Helmut Lütkepohl : Citation Profile


Are you Helmut Lütkepohl?

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

35

H index

71

i10 index

5976

Citations

RESEARCH PRODUCTION:

115

Articles

152

Papers

3

Books

25

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   42 years (1981 - 2023). See details.
   Cites by year: 142
   Journals where Helmut Lütkepohl has often published
   Relations with other researchers
   Recent citing documents: 157.    Total self citations: 123 (2.02 %)

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   Permalink: http://citec.repec.org/plt2
   Updated: 2024-01-16    RAS profile: 2023-09-10    
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Relations with other researchers


Works with:

Boer, Lukas (3)

Boer, Lukas (3)

Saikkonen, Pentti (2)

Schlaak, Thore (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 (146)

Kilian, Lutz (126)

Inoue, Atsushi (71)

Tiwari, Aviral (58)

Koukouritakis, Minoas (56)

Panagiotidis, Theodore (51)

Weber, Enzo (49)

Trenkler, Carsten (43)

Ihle, Rico (43)

Panagiotidis, Theodore (42)

rey, serge (41)

Cites to:

Lanne, Markku (67)

Kilian, Lutz (64)

Saikkonen, Pentti (63)

Stock, James (57)

Watson, Mark (55)

Sims, Christopher (53)

Johansen, Soren (36)

Rigobon, Roberto (34)

Phillips, Peter (32)

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
Journal of Business & Economic Statistics6
Empirical Economics6
Oxford Bulletin of Economics and Statistics4
International Journal of Forecasting4
Statistical Papers4
Econometrics Journal3
EconStor Open Access Articles and Book Chapters3
Macroeconomic Dynamics3
Journal of Applied Econometrics2
AStA Advances in Statistical Analysis2
The Review of Economics and Statistics2
Journal of Applied Econometrics2
Perspektiven der Wirtschaftspolitik2
Econometrics and Statistics2

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
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research28
Economics Working Papers / European University Institute27
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany11
CESifo Working Paper Series / CESifo9
University of East Anglia School of Economics Working Paper Series / School of Economics, University of East Anglia, Norwich, UK.4
Econometric Society World Congress 2000 Contributed Papers / Econometric Society3
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
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics2

Recent works citing Helmut Lütkepohl (2024 and 2023)


YearTitle of citing document
2023.

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2023Causal inference with (partially) independent shocks and structural signals on the global crude oil market. (2023). Wang, Shu ; Herwartz, Helmut ; Hafner, Christian M. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023004.

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2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2023Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218.

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2023Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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2023Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066.

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2023Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994.

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2023Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117.

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2023Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

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2023Impulse Response Analysis for Structural Nonlinear Time Series Models. (2023). Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2305.19089.

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2023Temporal Data Meets LLM -- Explainable Financial Time Series Forecasting. (2023). Lu, Yanbin ; Liu, Zongyi ; Dong, Shujing ; Ling, Yuan ; Chen, Zheng ; Yu, Xinli. In: Papers. RePEc:arx:papers:2306.11025.

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2023Propagation of carbon tax in credit portfolio through macroeconomic factors. (2023). Sopgoui, Lionel ; Jacquier, Antoine ; Ibbou, Smail ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine. In: Papers. RePEc:arx:papers:2307.12695.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

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2023Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821.

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2023Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation. (2023). Tanaka-Ishii, Kumiko ; Moriyama, Kai ; Du, Xin. In: Papers. RePEc:arx:papers:2310.14536.

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2023Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2023Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models. (2023). Gaglianone, Wagner ; Moreira, Marta Baltar. In: Working Papers Series. RePEc:bcb:wpaper:574.

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2023Evaluating Policy Institutions -150 Years of US Monetary Policy-. (2023). Mesters, Geert ; Barnichon, Regis. In: Working Papers. RePEc:bge:wpaper:1410.

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2023.

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2023Co?movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies. (2023). Yunus, Nafeesa. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:393-436.

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2023A new unique impulse response function in linear vector autoregressive models. (2023). Shi, Yanlin. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:460-468.

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2023.

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2023Income distribution and economic activity: A frequency domain causal exploration. (2023). Mohammed, Mikidadu ; von Arnim, Rudiger ; Barralesruiz, Jose. In: Metroeconomica. RePEc:bla:metroe:v:74:y:2023:i:2:p:306-327.

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2023The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter. (2023). Iwata, Yasuharu ; Iiboshi, Hirokuni. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:830-858.

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2023Carry trades and US monetary policy. (2023). Falconio, Andrea. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:237-248.

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2023.

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2023Characterizing G-multipliers in Canada. (2022). Rouillard, Jean-Franois ; Richard, Patrick ; Khan, Hashmat ; Dabire, Fabrice. In: Carleton Economic Papers. RePEc:car:carecp:21-14.

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2023The Price of War: Macroeconomic and Cross-Sectional Effects of Sanctions on Russia. (2023). Pestova, Anna ; Mamonov, Mikhail. In: CERGE-EI Working Papers. RePEc:cer:papers:wp756.

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2023SECTORAL ELECTRICITY CONSUMPTION AND ECONOMIC GROWTH IN INDIA: AN EMPIRICAL STUDY FROM 1970 TO 2016.. (2023). Behera, Jaganath. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:23:y:2023:i:2_7.

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2023Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842.

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2023China’s footprint in global financial markets. (2023). Manu, Ana-Simona ; Lodge, David ; van Robays, Ine. In: Working Paper Series. RePEc:ecb:ecbwps:20232861.

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2023Analysis and Modeling Gross Domestic Product, Carbon Dioxide Emission, Population Growth, and Life Expectancy at Birth: Case Study in Qatar. (2023). , Faiz ; Faisol, Ahmad ; Usman, Mustofa ; Hasnawati, Sri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-53.

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2023Dynamic Modeling and Analysis of Some Energy Companies of Indonesia Over the Year 2018 to 2022 By Using VAR(p)-CCC GARCH(r,s) Model: -. (2023). Warsono, Warsono ; Sidiq, Ahmad ; Russel, Edwin ; Nurhanurawati, Nurhanurawati ; Komarudin, M ; Usman, Mustofa ; F. A. M Elfaki, . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-55.

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2023Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362.

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2023Fiscal sustainability, monetary policy and economic growth in the Euro Area: In search of the ultimate causal path. (2023). Vides, Jose Carlos ; Sanchez-Fuentes, Jesus A ; Golpe, Antonio A. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1026-1045.

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2023Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304.

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2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

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2023Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300.

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2023Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201.

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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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2023Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604.

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2023Evidence on monetary transmission and the role of imperfect information: Interest rate versus inflation target shocks. (2023). Rabitsch, Katrin ; Lukmanova, Elizaveta. In: European Economic Review. RePEc:eee:eecrev:v:158:y:2023:i:c:s001429212300185x.

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2023Data-driven support for policy and decision-making in university research management: A case study from Germany. (2023). Lessmann, Stefan ; Hardle, Wolfgang Karl ; Zharova, Alona. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:353-368.

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2023The hard road to a soft landing: Evidence from a (modestly) nonlinear structural model. (2023). Verbrugge, Randal ; Zaman, Saeed. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002311.

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2023The macroeconomic effects of oil price uncertainty. (2023). Abiad, Abdul ; Qureshi, Irfan A. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003377.

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2023A broader perspective on the inflationary effects of energy price shocks. (2023). Kilian, Lutz ; Zhou, Xiaoqing. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003912.

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2023Estimating and forecasting the impact of nonrenewable energy prices on US renewable energy consumption. (2023). Madraki, Golshan ; Lin, Guoyu ; Mette, Jehu ; Atems, Bebonchu. In: Energy Policy. RePEc:eee:enepol:v:173:y:2023:i:c:s0301421522005936.

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2023What factors contribute to the extent of decoupling economic growth and energy carbon emissions in China?. (2023). Li, Pin ; Sun, Feihu ; Gong, Ningyu ; Xie, Pinjie ; Pan, Xianyou. In: Energy Policy. RePEc:eee:enepol:v:173:y:2023:i:c:s0301421523000010.

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2023Does the increased electricity consumption (provided by capacity expansion and/or reliability improvement) cause economic growth?. (2023). Paaso, Esa A ; Rahmatian, Farnoosh ; Pandey, Shikhar ; Shakouri, Hamed. In: Energy Policy. RePEc:eee:enepol:v:182:y:2023:i:c:s0301421523002896.

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2023Domestic macroeconomic determinants of precious metals prices in developed and emerging economies: An international analysis of the long and short run. (2023). O'Connor, Fergal ; Usman, Hafiz Muhammad. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003290.

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2023Modeling volatility and dependence of European carbon and energy prices. (2023). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006791.

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2023Advertising’s sequence of effects on consumer mindset and sales: A comparison across brands and product categories. (2023). Pauwels, Koen ; Srinivasan, Shuba ; Vanhuele, Marc ; Yildirim, Gokhan ; Valenti, Albert. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:40:y:2023:i:2:p:435-454.

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2023Penalized estimation of panel vector autoregressive models: A panel LASSO approach. (2023). Camehl, Annika. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1185-1204.

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2023Model combinations through revised base rates. (2023). Panagiotelis, Anastasios ; Spiliotis, Evangelos ; Petropoulos, Fotios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1477-1492.

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2023A macrohistory of legal evolution and coevolution: Property, procedure, and contract in early-modern English caselaw. (2023). Grajzl, Peter ; Murrell, Peter. In: International Review of Law and Economics. RePEc:eee:irlaec:v:73:y:2023:i:c:s0144818822000692.

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2023The impact of bank lending standards on credit to firms. (2023). Trimarchi, Lorenzo ; Soggia, Giovanni ; Ricci, Lorenzo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s0378426623001048.

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2023Household deposits and consumer sentiment expectations: Evidence from Eurozone. (2023). Tsouknidis, Dimitris ; Louhichi, Wael ; Ftiti, Zied ; Anastasiou, Dimitris. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001784.

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2023Monetary policy and information shocks in a block-recursive SVAR. (2023). Seepe, Andre ; Hetzenecker, Stephan ; Keweloh, Sascha A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931.

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2023Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model. (2023). Semmler, Willi ; Lucidi, Francesco Simone. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000805.

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2023Information effects of monetary policy announcements on oil price. (2023). Chen, Sanpan ; Zhang, Jiqiang ; Yang, Yang. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000265.

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2023An anatomy of external shocks in the Andean region. (2023). Díaz-Cassou, Javier ; Carrillo-Maldonado, Paul ; Diaz-Cassou, Javier. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000075.

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2023Natural resources and economic performance: Understanding the volatilities caused by financial, political and economic risk in the context of China. (2023). Wei, Xuecheng ; Ghardallou, Wafa ; Li, Zeyun ; Zheng, Jingling. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004087.

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2023Validating resources curse hypothesis in US: Exploring the relevancy of financial market risk and technology innovation. (2023). Zhu, Mingqi. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004804.

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2023Remittances and energy poverty: Fresh evidence from developing countries. (2023). Kamguia, Brice ; Tadadjeu, Sosson ; Njangang, Henri ; Djeunankan, Ronald. In: Utilities Policy. RePEc:eee:juipol:v:81:y:2023:i:c:s0957178723000280.

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2023A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico. (2023). Campos, Rodolfo ; Molina, Luis ; Berganza, Juan Carlos ; Andresescayola, Erik. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000333.

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2023Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices. (2023). Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s037843712300136x.

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2023Inflation volatility: A Bayesian approach. (2023). Nyiwul, Linus ; Koirala, Niraj P. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:1:p:185-201.

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2023Environmental feasibility of a gradual shift from fossil fuels to renewable energy in India: Evidence from multiple structural breaks cointegration. (2023). Asif, Mohammad ; Dar, Javaid. In: Renewable Energy. RePEc:eee:renene:v:202:y:2023:i:c:p:589-601.

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2023US trade policy uncertainty on Chinese agricultural imports and exports: An aggregate and product-level analysis. (2023). Wang, Jie ; Fan, Jiachuan ; Yu, Mingzhe. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:70-83.

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2023Analysis of the impact of university policies on societys environmental perception. (2023). Marti, Luisa ; Guaita-Martinez, Jose M ; Puertas, Rosa. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:88:y:2023:i:c:s0038012123001842.

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2023Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models. (2023). Rodríguez, Gabriel ; Jimenez, Alvaro ; Ataurima Arellano, Miguel. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:64:y:2023:i:c:p:314-332.

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2023An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia. (2023). Hensher, David A ; Zeng, Jingjing ; Li, Zheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:169:y:2023:i:c:s0965856423000149.

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2023On consistency and sparsity for high-dimensional functional time series with application to autoregressions. (2023). Qiao, Xinghao ; Guo, Shaojun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114638.

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2023Monetary tightening in the Euro Area: Implications for residential investment. (2023). McQuinn, Kieran ; Egan, Paul. In: Papers. RePEc:esr:wpaper:wp767.

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2023Post-COVID Inflation Dynamics: Higher for Longer. (2023). Verbrugge, Randal ; Zaman, Saeed. In: Working Papers. RePEc:fip:fedcwq:95478.

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2023Business Cycles and Low-Frequency Fluctuations in the US Unemployment Rate. (2023). Lunsford, Kurt Graden. In: Working Papers. RePEc:fip:fedcwq:96582.

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2023Dynamic Identification Using System Projections and Instrumental Variables. (2022). Mertens, Karel ; Lewis, Daniel. In: Working Papers. RePEc:fip:feddwp:93894.

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2023How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises. (2023). Kilian, Lutz. In: Working Papers. RePEc:fip:feddwp:96517.

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2023Oil Price Shocks and Inflation. (2023). Kilian, Lutz ; Zhou, Xiaoqing. In: Working Papers. RePEc:fip:feddwp:96618.

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2023Causal Vector Autoregression Enhanced with Covariance and Order Selection. (2023). Baranyi, Mate ; Donner, Catherine ; Thompson, William ; Frappier, Valentin ; Ma, Renyuan ; Wang, Haoyu ; Ye, Dongze ; Bolla, Marianna ; Abdelkhalek, Fatma. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:7-:d:1079607.

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2023Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes. (2023). Bauer, Dietmar. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:2:p:11-:d:1128372.

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2023Uncertainty Shocks and Corporate Borrowing Constraints. (2023). Koirala, Niraj P ; Kamara, Ahmed. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:1:p:21-:d:1041499.

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2023Forecasting Methods of Key Ratios and Their Impact in Company’s Value. (2023). Galanos, Christos ; Artsidakis, Stylianos ; Liapis, Angelos. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:140-:d:1075564.

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2023.

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2023Investigating the Nexus between Energy Consumption and Financial Development via Considering Structural Breaks: Empirical Evidence from Argentina. (2023). Taspinar, Nigar ; Ozatac, Nesrin ; Abdelhamid, Abdelati. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:11:p:8482-:d:1153859.

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2023Univariate Forecasting for REITs with Deep Learning: A Comparative Analysis with an ARIMA Model. (2023). Song, Han-Suck ; Axelsson, Birger. In: Working Paper Series. RePEc:hhs:kthrec:2023_010.

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2023Local Projection Based Inference under General Conditions. (2023). Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2023001.

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2023A nexus between fiscal policy and inflation: a case study of Indonesia using SVAR model. (2023). Ann, Julie. In: Public Sector Economics. RePEc:ipf:psejou:v:47:y:2023:i:4:p:477-503.

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2023On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note. (2023). Tessierc, David ; Racicota, Franois-Eric. In: Working Papers. RePEc:ipg:wpaper:2023-001.

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2023The Micro and Macro Effects of Changes in the Potential Benefit Duration. (2023). Jessen, Jonas ; Kluve, Jochen ; Gora, Marek ; Galecka-Burdziak, Ewa. In: IZA Discussion Papers. RePEc:iza:izadps:dp15978.

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2023Investigating Causal Spillovers among International Stock Markets. (2023). Magdalini, Charda ; Konstantina, Pendaraki. In: European Journal of Interdisciplinary Studies. RePEc:jis:ejistu:y:2023:i:01:id:515.

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2023An Alternative Bootstrap for Proxy Vector Autoregressions. (2023). Lutkepohl, Helmut ; Bruns, Martin. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10323-w.

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2023Does political risk undermine environment and economic development in Pakistan? Empirical evidence from China–Pakistan economic corridor. (2023). Ashraf, Junaid. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09434-z.

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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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article
2018Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity In: Papers.
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2017Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity.(2017) 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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article
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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article208
2001Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers.
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paper
2010Structural Vector Autoregressions With Nonnormal Residuals In: Journal of Business & Economic Statistics.
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article133
2006Structural Vector Autoregressions with Nonnormal Residuals.(2006) In: CESifo Working Paper Series.
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paper
2005Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers.
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paper
1984Forecasting Contemporaneously Aggregated Vector ARMA Processes. In: Journal of Business & Economic Statistics.
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article34
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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article69
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: CESifo Working Paper Series.
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paper
2014Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2014) In: Discussion Papers of DIW Berlin.
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paper
2014Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity.(2014) In: SFB 649 Discussion Papers.
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paper
2016Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2016) In: EconStor Open Access Articles and Book Chapters.
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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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article25
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
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article209
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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article24
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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article60
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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article84
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
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paper
2005Practical Problems with Reduced?rank ML Estimators for Cointegration Parameters and a Simple Alternative In: Oxford Bulletin of Economics and Statistics.
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article16
2004Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative.(2004) In: Economics Working Papers.
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paper
2015Confidence Bands for Impulse Responses: Bonferroni vs. Wald In: Oxford Bulletin of Economics and Statistics.
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article28
2018Choosing Between Different Time?Varying Volatility Models for Structural Vector Autoregressive Analysis In: Oxford Bulletin of Economics and Statistics.
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article14
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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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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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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article9
2006Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series.
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paper95
2006Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers.
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2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 95
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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paper52
2012The role of the log transformation in forecasting economic variables.(2012) In: Empirical Economics.
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article
2010Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights In: CESifo Working Paper Series.
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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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article
2014Confidence Bands for Impulse Responses: Bonferroni versus Wald In: CESifo Working Paper Series.
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2014Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: Discussion Papers of DIW Berlin.
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2014Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: SFB 649 Discussion Papers.
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2014Confidence Bands for Impulse Responses: Bonferroni versus Wald.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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2015Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models In: CESifo Working Paper Series.
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2015Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models.(2015) In: Discussion Papers of DIW Berlin.
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paper
2001The Transmission of German Monetary Policy in the Pre-Euro Period In: CESifo Working Paper Series.
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paper33
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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1994Making Wald Tests Work for Cointegrated VAR Systems In: Working Papers.
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1994Making Wald Tests Work for Cointegrated Var Systems..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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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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paper65
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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2018Structural Vector Autoregressive Analysis In: Cambridge Books.
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book546
2017Structural Vector Autoregressive Analysis.(2017) In: Cambridge Books.
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book
1996Testing for Causation Using Infinite Order Vector Autoregressive Processes In: Econometric Theory.
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article34
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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article186
1998Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers.
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2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory.
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article185
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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2005A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES In: Econometric Theory.
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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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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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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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2012Reducing Confidence Bands for Simulated Impulse Responses In: Discussion Papers of DIW Berlin.
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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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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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paper
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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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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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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2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: The Econometrics Journal.
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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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2021Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis In: Discussion Papers of DIW Berlin.
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2021Qualitative versus quantitative external information for proxy vector autoregressive analysis.(2021) In: Journal of Economic Dynamics and Control.
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2021Comparison of Local Projection Estimators for Proxy Vector Autoregressions In: Discussion Papers of DIW Berlin.
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2022Comparison of local projection estimators for proxy vector autoregressions.(2022) In: Journal of Economic Dynamics and Control.
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2021Comparison of Local Projection Estimators for Proxy Vector Autoregressions.(2021) In: University of East Anglia School of Economics Working Paper Series.
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2022Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies In: Discussion Papers of DIW Berlin.
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2022Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies.(2022) In: University of East Anglia School of Economics Working Paper Series.
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2023Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions In: Discussion Papers of DIW Berlin.
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2023Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions.(2023) In: University of East Anglia School of Economics Working Paper Series.
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2004Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time In: Econometrica.
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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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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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