34
H index
69
i10 index
5284
Citations
Helmut Lütkepohl : Citation Profile
DIW Berlin (Deutsches Institut für Wirtschaftsforschung) (50% share) | RESEARCH PRODUCTION: 112 Articles 149 Papers 1 Books 23 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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41 years (1981 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Helmut Lütkepohl. | Is cited by:
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Main data
Where Helmut Lütkepohl has published?
Recent works citing Helmut Lütkepohl (2022 and 2021)
| Year | Title of citing document | |
|---|---|---|
| 2021 | Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07. Full description at Econpapers || Download paper | |
| 2021 | Fiscal policy and growth-inequality tradeoffs: Bayesian evidence from Cote d’Ivoire. (2021). Yeboua, Kouassi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:297-310. Full description at Econpapers || Download paper | |
| 2022 | American bilateral trade with emerging economies and its influence on world economic recovery post Covid-19: Analysis through VECM. (2022). , Suchitra ; Rangappa, K B ; Chetan, G K. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(633):y:2022:i:4(633):p:41-56. Full description at Econpapers || Download paper | |
| 2021 | . Full description at Econpapers || Download paper | |
| 2021 | . Full description at Econpapers || Download paper | |
| 2021 | Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089. Full description at Econpapers || Download paper | |
| 2022 | Econometric Analysis of Agricultural Raw Material Exports, Exchange Rate and External Reserves in Nigeria. (2022). Asogwa, Benjamin Chijioke ; Abu, Orefi ; Awoderu, Babalola Kayode. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:319344. Full description at Econpapers || Download paper | |
| 2022 | Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004. Full description at Econpapers || Download paper | |
| 2021 | Economic and Monetary Integration in ECOWAS Countries: A Panel VAR Approach to Identify Macroeconomic Shocks. (2021). Diop, Ibrahima Thione ; Ndongo, Asta. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:61-87. Full description at Econpapers || Download paper | |
| 2022 | Structural Gaussian mixture vector autoregressive model. (2020). Virolainen, Savi. In: Papers. RePEc:arx:papers:2007.04713. Full description at Econpapers || Download paper | |
| 2021 | Dynamic Asymmetric Causality Tests with an Application. (2021). Hatemi-J, Abdulnasser. In: Papers. RePEc:arx:papers:2106.07612. Full description at Econpapers || Download paper | |
| 2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper | |
| 2022 | Gaussian and Students $t$ mixture vector autoregressive model. (2021). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648. Full description at Econpapers || Download paper | |
| 2021 | On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis. (2021). Peng, Bin ; Gao, Jiti ; Yan, Yayi. In: Papers. RePEc:arx:papers:2111.00450. Full description at Econpapers || Download paper | |
| 2022 | A portfolio management of a small RES utility with a Structural Vector Autoregressive model of German electricity markets. (2022). Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2205.00975. Full description at Econpapers || Download paper | |
| 2022 | Interpreting and predicting the economy flows: A time-varying parameter global vector autoregressive integrated the machine learning model. (2022). Tian, Ting ; Yang, Haisheng ; Xiong, Zhixi ; Wang, Xueqin ; Jiang, Yukang. In: Papers. RePEc:arx:papers:2209.05998. Full description at Econpapers || Download paper | |
| 2022 | Mechanism of information transmission from a spot rate market to crypto-asset markets. (2022). Kaizoji, Taisei ; Yoshihara, Takeshi. In: Papers. RePEc:arx:papers:2211.16176. Full description at Econpapers || Download paper | |
| 2022 | Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263. Full description at Econpapers || Download paper | |
| 2021 | NEW COMPANIES’ FORMATION IN ROMANIA. A PVAR MODEL APPROACH. (2021). Andrei, Dalina-Maria. In: Internal Auditing and Risk Management. RePEc:ath:journl:v:62:y:2021:i:2:p:30-45. Full description at Econpapers || Download paper | |
| 2021 | Dynamics of Energy Consumption and Economic Growth: A Panel Estimation of Net Oil Importing Countries. (2021). Venkatraja, B. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:6:p:63-89. Full description at Econpapers || Download paper | |
| 2022 | Does Foreign Direct Investment Reduce Carbon Emission? Evidence from the Panel of BRICS Countries. (2022). Venkatraja, B. In: Economic Thought journal. RePEc:bas:econth:y:2022:i:4:p:429-451. Full description at Econpapers || Download paper | |
| 2021 | Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798. Full description at Econpapers || Download paper | |
| 2022 | Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367. Full description at Econpapers || Download paper | |
| 2021 | Information linkages among National, NSW, VIC, and QLD real estate markets in Australia. (2021). Croucher, John S ; Wang, Jingjing. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3207-3234. Full description at Econpapers || Download paper | |
| 2021 | Price formation within Egypts wheat tender market: Implications for Black Sea exporters. (2021). Svanidze, Miranda ; Gotz, Linde ; Heigermoser, Maximilian. In: Agricultural Economics. RePEc:bla:agecon:v:52:y:2021:i:5:p:819-831. Full description at Econpapers || Download paper | |
| 2022 | Market integration of domestic and imported seafood: Insights from the Sydney Fish Market. (2022). Pascoe, Sean ; Hoshino, Eriko ; Schrobback, Peggy ; Curtotti, Robert . In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:1:p:216-236. Full description at Econpapers || Download paper | |
| 2022 | Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693. Full description at Econpapers || Download paper | |
| 2022 | Nonlinear modal regression for dependent data with application for predicting COVID?19. (2022). Ullah, Aman ; Amanullah, ; Yao, Weixin ; Wang, Tao. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:3:p:1424-1453. Full description at Econpapers || Download paper | |
| 2022 | A dynamic structural equation approach to estimate the short?term effects of air pollution on human health. (2022). Valentini, Pasquale ; Ippoliti, Luigi ; Gamerman, Dani. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:739-769. Full description at Econpapers || Download paper | |
| 2022 | Estimation and inference in adaptive learning models with slowly decreasing gains. (2022). Mayer, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:720-749. Full description at Econpapers || Download paper | |
| 2022 | Johansen?type cointegration tests with a Fourier function. (2022). Lee, Junsoo ; Pascalau, Razvan ; Lu, Yan ; Nazlioglu, Saban. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:828-852. Full description at Econpapers || Download paper | |
| 2021 | Cryptocurrency shocks. (2021). Serletis, Apostolos ; Rahman, Sajjadur ; Liu, Jinan. In: Manchester School. RePEc:bla:manchs:v:89:y:2021:i:2:p:190-202. Full description at Econpapers || Download paper | |
| 2021 | Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application. (2021). Carlomagno, Guillermo ; Espasa, Antoni. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:641-662. Full description at Econpapers || Download paper | |
| 2022 | Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets. (2022). Tsang, Andrew ; Funke, Michael ; Loermann, Julius. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:606-628. Full description at Econpapers || Download paper | |
| 2021 | The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957. Full description at Econpapers || Download paper | |
| 2022 | Identification of SVAR models by combining sign restrictions with external instruments. (2022). Braun, Robin ; Bruggemann, Ralf. In: Bank of England working papers. RePEc:boe:boeewp:0961. Full description at Econpapers || Download paper | |
| 2022 | The credit channel of monetary transmission in the US: Is it a bank lending channel, a balance sheet channel, or both, or neither?. (2022). Papafilis, Michalis-Panayiotis ; Brissimis, Sophocles N. In: Working Papers. RePEc:bog:wpaper:300. Full description at Econpapers || Download paper | |
| 2022 | Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171. Full description at Econpapers || Download paper | |
| 2021 | Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models. (2021). Blazsek, Szabolcs ; Alvaro, Escribano ; Adrian, Licht ; Szabolcs, Blazsek. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:53-66:n:3. Full description at Econpapers || Download paper | |
| 2021 | Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. (2021). Linton, O ; Chen, J ; Li, Y-N., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2150. Full description at Econpapers || Download paper | |
| 2022 | Populists and Fiscal Policy: The Case of Poland. (2022). Wysocki, Maciej ; Freytag, Andreas ; Wojcik, Cezary. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10146. Full description at Econpapers || Download paper | |
| 2022 | How Money Relates to Value? An Empirical Examination on Gold, Silver and Bitcoin. (2022). Gonalves, Joo Quental. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9662. Full description at Econpapers || Download paper | |
| 2022 | Explaining the Decline in the US Labor Share: Taxation and Automation. (2022). Sussmuth, Bernd ; Irmen, Andreas ; Heer, Burkhard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9775. Full description at Econpapers || Download paper | |
| 2021 | Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102. Full description at Econpapers || Download paper | |
| 2021 | Aplicación del modelo de ajuste parcial nerloviano para estimar la elasticidad de la oferta de plátano en Colombia. (2021). Cancino, Giovanni Orlando. In: REVISTA TENDENCIAS. RePEc:col:000520:019389. Full description at Econpapers || Download paper | |
| 2021 | Monetary autonomy of CESEE countries and nominal convergence in EMU: a cointegration analysis with structural breaks. (2021). Raguideau, Léonore ; Raguideau-Hannotin, Leonore. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-20. Full description at Econpapers || Download paper | |
| 2021 | Long-run economic determinants of asylum applications. (2021). Karaman Ãrsal, Deniz ; Deniz Dilan Karaman , . In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00087. Full description at Econpapers || Download paper | |
| 2022 | Effectiveness of the Asset Price Channel as a Monetary Policy Transmission Mechanism in Malawi: Evidence from Time Series Data. (2022). Banda, Fredrick ; Makawa, Ahmad. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-05-18. Full description at Econpapers || Download paper | |
| 2022 | Does Foreign Aid Have an Expected Role in the Economic Growth of Bangladesh? An Analysis in ARDL Approach. (2022). Sultanuzzaman, Md Reza ; Islam, Mollah Aminul ; Hossain, Md Istiak. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-06-13. Full description at Econpapers || Download paper | |
| 2022 | Analysis of Some Energy and Economics Variables by Using VECMX Model in Indonesia. (2022). Wamiliana, Wamiliana ; Widiarti, Widiarti ; Warsono, Warsono ; Ansori, Muslim ; Russel, Edwin ; Loves, Luvita ; Usman, Mustofa. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-9. Full description at Econpapers || Download paper | |
| 2022 | The Effects of the Oil Price Shock on Inflation: The Case of Kazakhstan. (2022). Baimaganbetov, Sabit ; Bolganbayev, Artur ; Myrzabekkyzy, Kundyz ; Kelesbayev, Dinmukhamed. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-52. Full description at Econpapers || Download paper | |
| 2022 | The Impact of Financial, Economic and Environmental Factors on Energy Efficiency, Intensity, and Dependence: The Moderating Role of Governance and Institutional Quality. (2022). Chughtai, Sumayya ; Ijaz, Syeda Tayyaba. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-04-3. Full description at Econpapers || Download paper | |
| 2021 | Fiscal and monetary policy rules in Brazil: empirical evidence of monetary and fiscal dominance. (2021). Sachsida, Adolfo ; Mendona, Mario Jorge ; Belchior, Tito. In: Revista CEPAL. RePEc:ecr:col070:47818. Full description at Econpapers || Download paper | |
| 2021 | Long-term profitability of crop-livestock systems, with and without trees. (2021). Telles, Tiago Santos ; Moletta, Jose Luiz ; Porfirio-Da, Vanderley ; da Silveira, Laise. In: Agricultural Systems. RePEc:eee:agisys:v:192:y:2021:i:c:s0308521x21001578. Full description at Econpapers || Download paper | |
| 2021 | Does industrial agglomeration improve effective energy service: An empirical study of China’s iron and steel industry. (2021). Lin, Boqiang ; Wu, Rongxin. In: Applied Energy. RePEc:eee:appene:v:295:y:2021:i:c:s0306261921005213. Full description at Econpapers || Download paper | |
| 2022 | A hybrid model for multi-step coal price forecasting using decomposition technique and deep learning algorithms. (2022). Yu, Hesheng ; The, Jesse ; Cao, Hua ; Zhang, Kefei. In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s030626192101312x. Full description at Econpapers || Download paper | |
| 2021 | Modelling and forecasting of growth rate of new COVID-19 cases in top nine affected countries: Considering conditional variance and asymmetric effect. (2021). Ekinci, Aykut. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921005816. Full description at Econpapers || Download paper | |
| 2021 | Principal component analysis using frequency components of multivariate time series. (2021). Sundararajan, Raanju R. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302553. Full description at Econpapers || Download paper | |
| 2022 | Variational Bayesian inference for network autoregression models. (2022). Koch, Thorsten ; Chen, Ying ; Lai, Wei-Ting. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002401. Full description at Econpapers || Download paper | |
| 2022 | Markov-switching state-space models with applications to neuroimaging. (2022). Ombao, Hernando ; Ting, Chee-Ming ; Degras, David. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322001050. Full description at Econpapers || Download paper | |
| 2022 | Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations. (2022). Skrobotov, Anton ; Karamysheva, Madina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200063x. Full description at Econpapers || Download paper | |
| 2022 | Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397. Full description at Econpapers || Download paper | |
| 2022 | Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US. (2022). Rohloff, Hannes ; Herwartz, Helmut ; Wang, Shu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001622. Full description at Econpapers || Download paper | |
| 2022 | Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study. (2022). Pallante, Gianluca ; Moneta, Alessio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002342. Full description at Econpapers || Download paper | |
| 2021 | COVID-19 pandemic effect on trading and returns: Evidence from the Chinese stock market. (2021). Ma, Hongkun ; Bing, Tao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:384-396. Full description at Econpapers || Download paper | |
| 2021 | Fiscal stance and the sovereign risk pass-through. (2021). Tancioni, Massimiliano ; Patella, Valeria ; Beqiraj, Elton. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001620. Full description at Econpapers || Download paper | |
| 2021 | Price convergence: Representation and testing. (2021). Garcia-Hiernaux, Alfredo ; Guerrero, David E. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002303. Full description at Econpapers || Download paper | |
| 2022 | Output determination and autonomous demand multipliers: An empirical investigation for the US economy. (2022). Deleidi, Matteo ; Barbieri, Maria Cristina. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002449. Full description at Econpapers || Download paper | |
| 2021 | Sharing is caring: Spillovers and synchronization of business cycles in the European Union. (2021). Škrinjarić, Tihana ; Arčabić, Vladimir ; Arabi, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:25-39. Full description at Econpapers || Download paper | |
| 2021 | Nonlinearity matters: The stock price – trading volume relation revisited. (2021). Schmidt, Alexander ; Behrendt, Simon. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:371-385. Full description at Econpapers || Download paper | |
| 2021 | The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB. (2021). Xu, Xiangyun ; Ren, Junfan ; Shen, Yao ; Jia, Fei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302321. Full description at Econpapers || Download paper | |
| 2022 | Rigid payment breaking, default spread and yields of Chinese treasury bonds. (2022). Xu, Xiangyun ; Jia, Fei ; Chen, Yunping ; Yu, Cong ; Huang, Xiaoyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001777. Full description at Econpapers || Download paper | |
| 2022 | Demand elasticities of Bitcoin and Ethereum. (2022). Urquhart, Andrew ; Matkovskyy, Roman ; Jalan, Akanksha. In: Economics Letters. RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003512. Full description at Econpapers || Download paper | |
| 2021 | (Machine) learning parameter regions. (2021). Nesbit, James ; Montiel, Jose Luis. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:716-744. Full description at Econpapers || Download paper | |
| 2021 | Identification of structural vector autoregressions through higher unconditional moments. (2021). Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:27-46. Full description at Econpapers || Download paper | |
| 2021 | Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:47-73. Full description at Econpapers || Download paper | |
| 2021 | Inference in Structural Vector Autoregressions identified with an external instrument. (2021). Watson, Mark W ; Stock, James H ; Montiel, Jose L. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:74-87. Full description at Econpapers || Download paper | |
| 2022 | Joint Bayesian inference about impulse responses in VAR models. (2022). Kilian, Lutz ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:457-476. Full description at Econpapers || Download paper | |
| 2021 | A panel cointegrating rank test with structural breaks and cross-sectional dependence. (2021). Karaman Ãrsal, Deniz ; Deniz Dilan Karaman , ; Arsova, Antonia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:107-129. Full description at Econpapers || Download paper | |
| 2022 | Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439. Full description at Econpapers || Download paper | |
| 2021 | Eatery, energy, environment and economic system, 1970–2017: Understanding volatility spillover patterns in a global sample. (2021). LE, Thai-Ha ; Vo, Long Hai. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002905. Full description at Econpapers || Download paper | |
| 2021 | Does ICT change the relationship between total factor productivity and CO2 emissions? Evidence based on a nonlinear model. (2021). Managi, Shunsuke ; BEN LAHOUEL, Béchir ; ben Zaied, Younes ; Taleb, Lotfi. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003030. Full description at Econpapers || Download paper | |
| 2021 | Oil and the U.S. stock market: Implications for low carbon policies. (2021). Panagiotidis, Theodore ; Dergiades, Theologos ; Arampatzidis, Ioannis ; Kaufmann, Robert K. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004564. Full description at Econpapers || Download paper | |
| 2022 | Facts and fiction in oil market modeling. (2022). Kilian, Lutz. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001499. Full description at Econpapers || Download paper | |
| 2022 | Innovation, the knowledge economy, and green growth: Is knowledge-intensive growth really environmentally friendly?. (2022). Skare, Marinko ; Qin, Yong ; Xu, Zeshui ; Wang, Xinxin. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004601. Full description at Econpapers || Download paper | |
| 2021 | The relation between petroleum product prices and crude oil prices. (2021). Linn, Scott ; Zhang, Huiming ; Lee, Thomas K ; Fernando, Chitru S ; Ederington, Louis H. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304199. Full description at Econpapers || Download paper | |
| 2022 | Consumers’ attitudes and their effects on electric vehicle sales and charging infrastructure construction: An empirical study in China. (2022). Yuan, Yongke ; Xu, Jin-Hua ; Chi, Yuanying ; Wang, Yuanyuan. In: Energy Policy. RePEc:eee:enepol:v:165:y:2022:i:c:s0301421522002087. Full description at Econpapers || Download paper | |
| 2022 | An enhanced multivariable dynamic time-delay discrete grey forecasting model for predicting Chinas carbon emissions. (2022). Wang, Junjie ; Dang, Yaoguo ; Yang, Deling ; Ye, LI. In: Energy. RePEc:eee:energy:v:249:y:2022:i:c:s0360544222005849. Full description at Econpapers || Download paper | |
| 2022 | Escape underway: Malthusian pressures in late imperial Moscow. (2022). Kufenko, Vadim ; Khaustova, Ekaterina ; Geloso, Vincent. In: Explorations in Economic History. RePEc:eee:exehis:v:85:y:2022:i:c:s0014498322000316. Full description at Econpapers || Download paper | |
| 2022 | Detecting signed spillovers in global financial markets: A Markov-switching approach. (2022). Kangogo, Moses ; Volkov, Vladimir. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001259. Full description at Econpapers || Download paper | |
| 2021 | Do the uncertainty-induced capital outflows matter in currency crisis? Evidence from the Hong Kong speculative attacks. (2021). Wong, Anson ; Tim, Douglas Kai. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s154461231931390x. Full description at Econpapers || Download paper | |
| 2021 | Effects of monetary policy on the exchange rates: A Time-varying analysis. (2021). Zhang, Jiqiang ; Yang, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001951. Full description at Econpapers || Download paper | |
| 2022 | Re-investigating the insurance-growth nexus using common factors. (2022). Basse, Tobias ; Wegener, Christoph ; Gonzalez, Miguel Rodriguez. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002907. Full description at Econpapers || Download paper | |
| 2021 | Wood market cartel in Finland 1997–2004: Analyzing price effects using the indicator approach. (2021). Toppinen, Anne ; Wang, Lanhui ; Korhonen, Jaana ; Kuuluvainen, Jari. In: Forest Policy and Economics. RePEc:eee:forpol:v:124:y:2021:i:c:s1389934120307061. Full description at Econpapers || Download paper | |
| 2022 | Modelling short-and long-term marketing effects in the consumer purchase journey. (2022). Cain, P M. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:39:y:2022:i:1:p:96-116. Full description at Econpapers || Download paper | |
| 2021 | Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. (2021). Krištoufek, Ladislav ; Demir, Ender ; Mitra, Subrata Kumar ; Assaf, Ata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000317. Full description at Econpapers || Download paper | |
| 2021 | Asset market equilibria in cryptocurrency markets: Evidence from a study of privacy and non-privacy coins. (2021). Grobys, Klaus ; Sapkota, Niranjan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001190. Full description at Econpapers || Download paper | |
| 2022 | Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531. Full description at Econpapers || Download paper | |
| 2021 | Modeling high-dimensional unit-root time series. (2021). Tsay, Ruey S ; Gao, Zhaoxing. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1535-1555. Full description at Econpapers || Download paper | |
| 2021 | A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam ; Daniel, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417. Full description at Econpapers || Download paper | |
| 2022 | Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Helmut Lütkepohl has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Helmut Lütkepohl:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1981 | Michael Leserer - Grundlagen der Ökonometrie In: German Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review In: Lodz Economics Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2018 | Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review.(2018) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2020 | Constructing joint confidence bands for impulse response functions of VAR models – A review.(2020) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 1996 | Specification of Echelon-Form VARMA Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 40 |
| 2000 | Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 204 |
| 2001 | Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 204 | paper | |
| 1984 | Forecasting Contemporaneously Aggregated Vector ARMA Processes. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 32 |
| 1986 | Forecasting Vector ARMA Processes with Systematically Missing Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
| 1989 | Prediction Tests for Structural Stability of Multiple Time Series. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
| 2010 | Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance In: German Economic Review. [Full Text][Citation analysis] | article | 10 |
| 2010 | Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2010) In: German Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2006 | Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2006) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2006 | Acquisition of information and share prices: An empirical investigation of cognitive dissonance.(2006) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 1997 | A Review of Nonparametric Time Series Analysis In: International Statistical Review. [Full Text][Citation analysis] | article | 66 |
| 1996 | A Review of Nonparametric Time Series Analysis.(1996) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
| 2016 | STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 7 |
| 2014 | Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity.(2014) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2014) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity.(2014) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2016 | Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2016) In: EconStor Open Access Articles and Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2000 | Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 25 |
| 2002 | Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 206 |
| 2002 | Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 206 | paper | |
| 1999 | Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 206 | paper | |
| 2008 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 23 |
| 2006 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2006 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2011 | Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity In: Journal of Time Series Analysis. [Citation analysis] | article | 6 |
| 2009 | Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity.(2009) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 1982 | DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
| 1985 | COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 59 |
| 2003 | Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 84 |
| 2001 | Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
| 2005 | Practical Problems with Reduced?rank ML Estimators for Cointegration Parameters and a Simple Alternative In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 16 |
| 2004 | Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative.(2004) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2015 | Confidence Bands for Impulse Responses: Bonferroni vs. Wald In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 26 |
| 2018 | Choosing Between Different Time?Varying Volatility Models for Structural Vector Autoregressive Analysis In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 13 |
| 2017 | Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis.(2017) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2018 | Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis.(2018) In: EconStor Open Access Articles and Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2001 | Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik. [Full Text][Citation analysis] | article | 0 |
| 2001 | Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen.(2001) In: Perspektiven der Wirtschaftspolitik. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2001 | Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik. [Full Text][Citation analysis] | article | 0 |
| Lutkepohl In: Instructional Stata datasets for econometrics. [Full Text][Citation analysis] | paper | 0 | |
| 2011 | Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2006 | Structural Vector Autoregressions with Nonnormal Residuals In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 124 |
| 2005 | Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 124 | paper | |
| 2006 | Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 91 |
| 2006 | Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 91 | paper | |
| 2008 | Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 91 | article | |
| 2008 | Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 91 | article | |
| 2008 | Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2008 | Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2009 | The Role of the Log Transformation in Forecasting Economic Variables In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 48 |
| 2012 | The role of the log transformation in forecasting economic variables.(2012) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | article | |
| 2010 | Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 2011 | Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights.(2011) In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2014 | Confidence Bands for Impulse Responses: Bonferroni versus Wald In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2014 | Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2014 | Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2014 | Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2015 | Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models.(2015) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2001 | The Transmission of German Monetary Policy in the Pre-Euro Period In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 33 |
| 2003 | TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD.(2003) In: Macroeconomic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
| 2003 | TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD.(2003) In: Macroeconomic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
| 2001 | The transmission of German monetary policy in the pre-Euro period.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 1994 | Making Wald Tests Work for Cointegrated VAR Systems In: Working Papers. [Citation analysis] | paper | 13 |
| 1994 | Making Wald Tests Work for Cointegrated Var Systems..(1994) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 1994 | Making Wald Tests Work for Cointegrated Var Systems.(1994) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 1999 | Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 64 |
| 2001 | COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS.(2001) In: Macroeconomic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | article | |
| 1999 | Comparison of bootstrap confidence intervals for impulse responses of German monetary systems.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | paper | |
| 1996 | Testing for Causation Using Infinite Order Vector Autoregressive Processes In: Econometric Theory. [Full Text][Citation analysis] | article | 33 |
| 1996 | Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory. [Full Text][Citation analysis] | article | 31 |
| 1999 | LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory. [Full Text][Citation analysis] | article | 28 |
| 1997 | Local power of likelihood ratio tests for the cointegrating rank of a VAR process.(1997) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
| 2000 | TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory. [Full Text][Citation analysis] | article | 182 |
| 1998 | Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 182 | paper | |
| 2002 | TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory. [Full Text][Citation analysis] | article | 183 |
| 2000 | Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 183 | paper | |
| 1999 | Testing for a unit root in a time series with a level shift at unknown time.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 183 | paper | |
| 2005 | A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2006 | BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING In: Econometric Theory. [Full Text][Citation analysis] | article | 11 |
| 1988 | Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
| 1991 | Estimating Orthogonal Impulse Responses via Vector Autoregressive Models In: Econometric Theory. [Full Text][Citation analysis] | article | 32 |
| 2012 | Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 39 |
| 2014 | DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
| 2012 | Fundamental Problems with Nonfundamental Shocks In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Reducing Confidence Bands for Simulated Impulse Responses In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Reducing confidence bands for simulated impulse responses.(2013) In: Statistical Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2012 | Identifying Structural Vector Autoregressions via Changes in Volatility In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 33 |
| 2015 | Comparison of methods for constructing joint confidence bands for impulse response functions.(2015) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
| 2013 | Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions.(2013) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2013 | Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions.(2013) In: MAGKS Papers on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2014 | Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 12 |
| 2014 | Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey.(2014) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2014 | Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 8 |
| 2014 | Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market.(2014) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2015 | Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 12 |
| 2016 | Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions.(2016) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2016 | Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions.(2016) In: MAGKS Papers on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2018 | Calculating joint confidence bands for impulse response functions using highest density regions.(2018) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
| 2016 | Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Inference in partially identified heteroskedastic simultaneous equations models.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2016 | Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2017 | Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Estimation of structural impulse responses: short-run versus long-run identifying restrictions.(2018) In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2017 | Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions.(2017) In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2017 | Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity.(2020) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2018 | The Relation between Monetary Policy and the Stock Market in Europe In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 3 |
| 2018 | The Relation between Monetary Policy and the Stock Market in Europe.(2018) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2018 | Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH.(2019) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2018 | Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 3 |
| 2021 | Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: EconStor Open Access Articles and Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2020 | Structural Vector Autoregressive Models with More Shocks than Variables Identi?ed via Heteroskedasticity In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Heteroskedastic Proxy Vector Autoregressions In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 3 |
| 2022 | Heteroscedastic Proxy Vector Autoregressions.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| .() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | ||
| 2020 | A Simple Instrument for Proxy Vector Autoregressive Analysis In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 1 |
| 2020 | An Alternative Bootstrap for Proxy Vector Autoregressions In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 0 |
| 2020 | An Alternative Bootstrap for Proxy Vector Autoregressions.(2020) In: University of East Anglia School of Economics Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2021 | Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Qualitative versus quantitative external information for proxy vector autoregressive analysis.(2021) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2021 | Comparison of Local Projection Estimators for Proxy Vector Autoregressions In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Comparison of local projection estimators for proxy vector autoregressions.(2022) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2021 | Comparison of Local Projection Estimators for Proxy Vector Autoregressions.(2021) In: University of East Anglia School of Economics Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2022 | Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies.(2022) In: University of East Anglia School of Economics Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2004 | Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time In: Econometrica. [Full Text][Citation analysis] | article | 64 |
| 2001 | Testing for the cointegrating rank of a VAR process with level shift at unknown time.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | paper | |
| 2000 | Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 66 |
| 2003 | Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | article | |
| 2000 | Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
| 2000 | Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 18 |
| 2000 | Lag selection in subset VAR models with an application to a US monetary system.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2009 | Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal. [Full Text][Citation analysis] | article | 12 |
| 2008 | Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1998 | Estimating the Kronecker indices of cointegrated echelon-form VARMA models In: Econometrics Journal. [Citation analysis] | article | 4 |
| 1997 | Estimating the Kronecker indices of cointegrated echelon form VARMA models.(1997) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2001 | Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process In: Econometrics Journal. [Citation analysis] | article | 101 |
| 2000 | Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 101 | paper | |
| 1992 | Impulse response analysis of cointegrated systems In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 200 |
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| 2016 | Testing for identification in SVAR-GARCH models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
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| 2005 | Vector Error Correction Models.(2005) In: Springer Books. [Citation analysis] This paper has another version. Agregated cites: 5 | chapter | |
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| 2005 | Vector Error Correction Models.(2005) In: Springer Books. [Citation analysis] This paper has another version. Agregated cites: 25 | chapter | |
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| 1997 | Impulse response analysis in infinite order cointegrated vector autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
| 1995 | Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes.(1995) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
| 2000 | Testing for the cointegrating rank of a VAR process with a time trend In: Journal of Econometrics. [Full Text][Citation analysis] | article | 203 |
| 1997 | Testing for the Cointegrating Rank of a VAR Process with a Time Trend.(1997) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 203 | paper | |
| 2017 | Structural vector autoregressions with heteroskedasticity: A review of different volatility models In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 5 |
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| 2013 | Forecasting contemporaneous aggregates with stochastic aggregation weights In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
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| 2011 | Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights.(2011) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2013 | Does the Box–Cox transformation help in forecasting macroeconomic time series? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 15 |
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| 2002 | Comparison of Model Reduction Methods for VAR Processes In: Economics Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2003 | Comparison of Model Reduction Methods for VAR Processes.(2003) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2002 | Comparison of model reduction methods for VAR processes.(2002) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2004 | Recent Advances in Cointegration Analysis In: Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
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| 2004 | A Small Monetary System for the Euro Area Based on German Data In: Economics Working Papers. [Full Text][Citation analysis] | paper | 36 |
| 2006 | A small monetary system for the euro area based on German data.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2006 | A small monetary system for the euro area based on German data.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2005 | Structural Vector Autoregressive Analysis for Cointegrated Variables In: Economics Working Papers. [Full Text][Citation analysis] | paper | 120 |
| 2006 | Structural vector autoregressive analysis for cointegrated variables.(2006) In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 120 | article | |
| 2006 | Structural Vector Autoregressive Analysis for Cointegrated Variables.(2006) In: Springer Books. [Citation analysis] This paper has another version. Agregated cites: 120 | chapter | |
| 2005 | Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe In: Economics Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2005 | Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe.(2005) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2006 | Forecasting Euro-Area Variables with German Pre-EMU Data In: Economics Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2006 | Forecasting Euro-Area Variables with German Pre-EMU Data.(2006) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2008 | Forecasting euro area variables with German pre-EMU data.(2008) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 2007 | Econometric Analysis with Vector Autoregressive Models In: Economics Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2008 | A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks In: Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
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| 1995 | Investigating Stability and Linearity of a German M1 Money Demand Function In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 59 |
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| 1995 | Investigating Stability and Linearity of a German M1 Money Demand Function.(1995) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
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| 1996 | Modelling the Demand for M3 in the Unified Germany.(1996) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 2015 | Structural Vector Autoregressions with Heteroskedasticy In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
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| 2005 | VAR Order Selection and Checking the Model Adequacy In: Springer Books. [Citation analysis] | chapter | 0 |
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| 1994 | Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten In: SFB 373 Discussion Papers. [Citation analysis] | paper | 4 |
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| 1994 | Testing for Multi-Step Causality in Time Series In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
| 1994 | Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
| 1994 | Problems Related to Testing for Granger-Causality in VARMA Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
| 1995 | Konjunkturanalyse mit Markov-Regimewechselmodellen In: SFB 373 Discussion Papers. [Citation analysis] | paper | 2 |
| 1995 | Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
| 1995 | Consistent Specification of Cointegrated Autoregressive Moving-Average Systems In: SFB 373 Discussion Papers. [Citation analysis] | paper | 5 |
| 1995 | Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
| 1996 | Statistische Modellierung von Volatilitäten In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
| 1996 | Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model In: SFB 373 Discussion Papers. [Citation analysis] | paper | 5 |
| 1996 | Impulse Response Analysis of Vector Autoregressive Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 5 |
| 1997 | Trend adjustment prior to testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 1997 | Problems related to bootstrapping impulse responses of autoregressive processes In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1997 | A money demand system for M3 in the unified Germany In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Order selection in testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Testing for unit roots in time series with level shifts In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Vector autoregressive analysis In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 1999 | Unit root tests for time series with a structural break: When the break point is known In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 1999 | Vector autoregressions In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Forecasting cointegrated VARMA processes In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2000 | Was there a regime change in the German monetary transmission mechanism in 1983? In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Bootstrapping impulse responses in VAR analyses In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2001 | Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Calculating Joint Bands for Impulse Response Functions using Highest Density Regions In: VfS Annual Conference 2016 (Augsburg): Demographic Change. [Full Text][Citation analysis] | paper | 0 |
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