Helmut Lütkepohl : Citation Profile


Are you Helmut Lütkepohl?

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

30

H index

59

i10 index

3131

Citations

RESEARCH PRODUCTION:

92

Articles

137

Papers

2

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1981 - 2018). See details.
   Cites by year: 84
   Journals where Helmut Lütkepohl has often published
   Relations with other researchers
   Recent citing documents: 196.    Total self citations: 87 (2.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plt2
   Updated: 2020-05-23    RAS profile: 2020-02-06    
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Relations with other researchers


Works with:

Winker, Peter (19)

Staszewska-Bystrova, Anna (19)

Netšunajev, Aleksei (11)

Schlaak, Thore (4)

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 (102)

Koukouritakis, Minoas (53)

Tiwari, Aviral (46)

Kilian, Lutz (39)

rey, serge (32)

Wolters, Juergen (32)

Mehrotra, Aaron (31)

Dreger, Christian (30)

Trenkler, Carsten (29)

Inoue, Atsushi (28)

Panagiotidis, Theodore (28)

Cites to:

Lanne, Markku (64)

Saikkonen, Pentti (59)

Sims, Christopher (54)

Kilian, Lutz (52)

Watson, Mark (44)

Stock, James (44)

Johansen, Soren (37)

Zha, Tao (32)

Rigobon, Roberto (28)

Hendry, David (26)

Normandin, Michel (25)

Main data


Where Helmut Lütkepohl has published?


Journals with more than one article published# docs
Journal of Econometrics16
Economics Letters9
Journal of Time Series Analysis6
Journal of Economic Dynamics and Control5
Journal of Business & Economic Statistics5
Empirical Economics5
Statistical Papers4
Econometric Theory4
International Journal of Forecasting4
Oxford Bulletin of Economics and Statistics4
Econometrics Journal3
Perspektiven der Wirtschaftspolitik2
German Economic Review2
The Review of Economics and Statistics2
AStA Advances in Statistical Analysis2
Journal of Applied Econometrics2

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 Research20
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
MPRA Paper / University Library of Munich, Germany2
MAGKS Papers on Economics / Philipps-Universitt Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)2

Recent works citing Helmut Lütkepohl (2019 and 2018)


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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2017Testing of the Seasonal Unit Root Hypothesis in the Price Indices of Agricultural Commodities in India. (2017). Tiwari, Aviral ; Dash, Aruna Kumar ; Aviral, Subhendu Dutta. In: Asian Journal of Agriculture and Development. RePEc:ags:phajad:265766.

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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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2018The Relationship among Economic Growth, Trade, Unemployment, and Inflation in South Asia: A Vector Autoregressive Model Approach. (2018). Nguyen, Anh Tru. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2018:p:165-172.

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2019Inference for Impulse Responses under Model Uncertainty. (2019). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2018Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity. (2018). Wo, Tomasz ; Lutkepohl, Helmut. In: Papers. RePEc:arx:papers:1811.08167.

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2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

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2019Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: Papers. RePEc:arx:papers:1912.12527.

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2020Modeling High-Dimensional Unit-Root Time Series. (2020). Gao, Zhaoxing ; Tsay, Ruey S. In: Papers. RePEc:arx:papers:2005.03496.

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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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2019The Nexus between Government Expenditure and Revenue in Tanzania. (2019). Kazungu, Khatibu. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2019:p:158-170.

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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19118.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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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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2019Understanding the Consumer Confidence Index in Colombia: A structural FAVAR analysis. (2019). Cárdenas Hurtado, Camilo ; Hernandez-Montes, Maria Alejandra ; Cardenas-Hurtado, Camilo Alberto. In: Borradores de Economia. RePEc:bdr:borrec:1063.

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2019Migración internacional y determinantes de las remesas de trabajadores en Colombia. (2019). Montes-Uribe, Enrique ; Garavito, Aaron ; Hernandez-Bejarano, Manuel Dario ; Collazos-Gaitan, Maria Mercedes ; Garavito-Acosta, Aaron Levi. In: Borradores de Economia. RePEc:bdr:borrec:1066.

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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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2018On the China factor in international oil markets: A regime switching approach. (2018). Cross, Jamie ; Nguyen, Bao H ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0069.

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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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2018Fiscal Sustainability in the EU After the Global Crisis: Is there any Progress?. (2018). Wysocki, Maciej ; Wojcik, Cezary. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7230.

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2020ifo Handbuch der Konjunkturumfragen. (2020). Sauer, Stefan ; Wohlrabe, Klaus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:88.

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2019The Political Economy of Foreign Aid and Growth:Theory and Evidence. (2019). Seror, Avner ; Mehmood, Sultan . In: Working Papers. RePEc:chu:wpaper:19-10.

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2018Una evaluación de la estrategia de inflación objetivo en Colombia. (2018). Pardo, German Oswaldo ; Clavijo, Pedro Hugo. In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:016493.

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2019Mind the gap! Stylized dynamic facts and structural models. (2019). ferroni, filippo ; Canova, Fabio. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13948.

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

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2018Monetary Policy, External Instruments and Heteroskedasticity. (2018). Schlaak, Thore ; Rieth, Malte ; Podstawski, Maximilian. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1749.

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2019Exchange Rates, Foreign Currency Exposure and Sovereign Risk. (2019). Bernoth, Kerstin ; Herwartz, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1792.

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2019External debts, current account balance and exchange rates in emerging countries. (2019). Bouraoui, Taoufik. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00062.

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2019EME financial conditions: which global shocks matter?. (2019). Manu, Ana-Simona ; Lodge, David. In: Working Paper Series. RePEc:ecb:ecbwps:20192282.

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2020Cyclical drivers of euro area consumption: what can we learn from durable goods?. (2020). Krustev, Georgi ; Casalis, André. In: Working Paper Series. RePEc:ecb:ecbwps:20202386.

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2020An Empirical Study in Albania of Foreign Direct Investments and Economic Growth Relationship. (2020). Cakerri, Lorena ; Madani, Filloreta ; Muharremi, Oltiana. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-21.

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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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2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

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2019Do denominations of origin provide useful quality signals? The case of Bordeaux wines. (2019). Cardebat, Jean-Marie ; Alston, Julian M ; Livat, Florine. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:518-532.

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2019Steady state adjusting trends using a data-driven local polynomial regression. (2019). Fritz, Marlon. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:312-325.

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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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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). Shintani, Mototsugu ; Okui, Ryo ; Lee, Yoon-Jin . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:147-158.

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2018A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes. (2018). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:258-278.

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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441.

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2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. (2020). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:198-215.

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2019Testing subspace Granger causality. (2019). Al-Sadoon, Majid M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:42-61.

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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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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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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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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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2018Understanding the US natural gas market: A Markov switching VAR approach. (2018). Hou, Chenghan ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:42-53.

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2019Price and volatility spillovers across the international steam coal market. (2019). , Marco ; Ciner, Cetin ; Brzeszczynski, Janusz ; Batten, Jonathan A ; Yarovaya, Larisa ; Lucey, Brian. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:119-138.

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2019Asymmetric reactions of the US natural gas market and economic activity. (2019). Okimoto, Tatsuyoshi ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:86-99.

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2019Energy and economic growth in the USA two decades later: Replication and reanalysis. (2019). Leiva, Benjamin ; Liu, Zhongyuan. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:89-99.

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2019The asymmetric role of shadow economy in the energy-growth nexus in Bolivia. (2019). Shahbaz, Muhammad ; Miloudi, Anthony ; Lahiani, Amine ; Benkraiem, Ramzi. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:405-417.

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2019The role of natural gas consumption in Saudi Arabias output and its implication for trade and environmental quality. (2019). Akadiri, Seyi ; Gungor, Hasan . In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:230-238.

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2019Policy measures targeting a more integrated gas market: Impact of a merger of two trading zones on prices and arbitrage activity in France. (2019). MASSOL, Olivier ; Dukhanina, Ekaterina ; Leveque, Franois. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:583-593.

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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). Lin, Boqiang ; Gong, XU. In: Energy. RePEc:eee:energy:v:149:y:2018:i:c:p:424-437.

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2019Today I got a million, tomorrow, I dont know: On the predictability of cryptocurrencies by means of Google search volume. (2019). Dimpfl, Thomas ; Bleher, Johannes. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:147-159.

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2018The impact of Chinese financial markets on commodity currency exchange rates. (2018). Ma, Xiuying ; Wang, Chengqi ; Xu, Xiangyun ; Yang, Zhihua. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:186-198.

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2018Shocks to the international prices of agricultural commodities and the effects on welfare and poverty. A simulation of the ex ante long-run effects for Uruguay. (2018). Moncarz, Pedro ; Descalzi, Ricardo ; Barone, Sergio. In: International Economics. RePEc:eee:inteco:v:156:y:2018:i:c:p:136-155.

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2019Forecasting the exchange rate using nonlinear Taylor rule based models. (2019). Stamatogiannis, Michalis P ; Morley, Bruce ; Wang, Rudan. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:429-442.

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2020Forecasting inflation with online prices. (2020). Aparicio, Diego ; Bertolotto, Manuel I. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:232-247.

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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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2019Characterizing the financial cycle: Evidence from a frequency domain analysis. (2019). Wolters, Jurgen ; Proao, Christian R ; Strohsal, Till. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:568-591.

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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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2018The balance sheet effects of oil market shocks: An industry level analysis. (2018). Elfayoumi, Khalid. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:112-127.

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2018Price discovery in euro area sovereign credit markets and the ban on naked CDS. (2018). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:106-125.

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2019Market reactions to ECB policy innovations: A cross-country analysis. (2019). Pacicco, Fausto ; Venegoni, Andrea ; Vena, Luigi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:126-137.

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2020Model specification and selection for multivariate time series. (2020). Bhansali, Rajendra J. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x18303762.

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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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2019The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy. (2019). Souza, Francisca Mendona ; de Souza, Claudia Aline ; da Silva, Wesley Vieira ; da Veiga, Claudimar Pereira. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:9-21.

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2019The investment-uncertainty relationship in the oil and gas industry. (2019). Manera, Matteo ; Sadeghzadeh, Mehdi ; Ahmadi, Maryam. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:52.

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2018Whether the fluctuation of China’s financial markets have impact on global commodity prices?. (2018). Liao, Jia ; Xu, Xiangyun ; Qian, QI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1030-1040.

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2019Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 Index. (2019). Busu, Mihail. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119304340.

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2019Forecasting with a hybrid method utilizing data smoothing, a variation of the Theta method and shrinkage of seasonal factors. (2019). Nikolopoulos, Konstantinos ; Assimakopoulos, Vassilios ; Spiliotis, Evangelos. In: International Journal of Production Economics. RePEc:eee:proeco:v:209:y:2019:i:c:p:92-102.

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2018The validation of Granger causality through formulation and use of finance-growth-energy indexes. (2018). Khan, Abid ; Saeed, Muhammad Daniel ; Hayat, Farah. 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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2019Does the long-run monetary model hold for Sub-Saharan Africa? A time series and panel-cointegration study. (2019). Ibhagui, Oyakhilome W. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:279-303.

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2018A power comparison between autocorrelation based tests. (2018). RAÏSSI, HAMDI ; Raissi, Hamdi ; Khardani, Salah ; ben Hajria, Raja. In: Statistics & Probability Letters. RePEc:eee:stapro:v:143:y:2018:i:c:p:1-6.

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2018Crowding-out or crowding-in? Public and private investment in India. (2018). Raissi, Mehdi ; Tulin, Volodymyr ; Bahal, Girish. In: World Development. RePEc:eee:wdevel:v:109:y:2018:i:c:p:323-333.

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2020Merchandise exports and economic growth: multivariate time series analysis for the United Arab Emirates. (2020). Chamberlain, Trevor W ; Kalaitzi, Athanasia S. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:103781.

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2017Historical energy price shocks and their changing effects on the economy. (2017). Fouquet, Roger ; van De, Dirk Jan . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68778.

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2018Identifying cointegration by eigenanalysis. (2018). Robinson, Peter ; Zhang, Rongmao ; Yao, Qiwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87431.

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2018Potential consequences of a CO2 aviation tax in Mexico on the demand for tourism. (2018). Caballero, Karina ; Beltran, Allan ; Galindo, Luis Miguel. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90247.

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2018Environmentally sustainable investment: Dynamics between global thematic indices. (2018). Gabriel, Vitor . In: Cuadernos de Gestión. RePEc:ehu:cuader:30018.

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2019The relevance of wholesale electricity market places: the Nordic case. (2019). Spodniak, Petr ; Honkapuro, Samuli ; Ollikka, Kimmo. In: Papers. RePEc:esr:wpaper:wp631.

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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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2017Historical and Variance Decomposition for Oil Price, Oil Consumption, OPEC and Non-OPEC Oil Production. (2017). Rezaei, Mehdi ; Fattahi, Shahram ; Azami, Somayeh. In: Iranian Economic Review (IER). RePEc:eut:journl:v:21:y:2017:i:3:p:519.

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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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paper0
2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review.(2018) In: Discussion Papers of DIW Berlin.
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This paper has another version. Agregated cites: 0
paper
1996Specification of Echelon-Form VARMA Models. In: Journal of Business & Economic Statistics.
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article35
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article175
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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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.
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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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article11
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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This paper has another version. Agregated cites: 11
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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article51
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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article6
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.
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This paper has another version. Agregated cites: 6
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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article2
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
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article183
2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
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This paper has another version. Agregated cites: 183
paper
1999Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 183
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]
This paper has another version. Agregated cites: 15
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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This paper has another version. Agregated cites: 15
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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paper
1982DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA In: Journal of Time Series Analysis.
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article1
1985COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS In: Journal of Time Series Analysis.
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article7
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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article73
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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article9
2018Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis In: Oxford Bulletin of Economics and Statistics.
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article5
2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis.(2017) In: Discussion Papers of DIW Berlin.
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This paper has another version. Agregated cites: 5
paper
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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article5
2006Structural Vector Autoregressions with Nonnormal Residuals In: CESifo Working Paper Series.
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paper1
2006Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series.
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paper1
2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis In: CESifo Working Paper Series.
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paper4
2009The Role of the Log Transformation in Forecasting Economic Variables In: CESifo Working Paper Series.
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paper5
2010Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights In: CESifo Working Paper Series.
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paper3
2014Confidence Bands for Impulse Responses: Bonferroni versus Wald In: CESifo Working Paper Series.
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paper5
2014Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity In: CESifo Working Paper Series.
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paper4
2015Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models In: CESifo Working Paper Series.
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paper1
2001The Transmission of German Monetary Policy in the Pre-Euro Period In: CESifo Working Paper Series.
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paper3
1999Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems In: CEPR Discussion Papers.
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paper47
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: 47
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.
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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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article27
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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paper28
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: 28
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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paper19
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
2015Comparison of methods for constructing joint confidence bands for impulse response functions.(2015) In: International Journal of Forecasting.
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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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paper2
2014Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey.(2014) In: SFB 649 Discussion Papers.
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2014Confidence Bands for Impulse Responses: Bonferroni versus Wald In: Discussion Papers of DIW Berlin.
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paper9
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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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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paper6
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
2015Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models In: Discussion Papers of DIW Berlin.
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paper1
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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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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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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paper0
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: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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paper
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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paper2
2018The Relation between Monetary Policy and the Stock Market in Europe.(2018) In: Econometrics.
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This paper has another version. Agregated cites: 2
article
2018Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH In: Discussion Papers of DIW Berlin.
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paper0
2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH.(2019) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 0
article
2018Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 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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article54
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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paper161
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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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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2003Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2003) In: Journal of Econometrics.
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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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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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2009Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal.
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article10
2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers.
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paper
1998Estimating the Kronecker indices of cointegrated echelon-form VARMA models In: Econometrics Journal.
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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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article71
2000Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers.
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paper
1992Impulse response analysis of cointegrated systems In: Journal of Economic Dynamics and Control.
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article175
2010Structural vector autoregressions with Markov switching In: Journal of Economic Dynamics and Control.
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article82
2009Structural Vector Autoregressions with Markov Switching.(2009) In: Economics Working Papers.
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paper
2016Testing for identification in SVAR-GARCH models In: Journal of Economic Dynamics and Control.
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article7
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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article2
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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paper
1983Non-linear least squares estimation under non-linear equality constraints In: Economics Letters.
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article0
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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article44
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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article65
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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article39
2001Unit root tests for time series with level shifts: A comparison of different proposals.(2001) In: SFB 373 Discussion Papers.
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paper
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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article3
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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article18
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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article14
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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article37
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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1984Linear transformations of vector ARMA processes In: Journal of Econometrics.
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article42
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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1996Specification of varying coefficient time series models via generalized flexible least squares In: Journal of Econometrics.
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1997Modified Wald tests under nonregular conditions In: Journal of Econometrics.
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article45
1997Analysis of cointegrated VARMA processes In: Journal of Econometrics.
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1997Nonparametric dynamic modelling In: Journal of Econometrics.
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1997Impulse response analysis in infinite order cointegrated vector autoregressive processes In: Journal of Econometrics.
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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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2011Forecasting levels of log variables in vector autoregressions In: International Journal of Forecasting.
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2009Forecasting Levels of log Variables in Vector Autoregressions.(2009) In: Economics Working Papers.
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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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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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article14
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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