Helmut Lütkepohl
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Helmut |
| last: |
Lütkepohl |
Identifer
Contact
Affiliations
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung) (weight: 50%)
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CESifo (weight: 10%)
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Freie Universität Berlin
/ Fachbereich Wirtschaftswissenschaft
/ Abteilung Volkswirtschaftslehre (weight: 40%)
Research profile
author of:
- Michael Leserer - Grundlagen der Ökonometrie (RePEc:ags:gjagec:300141)
by Lütkepohl, H - Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review (RePEc:ann:wpaper:4/2018)
by Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter - Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity (RePEc:arx:papers:1811.08167)
by Helmut Lutkepohl & Tomasz Wo'zniak - Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference (RePEc:arx:papers:2404.11057)
by Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak - Specification of Echelon-Form VARMA Models (RePEc:bes:jnlbes:v:14:y:1996:i:1:p:69-79)
by Lutkepohl, Helmut & Poskitt, D S - Testing for the Cointegrating Rank of a VAR Process with Structural Shifts (RePEc:bes:jnlbes:v:18:y:2000:i:4:p:451-64)
by Saikkonen, Pentti & Lutkepohl, Helmut - Forecasting Contemporaneously Aggregated Vector ARMA Processes (RePEc:bes:jnlbes:v:2:y:1984:i:3:p:201-14)
by Lutkepohl, Helmut - Structural Vector Autoregressions With Nonnormal Residuals (RePEc:bes:jnlbes:v:28:i:1:y:2010:p:159-168)
by Lanne, Markku & Lütkepohl, Helmut - Forecasting Vector ARMA Processes with Systematically Missing Observations (RePEc:bes:jnlbes:v:4:y:1986:i:3:p:375-90)
by Lutkepohl, Helmut - Prediction Tests for Structural Stability of Multiple Time Series (RePEc:bes:jnlbes:v:7:y:1989:i:1:p:129-35)
by Lutkepohl, Helmut - Unknown item RePEc:bla:germec:v:11:y:2010:i::p:381-396 (article)
- Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (RePEc:bla:germec:v:11:y:2010:i:3:p:381-396)
by Elena Argentesi & Helmut Lütkepohl & Massimo Motta - A Review of Nonparametric Time Series Analysis (RePEc:bla:istatr:v:65:y:1997:i:1:p:49-72)
by Wolfgang Härdle & Helmut Lütkepohl & Rong Chen - Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions Via Heteroskedasticity (RePEc:bla:jecsur:v:30:y:2016:i:2:p:377-392)
by Helmut Lütkepohl & Anton Velinov - Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process (RePEc:bla:jtsera:v:21:y:2000:i:4:p:435-456)
by Pentti Saikkonen & Helmut Lutkepohl - Comparison of unit root tests for time series with level shifts (RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685)
by Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen - Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break (RePEc:bla:jtsera:v:29:y:2008:i:2:p:331-358)
by Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl - Differencing Multiple Time Series: Another Look At Canadian Money And Income Data (RePEc:bla:jtsera:v:3:y:1982:i:4:p:235-243)
by Helmut Lütkepohl - Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity (RePEc:bla:jtsera:v:32:y:2011:i:3:p:281-291)
by Helmut Herwartz & Helmut Lütkepohl - Comparison Of Criteria For Estimating The Order Of A Vector Autoregressive Process (RePEc:bla:jtsera:v:6:y:1985:i:1:p:35-52)
by Helmut Lütkepohl - Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time (RePEc:bla:obuest:v:65:y:2003:i:1:p:91-115)
by Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen - Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative (RePEc:bla:obuest:v:67:y:2005:i:5:p:673-690)
by Ralf Brüggemann & Helmut Lütkepohl - Confidence Bands for Impulse Responses: Bonferroni vs. Wald (RePEc:bla:obuest:v:77:y:2015:i:6:p:800-821)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis (RePEc:bla:obuest:v:80:y:2018:i:4:p:715-735)
by Helmut Lütkepohl & Thore Schlaak - Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen (RePEc:bla:perwir:v:2:y:2001:i:1:p:105-108)
by Helmut Lütkepohl - Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen (RePEc:bla:perwir:v:2:y:2001:i:3:p:343-345)
by Helmut Lütkepohl - Lutkepohl (RePEc:boc:bocins:lutkepohl)
by Lutkepohl, Helmut - Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (RePEc:bpj:germec:v:11:y:2010:i:3:p:381-396)
by Argentesi Elena & Lütkepohl Helmut & Motta Massimo - Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index (RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:7)
by Luetkepohl Helmut & Xu Fang - Unknown item RePEc:bpj:pewipo:v:2:y:2001:i:1:p:105-108:n:9 (article)
- Structural Vector Autoregressions with Nonnormal Residuals (RePEc:ces:ceswps:_1651)
by Markku Lanne & Helmut Lütkepohl - Identifying Monetary Policy Shocks via Changes in Volatility (RePEc:ces:ceswps:_1744)
by Markku Lanne & Helmut Lütkepohl - Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis (RePEc:ces:ceswps:_2407)
by Markku Lanne & Helmut Lütkepohl - The Role of the Log Transformation in Forecasting Economic Variables (RePEc:ces:ceswps:_2591)
by Helmut Lütkepohl & Fang Xu - Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights (RePEc:ces:ceswps:_3031)
by Helmut Lütkepohl - Confidence Bands for Impulse Responses: Bonferroni versus Wald (RePEc:ces:ceswps:_4634)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity (RePEc:ces:ceswps:_4651)
by Helmut Lütkepohl & Anton Velinov - Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models (RePEc:ces:ceswps:_5308)
by Helmut Lütkepohl & Aleksei Netšunajev - The Transmission of German Monetary Policy in the Pre-Euro Period (RePEc:ces:ceswps:_604)
by Helmut Lütkepohl & Jürgen Wolters - Making Wald Tests Work for Cointegrated VAR Systems (RePEc:cmf:wpaper:wp1994_9424)
by Juan J. Dolado & Helmut Lütkepohl - Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems (RePEc:cpr:ceprdp:2208)
by Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen - Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (RePEc:cpr:ceprdp:5912)
by Motta, Massimo & , & Argentesi, Elena - Applied Time Series Econometrics (RePEc:cup:cbooks:9780521547871)
by None - Applied Time Series Econometrics (RePEc:cup:cbooks:9780521839198)
by None - Structural Vector Autoregressive Analysis (RePEc:cup:cbooks:9781107196575)
by Kilian,Lutz & Lütkepohl,Helmut - Structural Vector Autoregressive Analysis (RePEc:cup:cbooks:9781316647332)
by Kilian,Lutz & Lütkepohl,Helmut - Testing for Causation Using Infinite Order Vector Autoregressive Processes (RePEc:cup:etheor:v:12:y:1996:i:01:p:61-87_00)
by Lütkepohl, Helmut & POSKITT, D.S. - Infinite-Order Cointegrated Vector Autoregressive Processes (RePEc:cup:etheor:v:12:y:1996:i:05:p:814-844_00)
by Saikkonen, Pentti & Lütkepohl, HELMUT - Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process (RePEc:cup:etheor:v:15:y:1999:i:01:p:50-78_15)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing For The Cointegrating Rank Of A Var Process With An Intercept (RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time (RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18)
by Saikkonen, Pentti & Lütkepohl, Helmut - A Note On Testing Restrictions For The Cointegration Parameters Of A Var With I(2) Variables (RePEc:cup:etheor:v:21:y:2005:i:03:p:653-658_05)
by Johansen, Søren & Lütkepohl, Helmut - Break Date Estimation For Var Processes With Level Shift With An Application To Cointegration Testing (RePEc:cup:etheor:v:22:y:2006:i:01:p:15-68_06)
by Saikkonen, Pentti & Lütkepohl, Helmut & Trenkler, Carsten - Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process (RePEc:cup:etheor:v:4:y:1988:i:01:p:77-85_01)
by Lütkepohl, Helmut - Estimating Orthogonal Impulse Responses via Vector Autoregressive Models (RePEc:cup:etheor:v:7:y:1991:i:04:p:487-496_00)
by Lütkepohl, Helmut & Poskitt, D.S. - Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems (RePEc:cup:macdyn:v:5:y:2001:i:01:p:81-100_01)
by Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen - Transmission Of German Monetary Policy In The Pre-Euro Period (RePEc:cup:macdyn:v:7:y:2003:i:05:p:711-733_02)
by Lütkepohl, Helmut & Wolters, Jürgen - Transmission Of German Monetary Policy In The Pre-Euro Period (RePEc:cup:macdyn:v:7:y:2003:i:5:p:711-733_6)
by Lütkepohl, Helmut & Wolters, Jürgen - Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs (RePEc:diw:diwwpp:dp1195)
by Helmut Lütkepohl & Aleksei Netsunajev - Fundamental Problems with Nonfundamental Shocks (RePEc:diw:diwwpp:dp1230)
by Helmut Lütkepohl - Reducing Confidence Bands for Simulated Impulse Responses (RePEc:diw:diwwpp:dp1235)
by Helmut Lütkepohl - Identifying Structural Vector Autoregressions via Changes in Volatility (RePEc:diw:diwwpp:dp1259)
by Helmut Lütkepohl - Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions (RePEc:diw:diwwpp:dp1292)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey (RePEc:diw:diwwpp:dp1351)
by Helmut Lütkepohl - Confidence Bands for Impulse Responses: Bonferroni versus Wald (RePEc:diw:diwwpp:dp1354)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity (RePEc:diw:diwwpp:dp1356)
by Helmut Lütkepohl & Anton Velinov - Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market (RePEc:diw:diwwpp:dp1388)
by Helmut Lütkepohl & Aleksei Netsunajev - Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates (RePEc:diw:diwwpp:dp1455)
by Helmut Lütkepohl & George Milunovich - Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models (RePEc:diw:diwwpp:dp1464)
by Helmut Lütkepohl & Aleksei Netsunajev - Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions (RePEc:diw:diwwpp:dp1564)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Inference in Partially Identified Heteroskedastic Simultaneous Equations Models (RePEc:diw:diwwpp:dp1632)
by Helmut Lütkepohl & George Milunivich & Minxian Yang - Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions (RePEc:diw:diwwpp:dp1642)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis (RePEc:diw:diwwpp:dp1672)
by Helmut Lütkepohl & Thore Schlaak - Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity (RePEc:diw:diwwpp:dp1707)
by Helmut Lütkepohl & Tomasz Woźniak - The Relation between Monetary Policy and the Stock Market in Europe (RePEc:diw:diwwpp:dp1729)
by Helmut Lütkepohl & Aleksei Netsunajev - Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH (RePEc:diw:diwwpp:dp1750)
by Helmut Lütkepohl & Thore Schlaak - Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review (RePEc:diw:diwwpp:dp1762)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models (RePEc:diw:diwwpp:dp1764)
by Helmut Lütkepohl & Mika Meitz & Aleksei NetŠunajev & Pentti Saikkonen - Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity (RePEc:diw:diwwpp:dp1871)
by Helmut Lütkepohl - Heteroskedastic Proxy Vector Autoregressions (RePEc:diw:diwwpp:dp1876)
by Helmut Lütkepohl & Thore Schlaak - A Simple Instrument for Proxy Vector Autoregressive Analysis (RePEc:diw:diwwpp:dp1905)
by Lukas Boer & Helmut Lütkepohl - An Alternative Bootstrap for Proxy Vector Autoregressions (RePEc:diw:diwwpp:dp1913)
by Martin Bruns & Helmut Lütkepohl - Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis (RePEc:diw:diwwpp:dp1940)
by Lukas Boer & Helmut Lütkepohl - Comparison of Local Projection Estimators for Proxy Vector Autoregressions (RePEc:diw:diwwpp:dp1949)
by Martin Bruns & Helmut Lütkepohl - Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies (RePEc:diw:diwwpp:dp2005)
by Martin Bruns & Helmut Lütkepohl - Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions (RePEc:diw:diwwpp:dp2036)
by Martin Bruns & Helmut Lütkepohl - Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference (RePEc:diw:diwwpp:dp2081)
by Helmut Lütkepohl & Fei Shang & Luis Uzeda & Tomasz Woźniak - Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis (RePEc:diw:diwwpp:dp2095)
by Martin Bruns & Helmut Lütkepohl & James McNeil - Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (RePEc:ecm:emetrp:v:72:y:2004:i:2:p:647-662)
by Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler - Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time (RePEc:ecm:wc2000:0342)
by Helmut Luetkepohl & Pentti Saikkonen - Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift (RePEc:ecm:wc2000:0364)
by Helmut Luetkepohl & Pentti Saikkonen & Carsten Trenkler - Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System (RePEc:ecm:wc2000:0821)
by Ralf Brueggemann & Helmut Leutkepohl - Estimating the Kronecker indices of cointegrated echelon-form VARMA models (RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c76-c99)
by Holger Bartel & Helmut Lutkepohl - Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term (RePEc:ect:emjrnl:v:12:y:2009:i:3:p:414-435)
by Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen - Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process (RePEc:ect:emjrnl:v:4:y:2001:i:2:p:8)
by Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler - Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH (RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61)
by Lütkepohl, Helmut & Schlaak, Thore - Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity (RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300324)
by Lütkepohl, Helmut & Woźniak, Tomasz - Qualitative versus quantitative external information for proxy vector autoregressive analysis (RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000531)
by Boer, Lukas & Lütkepohl, Helmut - Comparison of local projection estimators for proxy vector autoregressions (RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002128)
by Bruns, Martin & Lütkepohl, Helmut - Impulse response analysis of cointegrated systems (RePEc:eee:dyncon:v:16:y:1992:i:1:p:53-78)
by Lutkepohl, Helmut & Reimers, Hans-Eggert - Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies (RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000290)
by Bruns, Martin & Lütkepohl, Helmut - Structural vector autoregressions with Markov switching (RePEc:eee:dyncon:v:34:y:2010:i:2:p:121-131)
by Lanne, Markku & Lütkepohl, Helmut & Maciejowska, Katarzyna - Testing for identification in SVAR-GARCH models (RePEc:eee:dyncon:v:73:y:2016:i:c:p:241-258)
by Lütkepohl, Helmut & Milunovich, George - Structural vector autoregressions with smooth transition in variances (RePEc:eee:dyncon:v:84:y:2017:i:c:p:43-57)
by Lütkepohl, Helmut & Netšunajev, Aleksei - Forecasting with VARMA Models (RePEc:eee:ecofch:1-06)
by Lutkepohl, Helmut - Non-linear least squares estimation under non-linear equality constraints (RePEc:eee:ecolet:v:13:y:1983:i:2-3:p:191-196)
by Lutkepohl, Helmut - Linear aggregation of vector autoregressive moving average processes (RePEc:eee:ecolet:v:14:y:1984:i:4:p:345-350)
by Lutkepohl, Helmut - The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions (RePEc:eee:ecolet:v:17:y:1985:i:1-2:p:103-106)
by Lutkepohl, Helmut - Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity (RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302834)
by Lütkepohl, Helmut - Have the effects of shocks to oil price expectations changed? (RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004421)
by Bruns, Martin & Lütkepohl, Helmut - Granger-causality in cointegrated VAR processes The case of the term structure (RePEc:eee:ecolet:v:40:y:1992:i:3:p:263-268)
by Lutkepohl, Helmut & Reimers, Hans-Eggert - A lag augmentation test for the cointegrating rank of a VAR process (RePEc:eee:ecolet:v:63:y:1999:i:1:p:23-27)
by Lutkepohl, Helmut & Saikkonen, Pentti - On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models (RePEc:eee:ecolet:v:73:y:2001:i:2:p:155-160)
by Candelon, Bertrand & Lutkepohl, Helmut - Unit root tests for time series with level shifts: a comparison of different proposals (RePEc:eee:ecolet:v:75:y:2002:i:1:p:109-114)
by Lanne, Markku & Lutkepohl, Helmut - On unit root tests in the presence of transitional growth (RePEc:eee:ecolet:v:84:y:2004:i:3:p:323-327)
by Lucke, Bernd & Lutkepohl, Helmut - Problems related to over-identifying restrictions for structural vector error correction models (RePEc:eee:ecolet:v:99:y:2008:i:3:p:512-515)
by Lütkepohl, Helmut - Comment on essays on current state and future challenges of econometrics (RePEc:eee:econom:v:100:y:2001:i:1:p:81-82)
by Lutkepohl, Helmut - Comparison of tests for the cointegrating rank of a VAR process with a structural shift (RePEc:eee:econom:v:113:y:2003:i:2:p:201-229)
by Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten - Residual autocorrelation testing for vector error correction models (RePEc:eee:econom:v:134:y:2006:i:2:p:579-604)
by Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti - General-to-specific or specific-to-general modelling? An opinion on current econometric terminology (RePEc:eee:econom:v:136:y:2007:i:1:p:319-324)
by Lutkepohl, Helmut - A model for non-negative and non-positive distributed lag functions (RePEc:eee:econom:v:16:y:1981:i:2:p:211-219)
by Lutkepohl, Helmut - Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks (RePEc:eee:econom:v:183:y:2014:i:1:p:104-116)
by Herwartz, Helmut & Lütkepohl, Helmut - Non-causality due to omitted variables (RePEc:eee:econom:v:19:y:1982:i:2-3:p:367-378)
by Lutkepohl, Helmut - Inference in partially identified heteroskedastic simultaneous equations models (RePEc:eee:econom:v:218:y:2020:i:2:p:317-345)
by Lütkepohl, Helmut & Milunovich, George & Yang, Minxian - Linear transformations of vector ARMA processes (RePEc:eee:econom:v:26:y:1984:i:3:p:283-293)
by Lutkepohl, Helmut - Prediction tests for structural stability (RePEc:eee:econom:v:39:y:1988:i:3:p:267-296)
by Lutkepohl, Helmut - A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals (RePEc:eee:econom:v:42:y:1989:i:3:p:371-376)
by Lutkepohl, Helmut - Specification of varying coefficient time series models via generalized flexible least squares (RePEc:eee:econom:v:70:y:1996:i:1:p:261-290)
by Lutkepohl, Helmut & Herwartz, Helmut - Modified Wald tests under nonregular conditions (RePEc:eee:econom:v:78:y:1997:i:2:p:315-332)
by Lutkepohl, Helmut & Burda, Maike M. - Analysis of cointegrated VARMA processes (RePEc:eee:econom:v:80:y:1997:i:2:p:223-239)
by Lutkepohl, Helmut & Claessen, Holger - Nonparametric dynamic modelling (RePEc:eee:econom:v:81:y:1997:i:1:p:1-5)
by Lutkepohl, Helmut - Impulse response analysis in infinite order cointegrated vector autoregressive processes (RePEc:eee:econom:v:81:y:1997:i:1:p:127-157)
by Lutkepohl, Helmut & Saikkonen, Pentti - Testing for the cointegrating rank of a VAR process with a time trend (RePEc:eee:econom:v:95:y:2000:i:1:p:177-198)
by Lutkepohl, Helmut & Saikkonen, Pentti - Structural vector autoregressions with heteroskedasticity: A review of different volatility models (RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18)
by Lütkepohl, Helmut & Netšunajev, Aleksei - Constructing joint confidence bands for impulse response functions of VAR models – A review (RePEc:eee:ecosta:v:13:y:2020:i:c:p:69-83)
by Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter - Forecasting levels of log variables in vector autoregressions (RePEc:eee:intfor:v:27:y:2011:i:4:p:1108-1115)
by Bårdsen, Gunnar & Lütkepohl, Helmut - Forecasting contemporaneous aggregates with stochastic aggregation weights (RePEc:eee:intfor:v:29:y:2013:i:1:p:60-68)
by Brüggemann, Ralf & Lütkepohl, Helmut - Does the Box–Cox transformation help in forecasting macroeconomic time series? (RePEc:eee:intfor:v:29:y:2013:i:1:p:88-99)
by Proietti, Tommaso & Lütkepohl, Helmut - Comparison of methods for constructing joint confidence bands for impulse response functions (RePEc:eee:intfor:v:31:y:2015:i:3:p:782-798)
by Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter - Vector autoregressive models (RePEc:elg:eechap:14327_6)
by Helmut Lütkepohl - 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 (RePEc:eme:aecozz:s0731-9053(2013)0000031005)
by Helmut Lütkepohl - Recent Advances in Cointegration Analysis (RePEc:eme:ceazzz:s0573-8555(04)69005-5)
by Helmut Lutkepohl - Comparison of Model Reduction Methods for VAR Processes (RePEc:eui:euiwps:eco2002/19)
by Ralf BRUEGGEMANN & Hans-Martin KROLZIG & Helmut LUETKEPOHL - Residual Autocorrelation Testing for Vector Error Correction Models (RePEc:eui:euiwps:eco2004/08)
by Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN - Recent Advances in Cointegration Analysis (RePEc:eui:euiwps:eco2004/12)
by Helmut LÜTKEPOHL - Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative (RePEc:eui:euiwps:eco2004/20)
by Ralf BRUEGGEMANN & Helmut LUETKEPOHL - Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift (RePEc:eui:euiwps:eco2004/21)
by Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER - A Small Monetary System for the Euro Area Based on German Data (RePEc:eui:euiwps:eco2004/24)
by Ralf Brueggemann & Helmut Luetkepohl - Forecasting with VARMA Models (RePEc:eui:euiwps:eco2004/25)
by Helmut Luetkepohl - Structural Vector Autoregressive Analysis for Cointegrated Variables (RePEc:eui:euiwps:eco2005/02)
by Helmut Luetkepohl - Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe (RePEc:eui:euiwps:eco2005/08)
by Ralf Brueggemann & Helmut Luetkepohl - Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models (RePEc:eui:euiwps:eco2005/15)
by Helmut Luetkepohl - Structural Vector Autoregressions with Nonnormal Residuals (RePEc:eui:euiwps:eco2005/25)
by Markku Lanne & Helmut Luetkepohl - Identifying Monetary Policy Shocks via Changes in Volatility (RePEc:eui:euiwps:eco2006/23)
by Markku Lanne, Helmut Luetkepohl - Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break (RePEc:eui:euiwps:eco2006/29)
by Carsten Trenkler & Pentti Saikkonen & Helmut Luetkepohl - Forecasting Euro-Area Variables with German Pre-EMU Data (RePEc:eui:euiwps:eco2006/30)
by Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino - Acquisition of information and share prices: An empirical investigation of cognitive dissonance (RePEc:eui:euiwps:eco2006/32)
by Elena Argentese & Helmut Luetkepohl & Massimo Motta - Econometric Analysis with Vector Autoregressive Models (RePEc:eui:euiwps:eco2007/11)
by Helmut Luetkepohl - A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks (RePEc:eui:euiwps:eco2008/23)
by Markku Lanne & Helmut Luetkepohl - Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term (RePEc:eui:euiwps:eco2008/24)
by Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen - Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis (RePEc:eui:euiwps:eco2008/29)
by Markku Lanne & Helmut Luetkepohl - Structural Vector Autoregressions with Markov Switching (RePEc:eui:euiwps:eco2009/06)
by Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska - Forecasting Aggregated Time Series Variables: A Survey (RePEc:eui:euiwps:eco2009/17)
by Helmut Luetkepohl - Forecasting Levels of log Variables in Vector Autoregressions (RePEc:eui:euiwps:eco2009/24)
by Gunnar Bardsen & Helmut Luetkepohl - Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity (RePEc:eui:euiwps:eco2009/42)
by Helmut Herwartz & Helmut Luetkepohl - Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks (RePEc:eui:euiwps:eco2011/11)
by Helmut Herwartz & Helmut Luetkepohl - Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights (RePEc:eui:euiwps:eco2011/17)
by Ralf Brueggemann & Helmut Luetkepohl - Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? (RePEc:eui:euiwps:eco2011/29)
by Tommaso Proietti & Helmut Luetkepohl - Vector Autoregressive Models (RePEc:eui:euiwps:eco2011/30)
by Helmut Luetkepohl - Making Wald Tests Work for Cointegrated Var Systems (RePEc:fth:cemfdt:9424)
by Dolado, J.J. & Lutkepohl, H. - The Relation between Monetary Policy and the Stock Market in Europe (RePEc:gam:jecnmx:v:6:y:2018:i:3:p:36-:d:162048)
by Helmut Lütkepohl & Aleksei Netšunajev - Investigating Stability and Linearity of a German M1 Money Demand Function (RePEc:hhs:hastef:0064)
by Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen - Modelling the Demand for M3 in the unified Germany (RePEc:hhs:hastef:0113)
by Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut - Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe (RePEc:hum:wpaper:sfb649dp2005-035)
by Ralf Brüggemann & Helmut Lütkepohl - Forecasting Euro-Area Variables with German Pre-EMU Data (RePEc:hum:wpaper:sfb649dp2006-065)
by Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino - Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break (RePEc:hum:wpaper:sfb649dp2006-067)
by Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl - Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions (RePEc:hum:wpaper:sfb649dp2013-031)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey (RePEc:hum:wpaper:sfb649dp2014-004)
by Helmut Lütkepohl - Confidence Bands for Impulse Responses: Bonferroni versus Wald (RePEc:hum:wpaper:sfb649dp2014-007)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity (RePEc:hum:wpaper:sfb649dp2014-009)
by Helmut Lütkepohl & Anton Velinov - Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market (RePEc:hum:wpaper:sfb649dp2014-031)
by Helmut Lütkepohl & Aleksei Netsunajev - Structural Vector Autoregressions with Heteroskedasticy (RePEc:hum:wpaper:sfb649dp2015-015)
by Helmut Lütkepohl & Aleksei Netšunajev - Testing for Identification in SVAR-GARCH Models (RePEc:hum:wpaper:sfb649dp2015-030)
by Helmut Luetkepohl & George Milunovich - Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions (RePEc:hum:wpaper:sfb649dp2016-017)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - The Optimality of Rational Distributed Lags: A Comment (RePEc:ier:iecrev:v:25:y:1984:i:2:p:503-06)
by Lutkepohl, Helmut - Investigating Stability and Linearity of a German M1 Money Demand Function (RePEc:jae:japmet:v:14:y:1999:i:5:p:511-25)
by Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen - A small monetary system for the euro area based on German data (RePEc:jae:japmet:v:21:y:2006:i:6:p:683-702)
by Helmut Lütkepohl & Ralf Brüggemann - Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights (RePEc:jns:jbstat:v:231:y:2011:i:1:p:107-133)
by Lütkepohl Helmut - Forecasting euro area variables with German pre-EMU data (RePEc:jof:jforec:v:27:y:2008:i:6:p:465-481)
by Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino - An Alternative Bootstrap for Proxy Vector Autoregressions (RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10323-w)
by Martin Bruns & Helmut Lütkepohl - Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights (RePEc:knz:dpteco:1123)
by Ralf Brüggemann & Helmut Lütkepohl - Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions (RePEc:mar:magkse:201325)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions (RePEc:mar:magkse:201616)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Identifying Monetary Policy Shocks via Changes in Volatility (RePEc:mcb:jmoncb:v:40:y:2008:i:6:p:1131-1149)
by Markku Lanne & Helmut L‹Tkepohl - Forecasting Levels of log Variables in Vector Autoregressions (RePEc:nst:samfok:10409)
by Gunnar Bårdsen & Helmut Lütkepohl - Comparison of Model Reduction Methods for VAR Processes (RePEc:nuf:econwp:0313)
by Ralf Brüggemann & Hans-Martin Krolzig & Helmut Lütkepohl - Forecasting Aggregated Time Series Variables: A Survey (RePEc:oec:stdkab:5km399r2jz9n)
by Helmut Lütkepohl - Testing identification via heteroskedasticity in structural vector autoregressive models (RePEc:oup:emjrnl:v:24:y:2021:i:1:p:1-22.)
by Helmut Lütkepohl & Mika Meitz & Aleksei Netšunajev & Pentti Saikkonen - Does the Box-Cox transformation help in forecasting macroeconomic time series? (RePEc:pra:mprapa:32294)
by Tommaso, Proietti & Helmut, Luetkepohl - Comparison of Unit Root Tests for Time Series with Level Shifts (RePEc:pra:mprapa:76035)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Estimation of structural impulse responses: short-run versus long-run identifying restrictions (RePEc:spr:alstar:v:102:y:2018:i:2:d:10.1007_s10182-017-0300-9)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Structural vector autoregressive analysis for cointegrated variables (RePEc:spr:alstar:v:90:y:2006:i:1:p:75-88)
by Helmut Lütkepohl - The Stability Assumption in Tests of Causality between Money and Income (RePEc:spr:empeco:v:14:y:1989:i:2:p:139-50)
by Lutkepohl, H - The (RePEc:spr:empeco:v:18:y:1993:i:4:p:729-43)
by Lutkepohl, Helmut - Money demand in Europe: Editors' preface (RePEc:spr:empeco:v:23:y:1998:i:3:p:263-266)
by JØrgen Wolters & Helmut LØtkepohl - A money demand system for German M3 (RePEc:spr:empeco:v:23:y:1998:i:3:p:371-386)
by JØrgen Wolters & Helmut LØtkepohl - The role of the log transformation in forecasting economic variables (RePEc:spr:empeco:v:42:y:2012:i:3:p:619-638)
by Helmut Lütkepohl & Fang Xu - Calculating joint confidence bands for impulse response functions using highest density regions (RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1325-3)
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker - Book reviews (RePEc:spr:metrik:v:42:y:1995:i:1:p:139-148)
by H. Heyer & K. Elworthy & N. Cressie & R. Williams & H. Büning & R. Schassberger & H. Lütkepohl - New Introduction to Multiple Time Series Analysis (RePEc:spr:sprbok:978-3-540-27752-1)
by Helmut Lütkepohl - Introduction (RePEc:spr:sprchp:978-3-540-27752-1_1)
by Helmut Lütkepohl - Systems of Dynamic Simultaneous Equations (RePEc:spr:sprchp:978-3-540-27752-1_10)
by Helmut Lütkepohl - Vector Autoregressive Moving Average Processes (RePEc:spr:sprchp:978-3-540-27752-1_11)
by Helmut Lütkepohl - Estimation of VARMA Models (RePEc:spr:sprchp:978-3-540-27752-1_12)
by Helmut Lütkepohl - Specification and Checking the Adequacy of VARMA Models (RePEc:spr:sprchp:978-3-540-27752-1_13)
by Helmut Lütkepohl - Cointegrated VARMA Processes (RePEc:spr:sprchp:978-3-540-27752-1_14)
by Helmut Lütkepohl - Fitting Finite Order VAR Models to Infinite Order Processes (RePEc:spr:sprchp:978-3-540-27752-1_15)
by Helmut Lütkepohl - Multivariate ARCH and GARCH Models (RePEc:spr:sprchp:978-3-540-27752-1_16)
by Helmut Lütkepohl - Periodic VAR Processes and Intervention Models (RePEc:spr:sprchp:978-3-540-27752-1_17)
by Helmut Lütkepohl - State Space Models (RePEc:spr:sprchp:978-3-540-27752-1_18)
by Helmut Lütkepohl - Stable Vector Autoregressive Processes (RePEc:spr:sprchp:978-3-540-27752-1_2)
by Helmut Lütkepohl - Estimation of Vector Autoregressive Processes (RePEc:spr:sprchp:978-3-540-27752-1_3)
by Helmut Lütkepohl - VAR Order Selection and Checking the Model Adequacy (RePEc:spr:sprchp:978-3-540-27752-1_4)
by Helmut Lütkepohl - VAR Processes with Parameter Constraints (RePEc:spr:sprchp:978-3-540-27752-1_5)
by Helmut Lütkepohl - Vector Error Correction Models (RePEc:spr:sprchp:978-3-540-27752-1_6)
by Helmut Lütkepohl - Estimation of Vector Error Correction Models (RePEc:spr:sprchp:978-3-540-27752-1_7)
by Helmut Lütkepohl - Specification of VECMs (RePEc:spr:sprchp:978-3-540-27752-1_8)
by Helmut Lütkepohl - Structural VARs and VECMs (RePEc:spr:sprchp:978-3-540-27752-1_9)
by Helmut Lütkepohl - Structural Vector Autoregressive Analysis for Cointegrated Variables (RePEc:spr:sprchp:978-3-540-32693-9_6)
by Helmut Lütkepohl - Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R (RePEc:spr:stpapr:v:52:y:2011:i:2:p:495-496)
by Helmut Lütkepohl - I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews (RePEc:spr:stpapr:v:52:y:2011:i:2:p:497-499)
by Helmut Lütkepohl - Reducing confidence bands for simulated impulse responses (RePEc:spr:stpapr:v:54:y:2013:i:4:p:1131-1145)
by Helmut Lütkepohl - Mulaik, S. A.: Foundations of factor analysis (RePEc:spr:stpapr:v:55:y:2014:i:4:p:1229-1230)
by Helmut Lütkepohl - Inference in Partially Identified Heteroskedastic Simultaneous Equations Models (RePEc:swe:wpaper:2016-19)
by Helmut Lutkepohl & George Milunovich & Minxian Yang - Does the Box-Cox transformation help in forecasting macroeconomic time series? (RePEc:syb:wpbsba:2123/8167)
by Lütkepohl, Helmut & Proietti, Tommaso - A Review Of Systems Cointegration Tests (RePEc:taf:emetrv:v:20:y:2001:i:3:p:247-318)
by Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen - Heteroscedastic Proxy Vector Autoregressions (RePEc:taf:jnlbes:v:40:y:2022:i:3:p:1268-1281)
by Helmut Lütkepohl & Thore Schlaak - Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models (RePEc:tpr:restat:v:72:y:1990:i:1:p:116-25)
by Lutkepohl, Helmut - Modeling The Demand For M3 In The Unified Germany (RePEc:tpr:restat:v:80:y:1998:i:3:p:399-409)
by Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl - An Alternative Bootstrap for Proxy Vector Autoregressions (RePEc:uea:ueaeco:2020-06)
by Martin Bruns & Helmut Luetkepohl - Comparison of Local Projection Estimators for Proxy Vector Autoregressions (RePEc:uea:ueaeco:2021-04)
by Martin Bruns & Helmut Luetkepohl - Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies (RePEc:uea:ueaeco:2022-02)
by Martin Bruns & Helmut Luetkepohl - Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions (RePEc:uea:ueaeco:2023-03)
by Martin Bruns & Helmut Luetkepohl - Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis (RePEc:uea:ueaeco:2024-05)
by Martin Bruns & Helmut Lutkepohl & James McNeil - Multivariate volatility analysis of VW stock prices (RePEc:wly:isacfm:v:9:y:2000:i:1:p:35-54)
by Helmut Herwartz & Helmut Lütkepohl - A small monetary system for the euro area based on German data (RePEc:wly:japmet:v:21:y:2006:i:6:p:683-702)
by Ralf Brüggemann & Helmut Lütkepohl - Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars (RePEc:wly:japmet:v:29:y:2014:i:3:p:479-496)
by Helmut Lütkepohl & Aleksei NetŠunajev - Identifying Monetary Policy Shocks via Changes in Volatility (RePEc:wly:jmoncb:v:40:y:2008:i:6:p:1131-1149)
by Markku Lanne & Helmut Lütkepohl - Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity (RePEc:zbw:espost:180833)
by Lütkepohl, Helmut & Velinov, Anton - Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis (RePEc:zbw:espost:222929)
by Lütkepohl, Helmut & Schlaak, Thore - Testing identification via heteroskedasticity in structural vector autoregressive models (RePEc:zbw:espost:233855)
by Lütkepohl, Helmut & Meitz, Mika & Netšunajev, Aleksei & Saikkonen, Pentti - Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten (RePEc:zbw:sfb373:19941)
by Lütkepohl, Helmut & Moryson, Martin & Wolters, Jürgen - Kointegration und gemeinsame Trends (RePEc:zbw:sfb373:199428)
by Lütkepohl, Helmut - Testing for Multi-Step Causality in Time Series (RePEc:zbw:sfb373:19943)
by Lütkepohl, Helmut & Müller, Maike - Making Wald Tests Work for Cointegrated Var Systems (RePEc:zbw:sfb373:199444)
by Dolado, Juan J. & Lütkepohl, Helmut - Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference (RePEc:zbw:sfb373:19945)
by Lütkepohl, Helmut & Saikkonon, Petti - Problems Related to Testing for Granger-Causality in VARMA Processes (RePEc:zbw:sfb373:19949)
by Luetkepohl, Helmut - Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes (RePEc:zbw:sfb373:199511)
by Lütkepohl, H. & Saikkonen, P. - Konjunkturanalyse mit Markov-Regimewechselmodellen (RePEc:zbw:sfb373:199519)
by Krolzig, H.-M. & Lütkepohl, H. - Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate (RePEc:zbw:sfb373:199551)
by Lütkepohl, H. & Tschernig, R. - Consistent Specification of Cointegrated Autoregressive Moving-Average Systems (RePEc:zbw:sfb373:199554)
by Poskitt, D. & Lütkepohl, H. - Investigating Stability and Linearity of a German M1 Money Demand Function (RePEc:zbw:sfb373:199557)
by Lütkepohl, H. & Teräsvirta, T. & Wolters, J. - Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes (RePEc:zbw:sfb373:199566)
by Saikkonen, P. & Lütkepohl, H. - Modelling the Demand for M3 in the Unified Germany (RePEc:zbw:sfb373:199624)
by Wolters, J. & Teräsvirta, T. & Lütkepohl, H. - A Review of Nonparametric Time Series Analysis (RePEc:zbw:sfb373:199648)
by Härdle, Wolfgang & Lütkepohl, H. & Chen, R. - Statistische Modellierung von Volatilitäten (RePEc:zbw:sfb373:199670)
by Lütkepohl, H. - Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model (RePEc:zbw:sfb373:199674)
by Lütkepohl, H. & Poskitt, D. S. - Impulse Response Analysis of Vector Autoregressive Processes (RePEc:zbw:sfb373:199686)
by Lütkepohl, H. & Breitung, J. - Estimating the Kronecker indices of cointegrated echelon form VARMA models (RePEc:zbw:sfb373:19972)
by Bartel, Holger & Lütkepohl, Helmut - Local power of likelihood ratio tests for the cointegrating rank of a VAR process (RePEc:zbw:sfb373:199758)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing for the Cointegrating Rank of a VAR Process with a Time Trend (RePEc:zbw:sfb373:199779)
by Lütkepohl, H. & Saikkonen, P. - Trend adjustment prior to testing for the cointegrating rank of a VAR process (RePEc:zbw:sfb373:199784)
by Saikkonen, Pentti & Lütkepohl, Helmut - Problems related to bootstrapping impulse responses of autoregressive processes (RePEc:zbw:sfb373:199785)
by Benkwitz, Alexander & Lütkepohl, Helmut & Neumann, Michael H. - A money demand system for M3 in the unified Germany (RePEc:zbw:sfb373:199792)
by Lütkepohl, Helmut & Wolters, Jürgen - Order selection in testing for the cointegrating rank of a VAR process (RePEc:zbw:sfb373:199793)
by Lütkepohl, Helmut & Saikkonen, Pentti - A review of systemscointegration tests (RePEc:zbw:sfb373:1998101)
by Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti - Multivariate Volatility Analysis of VW Stock Prices (RePEc:zbw:sfb373:199832)
by Herwartz, H. & Lütkepohl, H. - Testing for the cointegrating rank of a VAR process with an intercept (RePEc:zbw:sfb373:199851)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing for the cointegrating rank of a VAR process with structural shifts (RePEc:zbw:sfb373:199882)
by Saikkonen, Pentti & Lütkepohl, Helmut - Testing for unit roots in time series with level shifts (RePEc:zbw:sfb373:199927)
by Saikkonen, Pentti & Lütkepohl, Helmut - Comparison of bootstrap confidence intervals for impulse responses of German monetary systems (RePEc:zbw:sfb373:199929)
by Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen - Vector autoregressive analysis (RePEc:zbw:sfb373:199931)
by Lütkepohl, Helmut - Unit root tests for time series with a structural break: When the break point is known (RePEc:zbw:sfb373:199933)
by Lütkepohl, Helmut & Müller, Christian & Saikkonen, Pentti - Vector autoregressions (RePEc:zbw:sfb373:19994)
by Lütkepohl, Helmut - Forecasting cointegrated VARMA processes (RePEc:zbw:sfb373:199968)
by Lütkepohl, Helmut - Testing for a unit root in a time series with a level shift at unknown time (RePEc:zbw:sfb373:199972)
by Saikkonen, Pentti & Lütkepohl, Helmut - Comparison of unit root tests for time series with level shifts (RePEc:zbw:sfb373:199988)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Comparison of tests for the cointegrating rank of a VAR process with a structural shift (RePEc:zbw:sfb373:200010)
by Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten - Was there a regime change in the German monetary transmission mechanism in 1983? (RePEc:zbw:sfb373:200017)
by Candelon, Bertrand & Lütkepohl, Helmut - Bootstrapping impulse responses in VAR analyses (RePEc:zbw:sfb373:200022)
by Lütkepohl, Helmut - Lag selection in subset VAR models with an application to a US monetary system (RePEc:zbw:sfb373:200037)
by Brüggemann, Ralf & Lütkepohl, Helmut - Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process (RePEc:zbw:sfb373:200083)
by Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten - On the reliability of chow type test for parameter constancy in multivariate dynamic models (RePEc:zbw:sfb373:200095)
by Candelon, Bertrand & Lütkepohl, Helmut - Test procedures for unit roots in time series with level shifts at unknown time (RePEc:zbw:sfb373:200139)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Unit root tests for time series with level shifts: A comparison of different proposals (RePEc:zbw:sfb373:20015)
by Lanne, Markku & Lütkepohl, Helmut - Testing for the cointegrating rank of a VAR process with level shift at unknown time (RePEc:zbw:sfb373:200163)
by Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten - Unit root tests in the presence of innovational outliers (RePEc:zbw:sfb373:200182)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - The transmission of German monetary policy in the pre-Euro period (RePEc:zbw:sfb373:200187)
by Lütkepohl, Helmut & Wolters, Jürgen - Comparison of model reduction methods for VAR processes (RePEc:zbw:sfb373:200280)
by Brüggemann, Ralf & Krolzig, Hans-Martin & Lütkepohl, Helmut - Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe (RePEc:zbw:sfb649:sfb649dp2005-035)
by Brüggemann, Ralf & Lütkepohl, Helmut - Forecasting euro-area variables with German pre-EMU data (RePEc:zbw:sfb649:sfb649dp2006-065)
by Brüggemann, Ralf & Lütkepohl, Helmut & Marcellino, Massimiliano - Testing for the cointegrating rank of a VAR process with level shift and trend break (RePEc:zbw:sfb649:sfb649dp2006-067)
by Trenkler, Carsten & Saikkonen, Pentti & Lütkepohl, Helmut - Comparison of methods for constructing joint confidence bands for impulse response functions (RePEc:zbw:sfb649:sfb649dp2013-031)
by Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter - Structural vector autoregressive analysis in a data rich environment: A survey (RePEc:zbw:sfb649:sfb649dp2014-004)
by Lütkepohl, Helmut - Confidence bands for impulse responses: Bonferroni versus Wald (RePEc:zbw:sfb649:sfb649dp2014-007)
by Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter - Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity (RePEc:zbw:sfb649:sfb649dp2014-009)
by Lütkepohl, Helmut & Velinov, Anton - Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market (RePEc:zbw:sfb649:sfb649dp2014-031)
by Lütkepohl, Helmut & Netésunajev, Aleksei - Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models (RePEc:zbw:sfb649:sfb649dp2015-015)
by Lütkepohl, Helmut & Netšunajev, Aleksei - Testing for identification in SVAR-GARCH models (RePEc:zbw:sfb649:sfb649dp2015-030)
by Luetkepohl, Helmut & Milunovich, George - Calculating joint confidence bands for impulse response functions using highest density regions (RePEc:zbw:sfb649:sfb649dp2016-017)
by Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter - Confidence Bands for Impulse Responses: Bonferroni versus Wald (RePEc:zbw:vfsc14:100597)
by Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna - Calculating Joint Bands for Impulse Response Functions using Highest Density Regions (RePEc:zbw:vfsc16:145537)
by Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna - Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions (RePEc:zbw:vfsc17:168061)
by Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter - Heteroskedastic Proxy Vector Autoregressions (RePEc:zbw:vfsc21:242399)
by Lütkepohl, Helmut & Schlaak, Thore