Helmut Lütkepohl : Citation Profile


Are you Helmut Lütkepohl?

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

34

H index

69

i10 index

5254

Citations

RESEARCH PRODUCTION:

112

Articles

149

Papers

1

Books

23

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   41 years (1981 - 2022). See details.
   Cites by year: 128
   Journals where Helmut Lütkepohl has often published
   Relations with other researchers
   Recent citing documents: 230.    Total self citations: 120 (2.23 %)

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   Permalink: http://citec.repec.org/plt2
   Updated: 2023-01-28    RAS profile: 2022-07-28    
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Relations with other researchers


Works with:

Staszewska-Bystrova, Anna (7)

Winker, Peter (7)

Netšunajev, Aleksei (5)

Schlaak, Thore (5)

Boer, Lukas (3)

Meitz, Mika (2)

Woźniak, Tomasz (2)

Saikkonen, Pentti (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 (143)

Mehrotra, Aaron (75)

Kilian, Lutz (70)

Tiwari, Aviral (58)

Koukouritakis, Minoas (56)

Inoue, Atsushi (54)

rey, serge (52)

Panagiotidis, Theodore (49)

Weber, Enzo (46)

Wolters, Juergen (44)

Ihle, Rico (43)

Cites to:

Lanne, Markku (69)

Saikkonen, Pentti (65)

Kilian, Lutz (58)

Stock, James (56)

Watson, Mark (56)

Sims, Christopher (54)

Johansen, Soren (36)

Rigobon, Roberto (33)

Phillips, Peter (31)

Zha, Tao (28)

Staszewska-Bystrova, Anna (27)

Main data


Where Helmut Lütkepohl has published?


Journals with more than one article published# docs
Journal of Econometrics17
Economics Letters10
Econometric Theory9
Journal of Economic Dynamics and Control8
Journal of Time Series Analysis6
Empirical Economics5
Journal of Business & Economic Statistics5
Statistical Papers4
International Journal of Forecasting4
Oxford Bulletin of Economics and Statistics4
Econometrics Journal3
EconStor Open Access Articles and Book Chapters3
Macroeconomic Dynamics3
Journal of Applied Econometrics2
Journal of Applied Econometrics2
Perspektiven der Wirtschaftspolitik2
Econometrics and Statistics2
The Review of Economics and Statistics2
AStA Advances in Statistical 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 Research27
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany11
CESifo Working Paper Series / CESifo9
Econometric Society World Congress 2000 Contributed Papers / Econometric Society3
University of East Anglia School of Economics Working Paper Series / School of Economics, University of East Anglia, Norwich, UK.3
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics2
MPRA Paper / University Library of Munich, Germany2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
MAGKS Papers on Economics / Philipps-Universitt Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)2

Recent works citing Helmut Lütkepohl (2022 and 2021)


YearTitle of citing document
2021Is 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.

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2021Fiscal 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.

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2021.

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2021.

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2021Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089.

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2022Econometric 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.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2021Economic 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.

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2022Structural Gaussian mixture vector autoregressive model. (2020). Virolainen, Savi. In: Papers. RePEc:arx:papers:2007.04713.

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2021Dynamic Asymmetric Causality Tests with an Application. (2021). Hatemi-J, Abdulnasser. In: Papers. RePEc:arx:papers:2106.07612.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2022Gaussian and Students $t$ mixture vector autoregressive model. (2021). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648.

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2021On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis. (2021). Peng, Bin ; Gao, Jiti ; Yan, Yayi. In: Papers. RePEc:arx:papers:2111.00450.

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2022A 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.

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2022Interpreting 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.

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2022Mechanism of information transmission from a spot rate market to crypto-asset markets. (2022). Kaizoji, Taisei ; Yoshihara, Takeshi. In: Papers. RePEc:arx:papers:2211.16176.

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2022Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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2021NEW 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.

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2021Dynamics 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.

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2022Does 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.

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2021Structural 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.

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2022Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367.

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2021Information 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.

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2021Price 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.

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2022Market 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.

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2022Data?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.

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2022Nonlinear 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.

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2022A 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.

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2022Estimation 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.

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2022Johansen?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.

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2021Cryptocurrency shocks. (2021). Serletis, Apostolos ; Rahman, Sajjadur ; Liu, Jinan. In: Manchester School. RePEc:bla:manchs:v:89:y:2021:i:2:p:190-202.

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2021Discovering 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.

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2022Volatility 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.

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2021The 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.

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2022Identification 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.

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2022The 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.

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2022Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171.

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2021Identification 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.

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2021Estimation 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.

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2022How 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.

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2022Explaining 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.

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2021Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102.

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2021Aplicación 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.

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2021Monetary 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.

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2021Long-run economic determinants of asylum applications. (2021). Karaman Örsal, Deniz ; Deniz Dilan Karaman , . In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00087.

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2022Effectiveness 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.

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2022Analysis 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.

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2022The 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.

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2022The 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.

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2021Fiscal 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.

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2021Long-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.

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2021Does 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.

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2022A 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.

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2021Modelling 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.

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2021Principal 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.

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2022Variational 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.

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2022Markov-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.

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2022Do 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.

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2022Directed 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.

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2022Proxy 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.

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2021COVID-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.

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2021Fiscal 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.

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2021Price convergence: Representation and testing. (2021). Garcia-Hiernaux, Alfredo ; Guerrero, David E. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002303.

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2021Sharing 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.

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2021Nonlinearity 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.

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2021The 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.

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2022Rigid 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.

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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.

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2021Identification 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.

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2021Using 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.

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2021Inference 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.

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2021A panel cointegrating rank test with structural breaks and cross-sectional dependence. (2021). Karaman Örsal, Deniz ; Deniz Dilan Karaman , ; Arsova, Antonia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:107-129.

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2022Estimation 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.

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2021Eatery, 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.

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2021Does 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.

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2021Oil 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.

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2022Facts and fiction in oil market modeling. (2022). Kilian, Lutz. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001499.

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2021The 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.

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2022Consumers’ 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.

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2022An 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.

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2022Escape 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.

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2022Detecting 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.

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2021Do 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.

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2021Effects 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.

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2022Re-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.

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2021Wood 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.

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2022Modelling 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.

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2021Market 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.

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2021Asset 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.

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2022Asset 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.

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2021Modeling 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.

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2021A 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.

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2022Modeling 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.

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2021The state-dependent trading behavior of banks in the oil futures market. (2021). Rieth, Malte ; Velinov, Anton ; Bierbaumer, Daniel. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:1011-1024.

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2021Spectral factor models. (2021). Tamoni, Andrea ; Lo, Andrew W ; Chaudhuri, Shomesh E ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:214-238.

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2021Exchange rates, foreign currency exposure and sovereign risk. (2021). Bernoth, Kerstin ; Herwartz, Helmut. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621001054.

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2021Cross-stock market spillovers through variance risk premiums and equity flows. (2021). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001315.

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2022Cyclical drivers of euro area consumption: What can we learn from durable goods?. (2022). Krustev, Georgi ; Casalis, André. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560620301972.

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2022EME financial conditions: Which global shocks matter?. (2022). Manu, Ana-Simona ; Lodge, David. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001303.

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2022ECB monetary policy and bank default risk?. (2022). Vander Vennet, Rudi ; Soenen, Nicolas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002229.

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2022Uncertainty-dependent and sign-dependent effects of oil market shocks. (2022). Okimoto, Tatsuyoshi ; Tran, Trung Duc ; Nguyen, Bao H. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000404.

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More than 100 citations found, this list is not complete...

Helmut Lütkepohl has edited the books:


YearTitleTypeCited

Works by Helmut Lütkepohl:


YearTitleTypeCited
1981Michael Leserer - Grundlagen der Ökonometrie In: German Journal of Agricultural Economics.
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article0
2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review In: Lodz Economics Working Papers.
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2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review.(2018) In: Discussion Papers of DIW Berlin.
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2020Constructing joint confidence bands for impulse response functions of VAR models – A review.(2020) In: Econometrics and Statistics.
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1996Specification of Echelon-Form VARMA Models. In: Journal of Business & Economic Statistics.
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article40
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
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article207
2001Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers.
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paper
1984Forecasting Contemporaneously Aggregated Vector ARMA Processes. In: Journal of Business & Economic Statistics.
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article32
1986Forecasting Vector ARMA Processes with Systematically Missing Observations. In: Journal of Business & Economic Statistics.
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article0
1989Prediction Tests for Structural Stability of Multiple Time Series. In: Journal of Business & Economic Statistics.
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article0
2010Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance In: German Economic Review.
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article10
2010Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2010) In: German Economic Review.
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article
2006Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2006) In: CEPR Discussion Papers.
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paper
2006Acquisition of information and share prices: An empirical investigation of cognitive dissonance.(2006) In: Economics Working Papers.
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paper
1997A Review of Nonparametric Time Series Analysis In: International Statistical Review.
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article66
1996A Review of Nonparametric Time Series Analysis.(1996) In: SFB 373 Discussion Papers.
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paper
2016STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY In: Journal of Economic Surveys.
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article7
2014Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity.(2014) In: CESifo Working Paper Series.
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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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paper
2016Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2016) In: EconStor Open Access Articles and Book Chapters.
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This paper has another version. Agregated cites: 7
article
2000Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis.
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article24
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
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article208
2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
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paper
1999Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers.
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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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article23
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers.
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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.
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paper
2011Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity In: Journal of Time Series Analysis.
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article6
2009Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity.(2009) In: Economics Working Papers.
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paper
1982DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA In: Journal of Time Series Analysis.
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article4
1985COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS In: Journal of Time Series Analysis.
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article59
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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article87
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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This paper has another version. Agregated cites: 16
paper
2015Confidence Bands for Impulse Responses: Bonferroni vs. Wald In: Oxford Bulletin of Economics and Statistics.
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article25
2018Choosing Between Different Time?Varying Volatility Models for Structural Vector Autoregressive Analysis In: Oxford Bulletin of Economics and Statistics.
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article13
2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis.(2017) In: Discussion Papers of DIW Berlin.
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paper
2018Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis.(2018) In: EconStor Open Access Articles and Book Chapters.
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article
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 5.–7. April 2000 im Schloss Rauischholzhausen.(2001) In: Perspektiven der Wirtschaftspolitik.
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This paper has another version. Agregated cites: 0
article
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.
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paper0
2011Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index In: Journal of Time Series Econometrics.
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article7
2006Structural Vector Autoregressions with Nonnormal Residuals In: CESifo Working Paper Series.
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paper122
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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paper90
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.
[Citation analysis]
This paper has another version. Agregated cites: 90
article
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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paper7
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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paper45
2012The role of the log transformation in forecasting economic variables.(2012) In: Empirical Economics.
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This paper has another version. Agregated cites: 45
article
2010Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights In: CESifo Working Paper Series.
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paper8
2011Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights.(2011) In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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This paper has another version. Agregated cites: 8
article
2014Confidence Bands for Impulse Responses: Bonferroni versus Wald In: CESifo Working Paper Series.
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paper9
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: VfS 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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paper2
2015Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models.(2015) In: Discussion Papers of DIW Berlin.
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2001The Transmission of German Monetary Policy in the Pre-Euro Period In: CESifo Working Paper Series.
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2003TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD.(2003) In: Macroeconomic Dynamics.
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2003TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD.(2003) In: Macroeconomic Dynamics.
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article
2001The transmission of German monetary policy in the pre-Euro period.(2001) In: SFB 373 Discussion Papers.
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paper
1994Making Wald Tests Work for Cointegrated VAR Systems In: Working Papers.
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paper13
1994Making Wald Tests Work for Cointegrated Var Systems..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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paper
1994Making Wald Tests Work for Cointegrated Var Systems.(1994) 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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paper64
2001COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS.(2001) In: Macroeconomic Dynamics.
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article
1999Comparison of bootstrap confidence intervals for impulse responses of German monetary systems.(1999) In: SFB 373 Discussion Papers.
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paper
1996Testing for Causation Using Infinite Order Vector Autoregressive Processes In: Econometric Theory.
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article33
1996Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory.
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article31
1999LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory.
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article28
1997Local power of likelihood ratio tests for the cointegrating rank of a VAR process.(1997) In: SFB 373 Discussion Papers.
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paper
2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory.
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article185
1998Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers.
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paper
2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory.
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article183
2000Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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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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paper
2005A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES In: Econometric Theory.
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article0
2006BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING In: Econometric Theory.
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1988Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process In: Econometric Theory.
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article4
1991Estimating Orthogonal Impulse Responses via Vector Autoregressive Models In: Econometric Theory.
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article32
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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paper39
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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2012Fundamental Problems with Nonfundamental Shocks In: Discussion Papers of DIW Berlin.
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paper5
2012Reducing Confidence Bands for Simulated Impulse Responses In: Discussion Papers of DIW Berlin.
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paper3
2013Reducing confidence bands for simulated impulse responses.(2013) In: Statistical Papers.
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2012Identifying Structural Vector Autoregressions via Changes in Volatility In: Discussion Papers of DIW Berlin.
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paper4
2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions In: Discussion Papers of DIW Berlin.
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2015Comparison of methods for constructing joint confidence bands for impulse response functions.(2015) In: International Journal of Forecasting.
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2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions.(2013) In: SFB 649 Discussion Papers.
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2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions.(2013) In: MAGKS Papers on Economics.
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2014Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey In: Discussion Papers of DIW Berlin.
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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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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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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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2016Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions In: Discussion Papers of DIW Berlin.
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2016Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions.(2016) In: SFB 649 Discussion Papers.
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2016Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions.(2016) In: MAGKS Papers on Economics.
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2018Calculating joint confidence bands for impulse response functions using highest density regions.(2018) In: Empirical Economics.
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2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin.
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2020Inference in partially identified heteroskedastic simultaneous equations models.(2020) In: Journal of Econometrics.
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2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers.
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2017Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions In: Discussion Papers of DIW Berlin.
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2018Estimation of structural impulse responses: short-run versus long-run identifying restrictions.(2018) In: AStA Advances in Statistical Analysis.
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2017Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions.(2017) In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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2017Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity In: Discussion Papers of DIW Berlin.
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2020Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity.(2020) In: Journal of Economic Dynamics and Control.
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2018The Relation between Monetary Policy and the Stock Market in Europe In: Discussion Papers of DIW Berlin.
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2018The Relation between Monetary Policy and the Stock Market in Europe.(2018) In: Econometrics.
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2018Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH In: Discussion Papers of DIW Berlin.
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paper2
2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH.(2019) In: Journal of Economic Dynamics and Control.
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2018Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models In: Discussion Papers of DIW Berlin.
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paper3
2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: EconStor Open Access Articles and Book Chapters.
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2020Structural Vector Autoregressive Models with More Shocks than Variables Identi?ed via Heteroskedasticity In: Discussion Papers of DIW Berlin.
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2020Heteroskedastic Proxy Vector Autoregressions In: Discussion Papers of DIW Berlin.
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2022Heteroscedastic Proxy Vector Autoregressions.(2022) In: Journal of Business & Economic Statistics.
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.() In: .
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2020A Simple Instrument for Proxy Vector Autoregressive Analysis In: Discussion Papers of DIW Berlin.
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2020An Alternative Bootstrap for Proxy Vector Autoregressions In: Discussion Papers of DIW Berlin.
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2020An Alternative Bootstrap for Proxy Vector Autoregressions.(2020) In: University of East Anglia School of Economics Working Paper Series.
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