)
77. 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) View citations (3)
    See also Journal Article TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME, Econometric Theory, Cambridge University Press (2002) View citations (188) (2002)
78. 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

79. 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 (6)
    See also Journal Article COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS, Macroeconomic Dynamics, Cambridge University Press (2001) View citations (71) (2001)
80. Forecasting cointegrated VARMA processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
81. 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)
82. 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 (2)
83. Vector autoregressions
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
84. Vector autoregressive analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (5)

1998

85. A review of systemscointegration tests
    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 A REVIEW OF SYSTEMS COINTEGRATION TESTS, Econometric Reviews, Taylor & Francis Journals (2001) View citations (70) (2001)
86. 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
    See also Journal Article Multivariate volatility analysis of VW stock prices, Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd. (2000) View citations (1) (2000)
87. 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
    See also Journal Article TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT, Econometric Theory, Cambridge University Press (2000) View citations (202) (2000)

1997

88. 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
89. 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 Estimating the Kronecker indices of cointegrated echelon-form VARMA models, Econometrics Journal, Royal Economic Society (1998) View citations (8) (1998)
90. 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
    See also Journal Article LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS, Econometric Theory, Cambridge University Press (1999) View citations (40) (1999)
91. 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 View citations (1)
92. 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 (4)
93. 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 Testing for the cointegrating rank of a VAR process with a time trend, Journal of Econometrics, Elsevier (2000) View citations (221) (2000)
94. 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 View citations (2)

1996

95. 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 (54)
    See also Journal Article A Review of Nonparametric Time Series Analysis, International Statistical Review, International Statistical Institute (1997) View citations (40) (1997)
96. 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 (9)
97. 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 (5)
98. 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 (8)
    See also Journal Article Modeling The Demand For M3 In The Unified Germany, The Review of Economics and Statistics, MIT Press (1998) View citations (39) (1998)
99. Statistische Modellierung von Volatilitäten
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1995

100. 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
101. 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)
102. 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 (3)
     See also Journal Article Impulse response analysis in infinite order cointegrated vector autoregressive processes, Journal of Econometrics, Elsevier (1997) View citations (30) (1997)
103. 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 Investigating Stability and Linearity of a German M1 Money Demand Function, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1999) View citations (52) (1999)
104. Konjunkturanalyse mit Markov-Regimewechselmodellen
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
105. 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

106. 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
107. Kointegration und gemeinsame Trends
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
108. Making Wald Tests Work for Cointegrated VAR Systems
     Working Papers, CEMFI View citations (3)
     Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1994) View citations (13)
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1994) View citations (4)
109. 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
110. 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 (5)
111. 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

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

Journal Articles

2024

1. Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies
   Journal of Economic Dynamics and Control, 2024, 161, (C) View citations (2)

2023

2. An Alternative Bootstrap for Proxy Vector Autoregressions
   Computational Economics, 2023, 62, (4), 1857-1882 View citations (2)
   See also Working Paper An Alternative Bootstrap for Proxy Vector Autoregressions, Discussion Papers of DIW Berlin (2020) View citations (5) (2020)
3. Have the effects of shocks to oil price expectations changed?
   Economics Letters, 2023, 233, (C)

2022

4. Comparison of local projection estimators for proxy vector autoregressions
   Journal of Economic Dynamics and Control, 2022, 134, (C) View citations (11)
   See also Working Paper Comparison of Local Projection Estimators for Proxy Vector Autoregressions, University of East Anglia School of Economics Working Paper Series (2021) (2021)
5. Heteroscedastic Proxy Vector Autoregressions
   Journal of Business & Economic Statistics, 2022, 40, (3), 1268-1281 View citations (10)
   See also Working Paper Heteroskedastic Proxy Vector Autoregressions, VfS Annual Conference 2021 (Virtual Conference): Climate Economics (2021) View citations (7) (2021)

2021

6. Qualitative versus quantitative external information for proxy vector autoregressive analysis
   Journal of Economic Dynamics and Control, 2021, 127, (C) View citations (7)
   See also Working Paper Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis, Discussion Papers of DIW Berlin (2021) View citations (7) (2021)
7. Testing identification via heteroskedasticity in structural vector autoregressive models
   The Econometrics Journal, 2021, 24, (1), 1-22 View citations (11)
   Also in EconStor Open Access Articles and Book Chapters, 2021, 24, (1), 1-22 (2021) View citations (11)
   See also Working Paper Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models, Discussion Papers of DIW Berlin (2018) View citations (1) (2018)

2020

8. Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
   Journal of Economic Dynamics and Control, 2020, 113, (C) View citations (6)
   See also Working Paper Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity, Papers (2018) (2018)
9. Constructing joint confidence bands for impulse response functions of VAR models – A review
   Econometrics and Statistics, 2020, 13, (C), 69-83 View citations (4)
   See also Working Paper Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review, Lodz Economics Working Papers (2018) View citations (2) (2018)
10. Inference in partially identified heteroskedastic simultaneous equations models
    Journal of Econometrics, 2020, 218, (2), 317-345 View citations (1)
    See also Working Paper Inference in Partially Identified Heteroskedastic Simultaneous Equations Models, Discussion Papers (2016) (2016)
11. Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
    Economics Letters, 2020, 195, (C)

2019

12. Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
    Journal of Economic Dynamics and Control, 2019, 101, (C), 41-61 View citations (11)
    See also Working Paper Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH, Discussion Papers of DIW Berlin (2018) (2018)

2018

13. Calculating joint confidence bands for impulse response functions using highest density regions
    Empirical Economics, 2018, 55, (4), 1389-1411 View citations (14)
    See also Working Paper Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions, Discussion Papers of DIW Berlin (2016) (2016)
14. Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis
    EconStor Open Access Articles and Book Chapters, 2018, (4), 715-735 View citations (16)
    Also in Oxford Bulletin of Economics and Statistics, 2018, 80, (4), 715-735 (2018) View citations (14)
    See also Working Paper Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis, Discussion Papers of DIW Berlin (2017) View citations (1) (2017)
15. Estimation of structural impulse responses: short-run versus long-run identifying restrictions
    AStA Advances in Statistical Analysis, 2018, 102, (2), 229-244 View citations (2)
    See also Working Paper Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions, Discussion Papers of DIW Berlin (2017) (2017)
16. The Relation between Monetary Policy and the Stock Market in Europe
    Econometrics, 2018, 6, (3), 1-14 View citations (3)
    See also Working Paper The Relation between Monetary Policy and the Stock Market in Europe, Discussion Papers of DIW Berlin (2018) View citations (4) (2018)

2017

17. Structural vector autoregressions with heteroskedasticity: A review of different volatility models
    Econometrics and Statistics, 2017, 1, (C), 2-18 View citations (9)
18. Structural vector autoregressions with smooth transition in variances
    Journal of Economic Dynamics and Control, 2017, 84, (C), 43-57 View citations (14)

2016

19. STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY
    Journal of Economic Surveys, 2016, 30, (2), 377-392 View citations (12)
    Also in EconStor Open Access Articles and Book Chapters, 2016, 30, 377-392 (2016) View citations (14)
    See also Working Paper Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity, Discussion Papers of DIW Berlin (2014) View citations (5) (2014)
20. Testing for identification in SVAR-GARCH models
    Journal of Economic Dynamics and Control, 2016, 73, (C), 241-258 View citations (23)
    See also Working Paper Testing for identification in SVAR-GARCH models, SFB 649 Discussion Papers (2015) (2015)

2015

21. Comparison of methods for constructing joint confidence bands for impulse response functions
    International Journal of Forecasting, 2015, 31, (3), 782-798 View citations (50)
    See also Working Paper Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions, MAGKS Papers on Economics (2013) View citations (12) (2013)
22. Confidence Bands for Impulse Responses: Bonferroni vs. Wald
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 800-821 View citations (41)

2014

23. 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 View citations (41)
    See also Working Paper Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs, Discussion Papers of DIW Berlin (2012) View citations (11) (2012)
24. Mulaik, S. A.: Foundations of factor analysis
    Statistical Papers, 2014, 55, (4), 1229-1230
25. Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
    Journal of Econometrics, 2014, 183, (1), 104-116 View citations (87)
    See also Working Paper Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks, Economics Working Papers (2011) View citations (9) (2011)

2013

26. Does the Box–Cox transformation help in forecasting macroeconomic time series?
    International Journal of Forecasting, 2013, 29, (1), 88-99 View citations (12)
    See also Working Paper Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?, Economics Working Papers (2011) View citations (5) (2011)
27. Forecasting contemporaneous aggregates with stochastic aggregation weights
    International Journal of Forecasting, 2013, 29, (1), 60-68 View citations (4)
    See also Working Paper Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights, Working Paper Series of the Department of Economics, University of Konstanz (2011) (2011)
28. Reducing confidence bands for simulated impulse responses
    Statistical Papers, 2013, 54, (4), 1131-1145 View citations (4)
    See also Working Paper Reducing Confidence Bands for Simulated Impulse Responses, Discussion Papers of DIW Berlin (2012) View citations (1) (2012)

2012

29. The role of the log transformation in forecasting economic variables
    Empirical Economics, 2012, 42, (3), 619-638 View citations (49)
    See also Working Paper The Role of the Log Transformation in Forecasting Economic Variables, CESifo Working Paper Series (2009) View citations (15) (2009)

2011

30. Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R
    Statistical Papers, 2011, 52, (2), 495-496
31. Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index
    Journal of Time Series Econometrics, 2011, 3, (1), 23 View citations (11)
32. Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (1), 107-133 View citations (6)
    See also Working Paper Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights, CESifo Working Paper Series (2010) View citations (3) (2010)
33. Forecasting levels of log variables in vector autoregressions
    International Journal of Forecasting, 2011, 27, (4), 1108-1115 View citations (10)
    See also Working Paper Forecasting Levels of log Variables in Vector Autoregressions, Working Paper Series (2009) View citations (3) (2009)
34. Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
    Journal of Time Series Analysis, 2011, 32, (3), 281-291 View citations (6)
    See also Working Paper Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity, Economics Working Papers (2009) (2009)
35. I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews
    Statistical Papers, 2011, 52, (2), 497-499 View citations (1)

2010

36. Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
    German Economic Review, 2010, 11, (3), 381-396
    Also in German Economic Review, 2010, 11, (3), 381-396 (2010) View citations (4)
    See also Working Paper Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance, CEPR Discussion Papers (2006) View citations (6) (2006)
37. Forecasting Aggregated Time Series Variables: A Survey
    OECD Journal: Journal of Business Cycle Measurement and Analysis, 2010, 2010, (2), 1-26 View citations (7)
    See also Working Paper Forecasting Aggregated Time Series Variables: A Survey, Economics Working Papers (2009) View citations (4) (2009)
38. Structural Vector Autoregressions With Nonnormal Residuals
    Journal of Business & Economic Statistics, 2010, 28, (1), 159-168 View citations (182)
    See also Working Paper Structural Vector Autoregressions with Nonnormal Residuals, CESifo Working Paper Series (2006) View citations (3) (2006)
39. Structural vector autoregressions with Markov switching
    Journal of Economic Dynamics and Control, 2010, 34, (2), 121-131 View citations (189)
    See also Working Paper Structural Vector Autoregressions with Markov Switching, Economics Working Papers (2009) View citations (10) (2009)

2009

40. Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
    Econometrics Journal, 2009, 12, (3), 414-435 View citations (6)
    See also Working Paper Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term, Economics Working Papers (2008) View citations (6) (2008)

2008

41. Forecasting euro area variables with German pre-EMU data
    Journal of Forecasting, 2008, 27, (6), 465-481 View citations (19)
    See also Working Paper Forecasting Euro-Area Variables with German Pre-EMU Data, Economics Working Papers (2006) View citations (4) (2006)
42. Identifying Monetary Policy Shocks via Changes in Volatility
    Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 View citations (53)
    Also in Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 (2008) View citations (140)
    See also Working Paper Identifying Monetary Policy Shocks via Changes in Volatility, CESifo Working Paper Series (2006) View citations (3) (2006)
43. Problems related to over-identifying restrictions for structural vector error correction models
    Economics Letters, 2008, 99, (3), 512-515 View citations (4)
    See also Working Paper Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models, Economics Working Papers (2005) View citations (1) (2005)
44. 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 (22)
    See also Working Paper Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break, Economics Working Papers (2006) View citations (4) (2006)

2007

45. General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
    Journal of Econometrics, 2007, 136, (1), 319-324 View citations (45)

2006

46. A small monetary system for the euro area based on German data
    Journal of Applied Econometrics, 2006, 21, (6), 683-702 View citations (36)
    Also in Journal of Applied Econometrics, 2006, 21, (6), 683-702 (2006) View citations (2)
    See also Working Paper A Small Monetary System for the Euro Area Based on German Data, Economics Working Papers (2004) View citations (5) (2004)
47. BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
    Econometric Theory, 2006, 22, (1), 15-68 View citations (18)
48. Residual autocorrelation testing for vector error correction models
    Journal of Econometrics, 2006, 134, (2), 579-604 View citations (26)
    See also Working Paper Residual Autocorrelation Testing for Vector Error Correction Models, Economics Working Papers (2004) View citations (3) (2004)
49. Structural vector autoregressive analysis for cointegrated variables
    AStA Advances in Statistical Analysis, 2006, 90, (1), 75-88 View citations (131)
    See also Working Paper Structural Vector Autoregressive Analysis for Cointegrated Variables, Economics Working Papers (2005) View citations (6) (2005)
    Chapter Structural Vector Autoregressive Analysis for Cointegrated Variables, Springer Books, 2006, 73-86 (2006) View citations (8) (2006)

2005

50. A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
    Econometric Theory, 2005, 21, (3), 653-658
51. 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 (10)
    See also Working Paper Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative, Economics Working Papers (2004) View citations (8) (2004)

2004

52. On unit root tests in the presence of transitional growth
    Economics Letters, 2004, 84, (3), 323-327 View citations (2)
53. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Econometrica, 2004, 72, (2), 647-662 View citations (70)
    See also Working Paper Testing for the cointegrating rank of a VAR process with level shift at unknown time, SFB 373 Discussion Papers (2001) View citations (1) (2001)

2003

54. 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 (30)
    See also Working Paper Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (49) (2000)
55. TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD
    Macroeconomic Dynamics, 2003, 7, (5), 711-733 View citations (25)
    Also in Macroeconomic Dynamics, 2003, 7, (5), 711-733 (2003) View citations (31)
    See also Working Paper The Transmission of German Monetary Policy in the Pre-Euro Period, CESifo Working Paper Series (2001) View citations (3) (2001)
56. 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 (65)
    See also Working Paper Test procedures for unit roots in time series with level shifts at unknown time, SFB 373 Discussion Papers (2001) View citations (28) (2001)

2002

57. Comparison of unit root tests for time series with level shifts
    Journal of Time Series Analysis, 2002, 23, (6), 667-685 View citations (146)
    See also Working Paper Comparison of Unit Root Tests for Time Series with Level Shifts, MPRA Paper (2002) View citations (221) (2002)
58. TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
    Econometric Theory, 2002, 18, (2), 313-348 View citations (188)
    See also Working Paper Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (1) (2000)
59. Unit root tests for time series with level shifts: a comparison of different proposals
    Economics Letters, 2002, 75, (1), 109-114 View citations (137)
    See also Working Paper Unit root tests for time series with level shifts: A comparison of different proposals, SFB 373 Discussion Papers (2001) View citations (3) (2001)

2001

60. A REVIEW OF SYSTEMS COINTEGRATION TESTS
    Econometric Reviews, 2001, 20, (3), 247-318 View citations (70)
    See also Working Paper A review of systemscointegration tests, SFB 373 Discussion Papers (1998) View citations (1) (1998)
61. 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
62. Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen
    Perspektiven der Wirtschaftspolitik, 2001, 2, (1), 105-108
63. COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS
    Macroeconomic Dynamics, 2001, 5, (1), 81-100 View citations (71)
    See also Working Paper Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems, CEPR Discussion Papers (1999) View citations (17) (1999)
64. Comment on essays on current state and future challenges of econometrics
    Journal of Econometrics, 2001, 100, (1), 81-82
65. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations (95)
    See also Working Paper Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, SFB 373 Discussion Papers (2000) View citations (16) (2000)
66. On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
    Economics Letters, 2001, 73, (2), 155-160 View citations (88)
    See also Working Paper On the reliability of chow type test for parameter constancy in multivariate dynamic models, SFB 373 Discussion Papers (2000) View citations (3) (2000)

2000

67. Multivariate volatility analysis of VW stock prices
    Intelligent Systems in Accounting, Finance and Management, 2000, 9, (1), 35-54 View citations (1)
    See also Working Paper Multivariate Volatility Analysis of VW Stock Prices, SFB 373 Discussion Papers (1998) (1998)
68. TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
    Econometric Theory, 2000, 16, (3), 373-406 View citations (202)
    See also Working Paper Testing for the cointegrating rank of a VAR process with an intercept, SFB 373 Discussion Papers (1998) (1998)
69. Testing for the Cointegrating Rank of a VAR Process with Structural Shifts
    Journal of Business & Economic Statistics, 2000, 18, (4), 451-64 View citations (229)
    See also Working Paper Testing for the cointegrating rank of a VAR process with structural shifts, SFB 373 Discussion Papers (2001) (2001)
70. Testing for the cointegrating rank of a VAR process with a time trend
    Journal of Econometrics, 2000, 95, (1), 177-198 View citations (221)
    See also Working Paper Testing for the Cointegrating Rank of a VAR Process with a Time Trend, SFB 373 Discussion Papers (1997) View citations (1) (1997)
71. Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
    Journal of Time Series Analysis, 2000, 21, (4), 435-456 View citations (30)

1999

72. A lag augmentation test for the cointegrating rank of a VAR process
    Economics Letters, 1999, 63, (1), 23-27 View citations (4)
73. Investigating Stability and Linearity of a German M1 Money Demand Function
    Journal of Applied Econometrics, 1999, 14, (5), 511-25 View citations (52)
    See also Working Paper Investigating Stability and Linearity of a German M1 Money Demand Function, SSE/EFI Working Paper Series in Economics and Finance (1995) View citations (9) (1995)
74. LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
    Econometric Theory, 1999, 15, (1), 50-78 View citations (40)
    See also Working Paper Local power of likelihood ratio tests for the cointegrating rank of a VAR process, SFB 373 Discussion Papers (1997) (1997)

1998

75. A money demand system for German M3
    Empirical Economics, 1998, 23, (3), 371-386 View citations (36)
76. Estimating the Kronecker indices of cointegrated echelon-form VARMA models
    Econometrics Journal, 1998, 1, (ConferenceIssue), C76-C99 View citations (8)
    See also Working Paper Estimating the Kronecker indices of cointegrated echelon form VARMA models, SFB 373 Discussion Papers (1997) View citations (1) (1997)
77. Modeling The Demand For M3 In The Unified Germany
    The Review of Economics and Statistics, 1998, 80, (3), 399-409 View citations (39)
    See also Working Paper Modelling the Demand for M3 in the Unified Germany, SFB 373 Discussion Papers (1996) View citations (3) (1996)
78. Money demand in Europe: Editors' preface
    Empirical Economics, 1998, 23, (3), 263-266 View citations (1)

1997

79. A Review of Nonparametric Time Series Analysis
    International Statistical Review, 1997, 65, (1), 49-72 View citations (40)
    See also Working Paper A Review of Nonparametric Time Series Analysis, SFB 373 Discussion Papers (1996) View citations (54) (1996)
80. Analysis of cointegrated VARMA processes
    Journal of Econometrics, 1997, 80, (2), 223-239 View citations (26)
81. Impulse response analysis in infinite order cointegrated vector autoregressive processes
    Journal of Econometrics, 1997, 81, (1), 127-157 View citations (30)
    See also Working Paper Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes, SFB 373 Discussion Papers (1995) View citations (3) (1995)
82. Modified Wald tests under nonregular conditions
    Journal of Econometrics, 1997, 78, (2), 315-332 View citations (56)
83. Nonparametric dynamic modelling
    Journal of Econometrics, 1997, 81, (1), 1-5

1996

84. Infinite-Order Cointegrated Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (5), 814-844 View citations (34)
85. Specification of Echelon-Form VARMA Models
    Journal of Business & Economic Statistics, 1996, 14, (1), 69-79 View citations (42)
86. Specification of varying coefficient time series models via generalized flexible least squares
    Journal of Econometrics, 1996, 70, (1), 261-290 View citations (18)
87. Testing for Causation Using Infinite Order Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (1), 61-87 View citations (42)

1995

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

1993

89. The
    Empirical Economics, 1993, 18, (4), 729-43

1992

90. Granger-causality in cointegrated VAR processes The case of the term structure
    Economics Letters, 1992, 40, (3), 263-268 View citations (56)
91. Impulse response analysis of cointegrated systems
    Journal of Economic Dynamics and Control, 1992, 16, (1), 53-78 View citations (208)

1991

92. Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
    Econometric Theory, 1991, 7, (4), 487-496 View citations (35)

1990

93. 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 (97)

1989

94. 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 (19)
95. Prediction Tests for Structural Stability of Multiple Time Series
    Journal of Business & Economic Statistics, 1989, 7, (1), 129-35
96. The Stability Assumption in Tests of Causality between Money and Income
    Empirical Economics, 1989, 14, (2), 139-50 View citations (4)

1988

97. Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process
    Econometric Theory, 1988, 4, (1), 77-85 View citations (5)
98. Prediction tests for structural stability
    Journal of Econometrics, 1988, 39, (3), 267-296 View citations (1)

1986

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

1985

100. COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS
     Journal of Time Series Analysis, 1985, 6, (1), 35-52 View citations (61)
101. The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions
     Economics Letters, 1985, 17, (1-2), 103-106 View citations (2)

1984

102. Forecasting Contemporaneously Aggregated Vector ARMA Processes
     Journal of Business & Economic Statistics, 1984, 2, (3), 201-14 View citations (40)
103. Linear aggregation of vector autoregressive moving average processes
     Economics Letters, 1984, 14, (4), 345-350 View citations (6)
104. Linear transformations of vector ARMA processes
     Journal of Econometrics, 1984, 26, (3), 283-293 View citations (56)
105. The Optimality of Rational Distributed Lags: A Comment
     International Economic Review, 1984, 25, (2), 503-06 View citations (1)

1983

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

1982

107. DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA
     Journal of Time Series Analysis, 1982, 3, (4), 235-243 View citations (5)
108. Non-causality due to omitted variables
     Journal of Econometrics, 1982, 19, (2-3), 367-378 View citations (265)

1981

109. A model for non-negative and non-positive distributed lag functions
     Journal of Econometrics, 1981, 16, (2), 211-219 View citations (12)
110. Michael Leserer - Grundlagen der Ökonometrie
     German Journal of Agricultural Economics, 1981, 30, (09)

Books

2018

1. Structural Vector Autoregressive Analysis
   Cambridge Books, Cambridge University Press View citations (35)
   Also in Cambridge Books, Cambridge University Press (2017) View citations (679)

2005

2. New Introduction to Multiple Time Series Analysis
   Springer Books, Springer View citations (375)

Edited books

2004

1. Applied Time Series Econometrics
   Cambridge Books, Cambridge University Press View citations (419)
2. Applied Time Series Econometrics
   Cambridge Books, Cambridge University Press View citations (419)

Chapters

2013

1. Identifying Structural Vector Autoregressions Via Changes in Volatility☆This article was written while the author was a Bundesbank Professor at the Freie Universität Berlin. An earlier version of the paper was published as DIW Discussion Paper 1259 –http://www.diw.de/sixcms/detail.php?id=diw_0.1.c.412678.de
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 169-203
2. Vector autoregressive models
   Chapter 6 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 139-164 View citations (5)
   See also Working Paper Vector Autoregressive Models, European University Institute (2011) View citations (16) (2011)

2006

3. Forecasting with VARMA Models
   Elsevier View citations (11)
   See also Working Paper Forecasting with VARMA Models, European University Institute (2004) View citations (6) (2004)
4. Structural Vector Autoregressive Analysis for Cointegrated Variables
   Springer View citations (8)
   See also Working Paper Structural Vector Autoregressive Analysis for Cointegrated Variables, European University Institute (2005) View citations (6) (2005)
   Journal Article Structural vector autoregressive analysis for cointegrated variables, Springer (2006) View citations (131) (2006)

2005

5. Cointegrated VARMA Processes
   Springer
6. Estimation of VARMA Models
   Springer
7. Estimation of Vector Autoregressive Processes
   Springer
8. Estimation of Vector Error Correction Models
   Springer
   Also in Springer (2005) View citations (1)
9. Fitting Finite Order VAR Models to Infinite Order Processes
   Springer
10. Introduction
    Springer
11. Multivariate ARCH and GARCH Models
    Springer
12. Periodic VAR Processes and Intervention Models
    Springer
13. Specification and Checking the Adequacy of VARMA Models
    Springer
14. Specification of VECMs
    Springer
15. Stable Vector Autoregressive Processes
    Springer
16. State Space Models
    Springer
17. Structural VARs and VECMs
    Springer
18. Systems of Dynamic Simultaneous Equations
    Springer
19. VAR Order Selection and Checking the Model Adequacy
    Springer
20. VAR Processes with Parameter Constraints
    Springer
21. Vector Autoregressive Moving Average Processes
    Springer

2004

22. Recent Advances in Cointegration Analysis
    A chapter in New Directions in Macromodelling, 2004, pp 107-146
    See also Working Paper Recent Advances in Cointegration Analysis, European University Institute (2004) View citations (3) (2004)