Helmut Lütkepohl : Citation Profile


Are you Helmut Lütkepohl?

DIW Berlin (Deutsches Institut für Wirtschaftsforschung) (50% share)
Freie Universität Berlin (40% share)
CESifo (10% share)

29

H index

55

i10 index

2768

Citations

RESEARCH PRODUCTION:

78

Articles

133

Papers

2

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1981 - 2018). See details.
   Cites by year: 74
   Journals where Helmut Lütkepohl has often published
   Relations with other researchers
   Recent citing documents: 96.    Total self citations: 80 (2.81 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plt2
   Updated: 2018-07-14    RAS profile: 2018-03-28    
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Relations with other researchers


Works with:

Staszewska-Bystrova, Anna (15)

Winker, Peter (15)

Netšunajev, Aleksei (8)

Milunovich, George (2)

Yang, Minxian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Helmut Lütkepohl.

Is cited by:

Shahbaz, Muhammad (100)

Tiwari, Aviral (42)

Kilian, Lutz (36)

Koukouritakis, Minoas (33)

Mehrotra, Aaron (31)

Wolters, Juergen (29)

Panagiotidis, Theodore (28)

Dufour, Jean-Marie (28)

Trenkler, Carsten (28)

Dreger, Christian (27)

Marcellino, Massimiliano (26)

Cites to:

Saikkonen, Pentti (57)

Lanne, Markku (54)

Sims, Christopher (47)

Kilian, Lutz (43)

Stock, James (39)

Johansen, Soren (37)

Watson, Mark (36)

Zha, Tao (27)

Phillips, Peter (24)

Hendry, David (23)

Rigobon, Roberto (22)

Main data


Where Helmut Lütkepohl has published?


Journals with more than one article published# docs
Journal of Econometrics16
Economics Letters9
Journal of Business & Economic Statistics5
International Journal of Forecasting4
Journal of Economic Dynamics and Control4
Empirical Economics4
Econometric Theory4
Statistical Papers4
Econometrics Journal3
Oxford Bulletin of Economics and Statistics3
Journal of Applied Econometrics2
The Review of Economics and Statistics2
Perspektiven der Wirtschaftspolitik2
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes48
Economics Working Papers / European University Institute27
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research17
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany11
CESifo Working Paper Series / CESifo Group Munich9
Econometric Society World Congress 2000 Contributed Papers / Econometric Society3
MAGKS Papers on Economics / Philipps-Universitt Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Helmut Lütkepohl (2018 and 2017)


YearTitle of citing document
2017A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices. (2017). Proietti, Tommaso ; Giovannelli, Alessandro. In: CREATES Research Papers. RePEc:aah:create:2017-20.

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2018Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Grabowski, Daniel. In: Lodz Economics Working Papers. RePEc:ann:wpaper:1/2018.

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2018Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2018The Expectations Hypothesis of the Term Structure in the Philippines: An Empirical Note (2001-2017). (2018). Tronzano, Marco. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:704-716.

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2017Bank loan components, uncertainty and monetary transmission mechanism. (2017). Pirozhkova, Ekaterina. In: BCAM Working Papers. RePEc:bbk:bbkcam:1702.

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2017Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731.

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2017Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity. (2017). Turnip, Guido. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:302:p:465-483.

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2017Price and Volatility Transmission and Market Power in the German Fresh Pork Supply Chain. (2017). Assefa, Tsion Taye ; Gardebroek, Cornelis. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:3:p:861-880.

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2017On the Identification of Interdependence and Contagion of Financial Crises. (2017). Bacchiocchi, Emanuele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1148-1175.

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2017EFFECTS OF MONETARY SHOCKS ON EXCHANGE RATE: EMPIRICAL EVIDENCE FROM INDIA. (2017). Sharma, Chandan ; Rajat, Setia ; Chandan, Sharma . In: Studies in Business and Economics. RePEc:blg:journl:v:12:y:2017:i:2:p:206-219.

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2017The economic cost of capital: a VECM approach for estimating and testing the banking sectors response to changes in capital ratios. (2017). Straughan, Michael ; de-Ramon, Sebastian. In: Bank of England working papers. RePEc:boe:boeewp:0663.

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2017Cointegration and Causality Relationship Between Stock Market, Money Market and Foreign Exchange Market in Pakistan. (2017). Ghulam, Abbas ; Laxmi, Koju ; Roni, Bhowmik ; Shouyang, Wang. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:1:p:1-20:n:1.

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2018State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074.

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2018Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Bierbaumer, Daniel ; Velinov, Anton ; Rieth, Malte. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1722.

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2017Energy consumption and economic growth in Sub-Saharan African countries: Further evidence. (2017). Zerbo, Elazar . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00819.

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2017Asymmetric Spillover Effects between Agricultural Commodity Prices and Biofuel Energy Prices. (2017). Voliotis, Dimitrios ; Apergis, Nicholas ; Eleftheriou, Sofia . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-01-18.

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2017The financial cycles in four East Asian economies. (2017). Pontines, Victor. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:51-66.

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2018The impact of setting negative policy rates on banking flows and exchange rates. (2018). Khayat, Guillaume A. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:1-10.

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2018Multi-horizon wealth effects across the G7 economies. (2018). Apergis, Nicholas ; Hassapis, Christis ; Christou, Christina ; Bouras, Christos. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:165-176.

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2018Testing for cointegration in I(1) state space systems via a finite order approximation. (2018). Franchi, Massimo. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:73-76.

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2017Identification and estimation of non-Gaussian structural vector autoregressions. (2017). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:288-304.

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2017A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62.

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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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2018Estimation and inference of dynamic structural factor models with over-identifying restrictions. (2018). Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:125-147.

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2018The cointegrated vector autoregressive model with general deterministic terms. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:214-229.

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2018Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282.

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2018Uniform confidence bands: Characterization and optimality. (2018). Freyberger, Joachim ; Rai, Yoshiyasu. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:119-130.

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2018Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes. (2018). Okui, Ryo ; Shintani, Mototsugu ; Lee, Yoon-Jin . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:147-158.

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2017Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, Paul. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84.

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2018Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets. (2018). Tang, Xiaobo ; Yao, Xingyuan. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:64-76.

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2017Energy-growth long-term relationship under structural breaks. Evidence from Canada, 17 Latin American economies and the USA. (2017). Ventosa-Santaulària, Daniel ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ventosa-Santaularia, Daniel ; Rodriguez-Caballero, Carlos Vladimir . In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:121-134.

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2017The dynamic linkages between crude oil and natural gas markets. (2017). Batten, Jonathan ; Lucey, Brian M ; Ciner, Cetin . In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:155-170.

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2017Historical energy price shocks and their changing effects on the economy. (2017). Fouquet, Roger ; van De, Dirk Jan . In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:204-216.

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2017How does the U.S. natural gas market react to demand and supply shocks in the crude oil market?. (2017). Serletis, Apostolos ; Jadidzadeh, Ali . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:66-74.

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2017Modelling UK sub-sector industrial energy demand. (2017). Arvanitopoulos, Theodoros ; Agnolucci, Paolo ; de Lipsis, Vincenzo. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:366-374.

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2018Explaining the interplay of three markets: Green certificates, carbon emissions and electricity. (2018). Schusser, Sandra ; Jarait, Jrat . In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:1-13.

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2017Modelling the CO2 emissions and economic growth in Croatia: Is there any environmental Kuznets curve?. (2017). Ahmad, Najid ; Hashmi, Muhammad Zaffar ; Li, Hong-Zhou ; Wang, Jianlin ; Lu, Jiye ; Du, Liangsheng . In: Energy. RePEc:eee:energy:v:123:y:2017:i:c:p:164-172.

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2017Effects of energy production and CO2 emissions on economic growth in Iran: ARDL approach. (2017). Ahmad, Najid ; Du, Liangsheng . In: Energy. RePEc:eee:energy:v:123:y:2017:i:c:p:521-537.

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2017Financial development and energy demand in the United States: New evidence from combined cointegration and asymmetric causality tests. (2017). solarin, sakiru ; FARHANI, Sahbi. In: Energy. RePEc:eee:energy:v:134:y:2017:i:c:p:1029-1037.

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2017The impacts of oil price shocks on small oil-importing economies: Time series evidence for Liberia. (2017). Repha, Isaac Yak ; Wesseh, Presley K ; Wang, Zhen ; Gbatu, Abimelech Paye. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:975-990.

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2018Time-varying effects of oil supply and demand shocks on Chinas macro-economy. (2018). qiang, lin ; Gong, XU ; Lin, Boqiang. In: Energy. RePEc:eee:energy:v:149:y:2018:i:c:p:424-437.

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2017Managing price and financial stability objectives in inflation targeting economies in Asia and the Pacific. (2017). Mehrotra, Aaron ; Kim, Soyoung. In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:106-116.

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2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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2017Is the yen misaligned more during the Abenomics period?. (2017). Baak, Saang Joon. In: Japan and the World Economy. RePEc:eee:japwor:v:44:y:2017:i:c:p:26-34.

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2017The impact of monetary policy on corporate bonds under regime shifts. (2017). Guidolin, Massimo ; Pedio, Manuela ; Orlov, Alexei G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:176-202.

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2018The impact of conventional and unconventional monetary policy on expectations and sentiment. (2018). Spyrou, Spyros ; Galariotis, Emilios ; Makrichoriti, Panagiota. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:1-20.

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2018The state dependent impact of bank exposure on sovereign risk. (2018). Podstawski, Maximilian ; Velinov, Anton. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:63-75.

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2017Effects of trade and agricultural policies on the structure of the U.S. tomato industry. (2017). Palma, Marco ; Ribera, Luis A ; Perez, Maria P. In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:123-134.

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2017International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe. (2017). Feldkircher, Martin ; Fadejeva, Ludmila ; Reininger, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:1-25.

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2017Competitiveness divergence in the Eurozone: The need for symmetric adjustment. (2017). Giannellis, Nikolaos ; Koukouritakis, Minoas . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:5:p:942-962.

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2017Does renewable energy concentration increase the variance/uncertainty in electricity prices in Africa?. (2017). ADOM, PHILIP ; Abdallah, Abdul-Mumuni ; Minlah, Michael Kaku ; Insaidoo, Michael . In: Renewable Energy. RePEc:eee:renene:v:107:y:2017:i:c:p:81-100.

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2017Review of energy-growth nexus: A panel analysis for ten Eurasian oil exporting countries. (2017). Suleymanov, Elchin ; Hasanov, Fakhri ; Bulut, Cihan. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:73:y:2017:i:c:p:369-386.

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2018The validation of Granger causality through formulation and use of finance-growth-energy indexes. (2018). Hayat, Farah ; Khan, Abid Ali ; Saeed, Muhammad Daniel. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p2:p:1859-1867.

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2017Did the Bundesbank react to the US dollar exchange rate?. (2017). Eleftheriou, Maria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:235-244.

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2017Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity. (2017). Okimoto, Tatsuyoshi ; Tatsuyoshi, Okimoto ; Nguyen, Bao H. In: Discussion papers. RePEc:eti:dpaper:17102.

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2018Modelling the Global Price of Oil: Is there any Role for the Oil Futures-spot Spread?. (2018). Valenti, Daniele. In: Working Papers. RePEc:fem:femwpa:2018.06.

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2017Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models. (2017). Tabor, Morten ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:36-:d:109242.

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2017Non-Causality Due to Included Variables. (2017). Triacca, Umberto . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:46-:d:115044.

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2018The Effects of Fiscal Policy on Non-Oil Economic Growth. (2018). Mammadov, Fuad ; Hasanov, Fakhri ; Al-Musehel, Nayef. In: Economies. RePEc:gam:jecomi:v:6:y:2018:i:2:p:27-:d:141662.

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2017On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts. (2017). Krauss, Christopher ; Herrmann, Klaus . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:7-:d:89525.

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2018How Do the Industrial Structure Optimization and Urbanization Development Affect Energy Consumption in Zhejiang Province of China?. (2018). Jiang, Huiqin ; Bao, Jianqiang ; Shao, Xinxiao ; Zhang, Xiao. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1889-:d:150811.

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2017Eurozone debt crisis and bond yields convergence: evidence from the new EU countries. (2017). Koukouritakis, Minoas . In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:3:d:10.1007_s10644-017-9208-3.

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2017The dynamic evolution of the Greek regional net fixed capital time series. (2017). varelas, erotokritos ; Zikos, Spyros ; Karpetis, Christos ; Emmanouilidis, Kyriakos . In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:3:d:10.1007_s10644-017-9209-2.

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2018Is SADC an optimal currency area? Evidence from the generalized purchasing power parity test. (2018). Breitenbach, Marthinus ; Zerihun, Mulatu F. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:51:y:2018:i:2:d:10.1007_s10644-017-9204-7.

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2017Non-Traded Goods and Real Exchange Rate Fluctuations: A Structural VAR Analysis. (2017). Azcona, Nestor. In: International Advances in Economic Research. RePEc:kap:iaecre:v:23:y:2017:i:2:d:10.1007_s11294-017-9635-y.

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2017Identification of SVAR Models by Combining Sign Restrictions With External Instruments. (2017). Braun, Robin ; Bruggemann, Ralf . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1707.

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2017Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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2018Investigating credit transmission mechanism in the Republic of Macedonia: evidence from Vector Error Correction Model. (2018). Eliskovski, Milan. In: Working Papers. RePEc:mae:wpaper:2018-02.

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2018Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Grabowski, Daniel. In: MAGKS Papers on Economics. RePEc:mar:magkse:201810.

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2018African stock markets integration: an analysis of the relationship between major stock markets in Africa. (2018). Anyikwa, Izunna ; le Roux, Pierre ; Brookes, Micheal. In: Working Papers. RePEc:mnd:wpaper:1812.

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2017Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de laction Orange. (2017). Chikhi, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:76691.

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2017Are linear models really unuseful to describe business cycle data?. (2017). Silva Lopes, Artur ; Zsurkis, Gabriel Florin . In: MPRA Paper. RePEc:pra:mprapa:79413.

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2017On the Effects of the BRICS on World Economic Growth. (2017). Bosupeng, Mpho. In: MPRA Paper. RePEc:pra:mprapa:81757.

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2017Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models. (2017). Serwa, Dobromi ; Wdowiski, Piotr. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:4:p:323-357.

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2018Bayesian identification of structural vector autoregression models. (2018). Khabibullin, Ramis ; Arefiev, Nikolay . In: Applied Econometrics. RePEc:ris:apltrx:0340.

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2017A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices. (2017). Proietti, Tommaso ; Giovannelli, Alessandro . In: CEIS Research Paper. RePEc:rtv:ceisrp:410.

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2018Tendencje zmian cen na światowym rynku ropy naftowej po 2000 roku. (2018). Socha, Robert ; Wdowiski, Piotr. In: Gospodarka Narodowa. RePEc:sgh:gosnar:y:2018:i:1:p:103-135.

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2018Estimation of structural impulse responses: short-run versus long-run identifying restrictions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lutkepohl, Helmut. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:102:y:2018:i:2:d:10.1007_s10182-017-0300-9.

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2017Evaluating the use of internet search volumes for time series modeling of sales in the video game industry. (2017). Ruohonen, Jukka ; Hyrynsalmi, Sami . In: Electronic Markets. RePEc:spr:elmark:v:27:y:2017:i:4:d:10.1007_s12525-016-0244-z.

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2017Contemporaneous causal orderings of US corn cash prices through directed acyclic graphs. (2017). Xu, Xiaojie. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:2:d:10.1007_s00181-016-1094-4.

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2017Okun’s law: evidence of 13 selected developed countries. (2017). Rahman, Matiur ; Mustafa, Muhammad . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:2:d:10.1007_s12197-015-9351-5.

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2017Forecasting in nonlinear univariate time series using penalized splines. (2017). Wegener, Michael ; Kauermann, Goran . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0711-1.

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2017Wild bootstrap tests for autocorrelation in vector autoregressive models. (2017). Catani, Paul ; Ahlgren, Niklas . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0744-0.

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2018Monetary policy shocks, expectations and information rigidities. (2018). Czudaj, Robert ; Beckmann, Joscha. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep019.

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2017Testing the lag length of vector autoregressive models: A power comparison between portmanteau and Lagrange multiplier tests. (2017). RAÏSSI, HAMDI ; Khardani, Salah ; ben Hajria, Raja. In: Working Papers. RePEc:ucv:wpaper:2017-03.

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2017In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market. (2017). Sun, Hang ; Li, Zhuo . In: Research Memorandum. RePEc:unm:umagsb:2017019.

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2017Inference for Impulse Responses under Model Uncertainty. (2017). Smeekes, Stephan ; Lieb, Lenard. In: Research Memorandum. RePEc:unm:umagsb:2017022.

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2017FORECASTING OF OIL AND AGRICULTURAL COMMODITY PRICES: VARMA VERSUS ARMA. (2017). Gulerce, Mustafa ; Unal, Gazanfer. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:03:n:s2010495217500129.

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2017Nonparametric forecasting with one-sided kernel adopting pseudo one-step ahead data. (2017). Kim, Jungwoo . In: Working papers. RePEc:yon:wpaper:2017rwp-102.

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2017Are linear models really unuseful to describe business cycle data?. (2017). Lopes, Artur Silva ; Zsurkis, Gabriel Florin . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20175.

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2017The Anchoring of Inflation Expectations in the Short and in the Long Run. (2017). Nautz, Dieter ; Strohsal, Till ; Netsunajew, Aleksei. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168075.

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2017Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2017). Podstawski, Maximilian ; Große Steffen, Christoph. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168101.

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2017Interest Rates and Exchange Rates in Normal and Crisis Times. (2017). Rieth, Malte ; Grazzini, Caterina Forti. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168281.

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2017Balanced bootstrap joint confidence bands for structural impulse response functions. (2017). Wolf, Michael ; Bruder, Stefan. In: ECON - Working Papers. RePEc:zur:econwp:246.

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2018Inference for structural impulse responses in SVAR-GARCH models. (2018). Bruder, Stefan. In: ECON - Working Papers. RePEc:zur:econwp:281.

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Helmut Lütkepohl has edited the books:


YearTitleTypeCited

Works by Helmut Lütkepohl:


YearTitleTypeCited
1996Specification of Echelon-Form VARMA Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article32
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article155
2001Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 155
paper
1984Forecasting Contemporaneously Aggregated Vector ARMA Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]
article24
1986Forecasting Vector ARMA Processes with Systematically Missing Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
1989Prediction Tests for Structural Stability of Multiple Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
2010Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance In: German Economic Review.
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article10
2006Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2006) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 10
paper
2006Acquisition of information and share prices: An empirical investigation of cognitive dissonance.(2006) In: Economics Working Papers.
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This paper has another version. Agregated cites: 10
paper
2016STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY In: Journal of Economic Surveys.
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article5
2014Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity.(2014) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
2014Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2014) In: Discussion Papers of DIW Berlin.
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paper
2014Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity.(2014) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 5
paper
2008Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break In: Journal of Time Series Analysis.
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article15
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers.
[Full Text][Citation analysis]
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paper
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
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paper
2011Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity In: Journal of Time Series Analysis.
[Citation analysis]
article4
2009Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity.(2009) In: Economics Working Papers.
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This paper has another version. Agregated cites: 4
paper
2003Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics.
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article68
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
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paper
2005Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative In: Oxford Bulletin of Economics and Statistics.
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article16
2004Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative.(2004) In: Economics Working Papers.
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paper
2015Confidence Bands for Impulse Responses: Bonferroni vs. Wald In: Oxford Bulletin of Economics and Statistics.
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article6
2001Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.-7. April 2000 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik.
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article0
2001Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik.
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article0
Lutkepohl In: Instructional Stata datasets for econometrics.
[Full Text][Citation analysis]
paper0
2011Forecasting 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]
article4
2006Structural Vector Autoregressions with Nonnormal Residuals In: CESifo Working Paper Series.
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paper65
2005Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers.
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paper
2006Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series.
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paper50
2006Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers.
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paper
2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
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article
2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis In: CESifo Working Paper Series.
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paper4
2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis.(2008) In: Economics Working Papers.
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paper
2009The Role of the Log Transformation in Forecasting Economic Variables In: CESifo Working Paper Series.
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paper16
2012The role of the log transformation in forecasting economic variables.(2012) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2010Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights In: CESifo Working Paper Series.
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paper2
2011Forecasting 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: 2
article
2014Confidence Bands for Impulse Responses: Bonferroni versus Wald In: CESifo Working Paper Series.
[Full Text][Citation analysis]
paper11
2014Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: Discussion Papers of DIW Berlin.
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paper
2014Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: SFB 649 Discussion Papers.
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paper
2014Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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paper
2015Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models In: CESifo Working Paper Series.
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paper1
2015Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models.(2015) In: Discussion Papers of DIW Berlin.
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paper
2001The Transmission of German Monetary Policy in the Pre-Euro Period In: CESifo Working Paper Series.
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paper3
2001The transmission of German monetary policy in the pre-Euro period.(2001) In: SFB 373 Discussion Papers.
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paper
1999Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems In: CEPR Discussion Papers.
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paper42
1999Comparison of bootstrap confidence intervals for impulse responses of German monetary systems.(1999) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 42
paper
1996Testing for Causation Using Infinite Order Vector Autoregressive Processes In: Econometric Theory.
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article31
1996Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory.
[Full Text][Citation analysis]
article21
1988Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process In: Econometric Theory.
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article2
1991Estimating Orthogonal Impulse Responses via Vector Autoregressive Models In: Econometric Theory.
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article24
2012Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs In: Discussion Papers of DIW Berlin.
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paper19
2014DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS.(2014) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 19
article
2012Fundamental Problems with Nonfundamental Shocks In: Discussion Papers of DIW Berlin.
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paper0
2012Reducing Confidence Bands for Simulated Impulse Responses In: Discussion Papers of DIW Berlin.
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paper2
2013Reducing confidence bands for simulated impulse responses.(2013) In: Statistical Papers.
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This paper has another version. Agregated cites: 2
article
2012Identifying Structural Vector Autoregressions via Changes in Volatility In: Discussion Papers of DIW Berlin.
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paper1
2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions In: Discussion Papers of DIW Berlin.
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paper18
2015Comparison of methods for constructing joint confidence bands for impulse response functions.(2015) In: International Journal of Forecasting.
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article
2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions.(2013) In: SFB 649 Discussion Papers.
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paper
2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions.(2013) In: MAGKS Papers on Economics.
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paper
2014Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey In: Discussion Papers of DIW Berlin.
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paper2
2014Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey.(2014) In: SFB 649 Discussion Papers.
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2014Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market In: Discussion Papers of DIW Berlin.
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paper5
2014Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market.(2014) In: SFB 649 Discussion Papers.
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paper
2015Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates In: Discussion Papers of DIW Berlin.
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paper0
2016Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions In: Discussion Papers of DIW Berlin.
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paper0
2016Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions.(2016) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2016Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions.(2016) In: MAGKS Papers on Economics.
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This paper has another version. Agregated cites: 0
paper
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin.
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paper0
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers.
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paper
2017Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions In: Discussion Papers of DIW Berlin.
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paper0
2017Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions.(2017) In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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This paper has another version. Agregated cites: 0
paper
2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis In: Discussion Papers of DIW Berlin.
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paper1
2017Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity In: Discussion Papers of DIW Berlin.
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paper0
2018The Relation between Monetary Policy and the Stock Market in Europe In: Discussion Papers of DIW Berlin.
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paper0
2004Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time In: Econometrica.
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article49
2001Testing for the cointegrating rank of a VAR process with level shift at unknown time.(2001) In: SFB 373 Discussion Papers.
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paper
2000Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time In: Econometric Society World Congress 2000 Contributed Papers.
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paper142
1999Testing for a unit root in a time series with a level shift at unknown time.(1999) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 142
paper
2000Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift In: Econometric Society World Congress 2000 Contributed Papers.
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paper57
2003Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 57
article
2000Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2000) In: SFB 373 Discussion Papers.
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paper
2000Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System In: Econometric Society World Congress 2000 Contributed Papers.
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paper18
2000Lag selection in subset VAR models with an application to a US monetary system.(2000) In: SFB 373 Discussion Papers.
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paper
2009Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal.
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article8
2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers.
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1998Estimating the Kronecker indices of cointegrated echelon-form VARMA models In: Econometrics Journal.
[Citation analysis]
article4
1997Estimating the Kronecker indices of cointegrated echelon form VARMA models.(1997) In: SFB 373 Discussion Papers.
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paper
2001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process In: Econometrics Journal.
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article60
2000Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers.
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1992Impulse response analysis of cointegrated systems In: Journal of Economic Dynamics and Control.
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2010Structural vector autoregressions with Markov switching In: Journal of Economic Dynamics and Control.
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2009Structural Vector Autoregressions with Markov Switching.(2009) In: Economics Working Papers.
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2016Testing for identification in SVAR-GARCH models In: Journal of Economic Dynamics and Control.
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article4
2015Testing for Identification in SVAR-GARCH Models.(2015) In: SFB 649 Discussion Papers.
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2017Structural vector autoregressions with smooth transition in variances In: Journal of Economic Dynamics and Control.
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2006Forecasting with VARMA Models In: Handbook of Economic Forecasting.
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chapter5
2004Forecasting with VARMA Models.(2004) In: Economics Working Papers.
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1983Non-linear least squares estimation under non-linear equality constraints In: Economics Letters.
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1984Linear aggregation of vector autoregressive moving average processes In: Economics Letters.
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article5
1985The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions In: Economics Letters.
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article1
1992Granger-causality in cointegrated VAR processes The case of the term structure In: Economics Letters.
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article37
1999A lag augmentation test for the cointegrating rank of a VAR process In: Economics Letters.
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article3
2001On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models In: Economics Letters.
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article58
2000On the reliability of chow type test for parameter constancy in multivariate dynamic models.(2000) In: SFB 373 Discussion Papers.
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paper
2002Unit root tests for time series with level shifts: a comparison of different proposals In: Economics Letters.
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article34
2001Unit root tests for time series with level shifts: A comparison of different proposals.(2001) In: SFB 373 Discussion Papers.
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2004On unit root tests in the presence of transitional growth In: Economics Letters.
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article2
2008Problems related to over-identifying restrictions for structural vector error correction models In: Economics Letters.
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article1
2005Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models.(2005) In: Economics Working Papers.
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2001Comment on essays on current state and future challenges of econometrics In: Journal of Econometrics.
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2006Residual autocorrelation testing for vector error correction models In: Journal of Econometrics.
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2004Residual Autocorrelation Testing for Vector Error Correction Models.(2004) In: Economics Working Papers.
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2007General-to-specific or specific-to-general modelling? An opinion on current econometric terminology In: Journal of Econometrics.
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article13
1981A model for non-negative and non-positive distributed lag functions In: Journal of Econometrics.
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article10
2014Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks In: Journal of Econometrics.
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article26
2011Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks.(2011) In: Economics Working Papers.
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1982Non-causality due to omitted variables In: Journal of Econometrics.
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article174
1984Linear transformations of vector ARMA processes In: Journal of Econometrics.
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article39
1988Prediction tests for structural stability In: Journal of Econometrics.
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article1
1989A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals In: Journal of Econometrics.
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article11
1996Specification of varying coefficient time series models via generalized flexible least squares In: Journal of Econometrics.
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article15
1997Modified Wald tests under nonregular conditions In: Journal of Econometrics.
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article40
1997Analysis of cointegrated VARMA processes In: Journal of Econometrics.
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article19
1997Nonparametric dynamic modelling In: Journal of Econometrics.
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article0
1997Impulse response analysis in infinite order cointegrated vector autoregressive processes In: Journal of Econometrics.
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article23
1995Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes.(1995) In: SFB 373 Discussion Papers.
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2000Testing for the cointegrating rank of a VAR process with a time trend In: Journal of Econometrics.
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1997Testing for the Cointegrating Rank of a VAR Process with a Time Trend.(1997) In: SFB 373 Discussion Papers.
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2017Structural vector autoregressions with heteroskedasticity: A review of different volatility models In: Econometrics and Statistics.
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article1
2011Forecasting levels of log variables in vector autoregressions In: International Journal of Forecasting.
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article8
2009Forecasting Levels of log Variables in Vector Autoregressions.(2009) In: Economics Working Papers.
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paper
2009Forecasting Levels of log Variables in Vector Autoregressions.(2009) In: Working Paper Series.
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2013Forecasting contemporaneous aggregates with stochastic aggregation weights In: International Journal of Forecasting.
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article0
2011Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights.(2011) In: Economics Working Papers.
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2011Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights.(2011) In: Working Paper Series of the Department of Economics, University of Konstanz.
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2013Does the Box–Cox transformation help in forecasting macroeconomic time series? In: International Journal of Forecasting.
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article12
2011Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?.(2011) In: Economics Working Papers.
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2011Does the Box-Cox transformation help in forecasting macroeconomic time series?.(2011) In: MPRA Paper.
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2011Does the Box-Cox transformation help in forecasting macroeconomic time series?.(2011) In: Working Papers.
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2013Vector autoregressive models In: Chapters.
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2011Vector Autoregressive Models.(2011) In: Economics Working Papers.
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2002Comparison of Model Reduction Methods for VAR Processes In: Economics Working Papers.
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2003Comparison of Model Reduction Methods for VAR Processes.(2003) In: Economics Papers.
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2002Comparison of model reduction methods for VAR processes.(2002) In: SFB 373 Discussion Papers.
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2004Recent Advances in Cointegration Analysis In: Economics Working Papers.
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2004Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift In: Economics Working Papers.
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2004A Small Monetary System for the Euro Area Based on German Data In: Economics Working Papers.
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2006A small monetary system for the euro area based on German data.(2006) In: Journal of Applied Econometrics.
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2005Structural Vector Autoregressive Analysis for Cointegrated Variables In: Economics Working Papers.
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2006Structural vector autoregressive analysis for cointegrated variables.(2006) In: AStA Advances in Statistical Analysis.
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2005Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe In: Economics Working Papers.
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2005Uncovered 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.
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2006Forecasting Euro-Area Variables with German Pre-EMU Data In: Economics Working Papers.
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paper17
2006Forecasting Euro-Area Variables with German Pre-EMU Data.(2006) In: SFB 649 Discussion Papers.
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2008Forecasting euro area variables with German pre-EMU data.(2008) In: Journal of Forecasting.
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article
2007Econometric Analysis with Vector Autoregressive Models In: Economics Working Papers.
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paper4
2008A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks In: Economics Working Papers.
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paper1
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