Details about Helmut Lütkepohl
Access statistics for papers by Helmut Lütkepohl.
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Working Papers
2025
- Comparing External and Internal Instruments for Vector Autoregressions
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. (2025)
- Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
2024
- 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)
- 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.
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2024)
- 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
- 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 (6)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2023) View citations (6)
2022
- 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
- Comparison of Local Projection Estimators for Proxy Vector Autoregressions
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. (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)
- 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 (9) (2022)
- 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
- A Simple Instrument for Proxy Vector Autoregressive Analysis
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
- An Alternative Bootstrap for Proxy Vector Autoregressions
University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. View citations (5)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2020) View citations (5)
See also Journal Article An Alternative Bootstrap for Proxy Vector Autoregressions, Computational Economics, Springer (2023) View citations (2) (2023)
- 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
- 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)
- 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)
- 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)
- 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, EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics (2021) View citations (11) (2021)
- 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 (3)
See also Journal Article The Relation between Monetary Policy and the Stock Market in Europe, Econometrics, MDPI (2018) View citations (3) (2018)
2017
- 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 (15) (2018)
- 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
- Calculating Joint Bands for Impulse Response Functions using Highest Density Regions
VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association
- 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 SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2016)
MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) (2016) View citations (5)
See also Journal Article Calculating joint confidence bands for impulse response functions using highest density regions, Empirical Economics, Springer (2018) View citations (13) (2018)
- Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
Also in Discussion Papers, School of Economics, The University of New South Wales (2016)
See also Journal Article Inference in partially identified heteroskedastic simultaneous equations models, Journal of Econometrics, Elsevier (2020) View citations (1) (2020)
2015
- 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)
- 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)
- 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
- Confidence Bands for Impulse Responses: Bonferroni versus Wald
VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association View citations (6)
Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
CESifo Working Paper Series, CESifo (2014) View citations (10)
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) View citations (8)
- 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)
- 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 SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
CESifo Working Paper Series, CESifo (2014) View citations (5)
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)
- 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
- Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (11)
Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2013)
MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) (2013) View citations (12)
See also Journal Article Comparison of methods for constructing joint confidence bands for impulse response functions, International Journal of Forecasting, Elsevier (2015) View citations (48) (2015)
2012
- 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)
- Fundamental Problems with Nonfundamental Shocks
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
- Identifying Structural Vector Autoregressions via Changes in Volatility
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
- 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
- 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)
- Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights
Economics Working Papers, European University Institute
Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2011)
See also Journal Article Forecasting contemporaneous aggregates with stochastic aggregation weights, International Journal of Forecasting, Elsevier (2013) View citations (4) (2013)
- 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 (86) (2014)
- 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
- 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
- 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)
- 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)
- 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)
- 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 (187) (2010)
- 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 (48) (2012)
2008
- A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
Economics Working Papers, European University Institute View citations (7)
- 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)
- 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
- Econometric Analysis with Vector Autoregressive Models
Economics Working Papers, European University Institute View citations (6)
2006
- 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, Verein für Socialpolitik (2010) View citations (4) (2010)
- 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)
- Identifying Monetary Policy Shocks via Changes in Volatility
Economics Working Papers, European University Institute View citations (4)
Also in CESifo Working Paper Series, CESifo (2006) View citations (3)
See also Journal Article Identifying Monetary Policy Shocks via Changes in Volatility, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (140) (2008)
- 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 (180) (2010)
- 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
- 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)
- Structural Vector Autoregressive Analysis for Cointegrated Variables
Economics Working Papers, European University Institute View citations (6)
See also Chapter Structural Vector Autoregressive Analysis for Cointegrated Variables, Springer Books, Springer (2006) View citations (8) (2006)
Journal Article Structural vector autoregressive analysis for cointegrated variables, AStA Advances in Statistical Analysis, Springer (2006) View citations (130) (2006)
- 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
- 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 (2) (2006)
- Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
Economics Working Papers, European University Institute View citations (16)
- 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)
- 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)
- 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)
- 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
- 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
- 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
- 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)
- 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)
- 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)
- 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 (31) (2003)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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 (87) (2001)
- 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 (187) (2002)
- 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
- 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)
- 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)
- 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)
- 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)
- Vector autoregressions
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
- 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
- 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)
- 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)
- 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
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- Statistische Modellierung von Volatilitäten
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
1995
- 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
- 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)
- 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)
- Investigating Stability and Linearity of a German M1 Money Demand Function
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1995) View citations (9)
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)
- 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)
- 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
- 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
- Kointegration und gemeinsame Trends
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- 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)
- 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
- 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)
- 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
- Lutkepohl
Instructional Stata datasets for econometrics, Boston College Department of Economics
Journal Articles
2024
- 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
- 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, University of East Anglia School of Economics Working Paper Series (2020) View citations (5) (2020)
- Have the effects of shocks to oil price expectations changed?
Economics Letters, 2023, 233, (C)
2022
- 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, Discussion Papers of DIW Berlin (2021) (2021)
- Heteroscedastic Proxy Vector Autoregressions
Journal of Business & Economic Statistics, 2022, 40, (3), 1268-1281 View citations (9)
See also Working Paper Heteroskedastic Proxy Vector Autoregressions, VfS Annual Conference 2021 (Virtual Conference): Climate Economics (2021) View citations (7) (2021)
2021
- 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)
- Testing identification via heteroskedasticity in structural vector autoregressive models
EconStor Open Access Articles and Book Chapters, 2021, 24, (1), 1-22 View citations (11)
Also in The Econometrics Journal, 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
- 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)
- 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)
- 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 of DIW Berlin (2016) (2016)
- Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Economics Letters, 2020, 195, (C)
2019
- 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
- Calculating joint confidence bands for impulse response functions using highest density regions
Empirical Economics, 2018, 55, (4), 1389-1411 View citations (13)
See also Working Paper Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions, Discussion Papers of DIW Berlin (2016) (2016)
- 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 (15)
Also in Oxford Bulletin of Economics and Statistics, 2018, 80, (4), 715-735 (2018) View citations (13)
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)
- 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)
- 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 (3) (2018)
2017
- Structural vector autoregressions with heteroskedasticity: A review of different volatility models
Econometrics and Statistics, 2017, 1, (C), 2-18 View citations (9)
- Structural vector autoregressions with smooth transition in variances
Journal of Economic Dynamics and Control, 2017, 84, (C), 43-57 View citations (14)
2016
- 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)
- 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
- Comparison of methods for constructing joint confidence bands for impulse response functions
International Journal of Forecasting, 2015, 31, (3), 782-798 View citations (48)
See also Working Paper Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions, Discussion Papers of DIW Berlin (2013) View citations (11) (2013)
- Confidence Bands for Impulse Responses: Bonferroni vs. Wald
Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 800-821 View citations (41)
2014
- 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)
- Mulaik, S. A.: Foundations of factor analysis
Statistical Papers, 2014, 55, (4), 1229-1230
- Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
Journal of Econometrics, 2014, 183, (1), 104-116 View citations (86)
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
- 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)
- 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, Economics Working Papers (2011) (2011)
- 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
- The role of the log transformation in forecasting economic variables
Empirical Economics, 2012, 42, (3), 619-638 View citations (48)
See also Working Paper The Role of the Log Transformation in Forecasting Economic Variables, CESifo Working Paper Series (2009) View citations (15) (2009)
2011
- Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R
Statistical Papers, 2011, 52, (2), 495-496
- 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)
- 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)
- 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)
- 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)
- I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews
Statistical Papers, 2011, 52, (2), 497-499 View citations (1)
2010
- Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
German Economic Review, 2010, 11, (3), 381-396 View citations (4)
Also in German Economic Review, 2010, 11, (3), 381-396 (2010)
See also Working Paper Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance, CEPR Discussion Papers (2006) View citations (6) (2006)
- 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)
- Structural Vector Autoregressions With Nonnormal Residuals
Journal of Business & Economic Statistics, 2010, 28, (1), 159-168 View citations (180)
See also Working Paper Structural Vector Autoregressions with Nonnormal Residuals, CESifo Working Paper Series (2006) View citations (3) (2006)
- Structural vector autoregressions with Markov switching
Journal of Economic Dynamics and Control, 2010, 34, (2), 121-131 View citations (187)
See also Working Paper Structural Vector Autoregressions with Markov Switching, Economics Working Papers (2009) View citations (10) (2009)
2009
- 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
- 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)
- Identifying Monetary Policy Shocks via Changes in Volatility
Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 View citations (140)
Also in Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 (2008) View citations (53)
See also Working Paper Identifying Monetary Policy Shocks via Changes in Volatility, Economics Working Papers (2006) View citations (4) (2006)
- 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)
- 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
- 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
- A small monetary system for the euro area based on German data
Journal of Applied Econometrics, 2006, 21, (6), 683-702 View citations (2)
Also in Journal of Applied Econometrics, 2006, 21, (6), 683-702 (2006) View citations (36)
See also Working Paper A Small Monetary System for the Euro Area Based on German Data, Economics Working Papers (2004) View citations (5) (2004)
- 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)
- 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)
- Structural vector autoregressive analysis for cointegrated variables
AStA Advances in Statistical Analysis, 2006, 90, (1), 75-88 View citations (130)
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
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
Econometric Theory, 2005, 21, (3), 653-658
- 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
- On unit root tests in the presence of transitional growth
Economics Letters, 2004, 84, (3), 323-327 View citations (2)
- 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
- 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)
- TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD
Macroeconomic Dynamics, 2003, 7, (5), 711-733 View citations (31)
Also in Macroeconomic Dynamics, 2003, 7, (5), 711-733 (2003) View citations (25)
See also Working Paper The Transmission of German Monetary Policy in the Pre-Euro Period, CESifo Working Paper Series (2001) View citations (3) (2001)
- 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
- 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)
- 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 (187)
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)
- 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
- 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)
- 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
- Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen
Perspektiven der Wirtschaftspolitik, 2001, 2, (1), 105-108
- 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)
- Comment on essays on current state and future challenges of econometrics
Journal of Econometrics, 2001, 100, (1), 81-82
- 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)
- On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
Economics Letters, 2001, 73, (2), 155-160 View citations (87)
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
- 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)
- 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)
- 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)
- 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)
- 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
- A lag augmentation test for the cointegrating rank of a VAR process
Economics Letters, 1999, 63, (1), 23-27 View citations (4)
- 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, SFB 373 Discussion Papers (1995) View citations (3) (1995)
- 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
- A money demand system for German M3
Empirical Economics, 1998, 23, (3), 371-386 View citations (36)
- 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)
- 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)
- Money demand in Europe: Editors' preface
Empirical Economics, 1998, 23, (3), 263-266 View citations (1)
1997
- 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)
- Analysis of cointegrated VARMA processes
Journal of Econometrics, 1997, 80, (2), 223-239 View citations (26)
- 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)
- Modified Wald tests under nonregular conditions
Journal of Econometrics, 1997, 78, (2), 315-332 View citations (56)
- Nonparametric dynamic modelling
Journal of Econometrics, 1997, 81, (1), 1-5
1996
- Infinite-Order Cointegrated Vector Autoregressive Processes
Econometric Theory, 1996, 12, (5), 814-844 View citations (34)
- Specification of Echelon-Form VARMA Models
Journal of Business & Economic Statistics, 1996, 14, (1), 69-79 View citations (42)
- Specification of varying coefficient time series models via generalized flexible least squares
Journal of Econometrics, 1996, 70, (1), 261-290 View citations (18)
- Testing for Causation Using Infinite Order Vector Autoregressive Processes
Econometric Theory, 1996, 12, (1), 61-87 View citations (42)
1995
- Book reviews
Metrika: International Journal for Theoretical and Applied Statistics, 1995, 42, (1), 139-148
1993
- The
Empirical Economics, 1993, 18, (4), 729-43
1992
- Granger-causality in cointegrated VAR processes The case of the term structure
Economics Letters, 1992, 40, (3), 263-268 View citations (56)
- Impulse response analysis of cointegrated systems
Journal of Economic Dynamics and Control, 1992, 16, (1), 53-78 View citations (207)
1991
- Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
Econometric Theory, 1991, 7, (4), 487-496 View citations (35)
1990
- 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 (95)
1989
- 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)
- Prediction Tests for Structural Stability of Multiple Time Series
Journal of Business & Economic Statistics, 1989, 7, (1), 129-35
- The Stability Assumption in Tests of Causality between Money and Income
Empirical Economics, 1989, 14, (2), 139-50 View citations (4)
1988
- Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process
Econometric Theory, 1988, 4, (1), 77-85 View citations (5)
- Prediction tests for structural stability
Journal of Econometrics, 1988, 39, (3), 267-296 View citations (1)
1986
- Forecasting Vector ARMA Processes with Systematically Missing Observations
Journal of Business & Economic Statistics, 1986, 4, (3), 375-90 View citations (1)
1985
- 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)
- The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions
Economics Letters, 1985, 17, (1-2), 103-106 View citations (2)
1984
- Forecasting Contemporaneously Aggregated Vector ARMA Processes
Journal of Business & Economic Statistics, 1984, 2, (3), 201-14 View citations (39)
- Linear aggregation of vector autoregressive moving average processes
Economics Letters, 1984, 14, (4), 345-350 View citations (6)
- Linear transformations of vector ARMA processes
Journal of Econometrics, 1984, 26, (3), 283-293 View citations (56)
- The Optimality of Rational Distributed Lags: A Comment
International Economic Review, 1984, 25, (2), 503-06 View citations (1)
1983
- Non-linear least squares estimation under non-linear equality constraints
Economics Letters, 1983, 13, (2-3), 191-196
1982
- 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)
- Non-causality due to omitted variables
Journal of Econometrics, 1982, 19, (2-3), 367-378 View citations (265)
1981
- A model for non-negative and non-positive distributed lag functions
Journal of Econometrics, 1981, 16, (2), 211-219 View citations (12)
- Michael Leserer - Grundlagen der Ökonometrie
German Journal of Agricultural Economics, 1981, 30, (09)
Books
2018
- Structural Vector Autoregressive Analysis
Cambridge Books, Cambridge University Press View citations (35)
Also in Cambridge Books, Cambridge University Press (2017) View citations (666)
2005
- New Introduction to Multiple Time Series Analysis
Springer Books, Springer View citations (370)
Edited books
2004
- Applied Time Series Econometrics
Cambridge Books, Cambridge University Press View citations (419)
- Applied Time Series Econometrics
Cambridge Books, Cambridge University Press View citations (419)
Chapters
2013
- 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
- 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
- Forecasting with VARMA Models
Elsevier View citations (11)
See also Working Paper Forecasting with VARMA Models, European University Institute (2004) View citations (6) (2004)
- 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 (130) (2006)
2005
- Cointegrated VARMA Processes
Springer
- Estimation of VARMA Models
Springer
- Estimation of Vector Autoregressive Processes
Springer
- Estimation of Vector Error Correction Models
Springer
Also in Springer (2005) View citations (1)
- Fitting Finite Order VAR Models to Infinite Order Processes
Springer
- Introduction
Springer
- Multivariate ARCH and GARCH Models
Springer
- Periodic VAR Processes and Intervention Models
Springer
- Specification and Checking the Adequacy of VARMA Models
Springer
- Specification of VECMs
Springer
- Stable Vector Autoregressive Processes
Springer
- State Space Models
Springer
- Structural VARs and VECMs
Springer
- Systems of Dynamic Simultaneous Equations
Springer
- VAR Order Selection and Checking the Model Adequacy
Springer
- VAR Processes with Parameter Constraints
Springer
- Vector Autoregressive Moving Average Processes
Springer
2004
- 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)
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