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

70

i10 index

5921

Citations

RESEARCH PRODUCTION:

115

Articles

151

Papers

3

Books

25

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   42 years (1981 - 2023). See details.
   Cites by year: 140
   Journals where Helmut Lütkepohl has often published
   Relations with other researchers
   Recent citing documents: 332.    Total self citations: 123 (2.04 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plt2
   Updated: 2023-11-04    RAS profile: 2023-09-10    
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Relations with other researchers


Works with:

Winker, Peter (5)

Staszewska-Bystrova, Anna (5)

Schlaak, Thore (4)

Boer, Lukas (3)

Netšunajev, Aleksei (3)

Boer, Lukas (3)

Saikkonen, Pentti (3)

Meitz, Mika (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 (125)

Inoue, Atsushi (71)

Tiwari, Aviral (58)

Koukouritakis, Minoas (56)

Panagiotidis, Theodore (51)

Weber, Enzo (49)

Ihle, Rico (43)

Panagiotidis, Theodore (42)

Mehrotra, Aaron (41)

Trenkler, Carsten (41)

Cites to:

Lanne, Markku (65)

Kilian, Lutz (64)

Saikkonen, Pentti (63)

Stock, James (57)

Watson, Mark (55)

Sims, Christopher (52)

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
Statistical Papers4
International Journal of Forecasting4
EconStor Open Access Articles and Book Chapters3
Econometrics Journal3
Macroeconomic Dynamics3
Perspektiven der Wirtschaftspolitik2
AStA Advances in Statistical Analysis2
Journal of Applied Econometrics2
Econometrics and Statistics2
Journal of Applied Econometrics2
The Review of Economics 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 Research27
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
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics2
MAGKS Papers on Economics / Philipps-Universitt Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Helmut Lütkepohl (2023 and 2022)


YearTitle of citing document
2022Determinants of Public Healthcare Investment: Cointegration and Causality Evidence from Pakistan. (2022). Ali, Zulfiqar ; Sultan, Jahanzaib ; Sarwar, Ghulam ; Saleem, Adeel. In: Journal of Economic Impact. RePEc:adx:journl:v:4:y:2022:i:2:p:01-13.

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2022Convergencia del tipo de cambio real, de la tasa de interés y de la tasa de inflación en Argentina. (2022). Descalzi, Ricardo Luis. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4558.

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2022.

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2022American bilateral trade with emerging economies and its influence on world economic recovery post Covid-19: Analysis through VECM. (2022). , Suchitra ; Rangappa, K B ; Chetan, G K. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(633):y:2022:i:4(633):p:41-56.

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2022.

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2023.

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2022Econometric Analysis of Agricultural Raw Material Exports, Exchange Rate and External Reserves in Nigeria. (2022). Asogwa, Benjamin Chijioke ; Abu, Orefi ; Awoderu, Babalola Kayode. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:319344.

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

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

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

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2022Time Series Estimation of the Dynamic Effects of Disaster-Type Shock. (2021). Ng, Serena ; Davis, Richard. In: Papers. RePEc:arx:papers:2107.06663.

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2022Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions. (2021). Read, Matthew. In: Papers. RePEc:arx:papers:2109.10676.

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

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2022Bounds for Treatment Effects in the Presence of Anticipatory Behavior. (2021). Gong, Aibo. In: Papers. RePEc:arx:papers:2111.06573.

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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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2022A portfolio management of a small RES utility with a Structural Vector Autoregressive model of German electricity markets. (2022). Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2205.00975.

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2022A new algorithm for structural restrictions in Bayesian vector autoregressions. (2022). Korobilis, Dimitris. In: Papers. RePEc:arx:papers:2206.06892.

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2022Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. (2022). Yu, Xuewen ; Eisenstat, Eric ; Chan, Joshua. In: Papers. RePEc:arx:papers:2207.03988.

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2022Sparse Bayesian State-Space and Time-Varying Parameter Models. (2022). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:2207.12147.

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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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2022Interpreting and predicting the economy flows: A time-varying parameter global vector autoregressive integrated the machine learning model. (2022). Tian, Ting ; Yang, Haisheng ; Xiong, Zhixi ; Wang, Xueqin ; Jiang, Yukang. In: Papers. RePEc:arx:papers:2209.05998.

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2022A Residuals-Based Nonparametric Variance Ratio Test for Cointegration. (2022). Reichold, Karsten. In: Papers. RePEc:arx:papers:2211.06288.

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

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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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2022Does Foreign Direct Investment Reduce Carbon Emission? Evidence from the Panel of BRICS Countries. (2022). Venkatraja, B. In: Economic Thought journal. RePEc:bas:econth:y:2022:i:4:p:429-451.

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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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2022Monetary Policy Uncertainty in Mexico: An Unsupervised Approach. (2022). Minozzo, Marco ; Perez, Carlos Moreno. In: Working Papers. RePEc:bde:wpaper:2229.

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2022Monetary Policy and Portfolio Flows in an Emerging Market Economy. (2022). López, Martha ; Sarmiento, Miguel ; Rodriguez-Nio, Norberto ; Lopez-Pieros, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1200.

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

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2022Market integration of domestic and imported seafood: Insights from the Sydney Fish Market. (2022). Pascoe, Sean ; Hoshino, Eriko ; Schrobback, Peggy ; Curtotti, Robert . In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:1:p:216-236.

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2022The impacts of price insulation on world wheat markets during the 2022 food price crisis. (2022). Martin, Will ; Minot, Nicholas. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:4:p:753-774.

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2022Is inflation caused by deteriorating inflation expectations or excessive monetary growth?. (2022). Ong, Kian ; Matthews, Kent. In: Economic Affairs. RePEc:bla:ecaffa:v:42:y:2022:i:2:p:259-274.

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2022Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693.

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2022Government Spending Multipliers in Times of Tight and Loose Monetary Policy in New Zealand. (2022). Power, India ; Haug, Alfred A. In: The Economic Record. RePEc:bla:ecorec:v:98:y:2022:i:322:p:249-270.

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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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2022Nonlinear modal regression for dependent data with application for predicting COVID?19. (2022). Ullah, Aman ; Amanullah, ; Yao, Weixin ; Wang, Tao. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:3:p:1424-1453.

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2022A dynamic structural equation approach to estimate the short?term effects of air pollution on human health. (2022). Valentini, Pasquale ; Ippoliti, Luigi ; Gamerman, Dani. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:739-769.

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2022Estimation and inference in adaptive learning models with slowly decreasing gains. (2022). Mayer, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:720-749.

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2022Johansen?type cointegration tests with a Fourier function. (2022). Lee, Junsoo ; Pascalau, Razvan ; Lu, Yan ; Nazlioglu, Saban. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:828-852.

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2022Is autonomous demand really autonomous in the United States? An asymmetric frequency?domain Granger causality approach. (2022). Manera, Carles ; Perezmontiel, Jose A. In: Metroeconomica. RePEc:bla:metroe:v:73:y:2022:i:1:p:78-92.

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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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2022Three Basic Issues that Arise when Using Informational Restrictions in SVARs. (2022). pagan, adrian ; Ouliaris, Sam. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:1-20.

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2022Loans to Different Groups and Economic Activity at Times of Crisis and Growth. (2022). Cafiso, Gianluca. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:594-623.

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2022Estimating Nonlinear Business Cycle Mechanisms with Linear Vector Autoregressions: A Monte Carlo Study. (2022). Kohler, Karsten ; Jump, Robert Calvert. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1077-1100.

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2022A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations. (2022). Lee, Byoungchan ; Baek, Chaewon. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1101-1122.

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2023.

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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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2022Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets. (2022). Tsang, Andrew ; Funke, Michael ; Loermann, Julius. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:606-628.

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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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2022.

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2022Identification of SVAR models by combining sign restrictions with external instruments. (2022). Braun, Robin ; Bruggemann, Ralf. In: Bank of England working papers. RePEc:boe:boeewp:0961.

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2022The credit channel of monetary transmission in the US: Is it a bank lending channel, a balance sheet channel, or both, or neither?. (2022). Papafilis, Michalis-Panayiotis ; Brissimis, Sophocles N. In: Working Papers. RePEc:bog:wpaper:300.

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

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2022Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration. (2022). Yasutomo, MURASAWA . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:26:y:2022:i:3:p:387-415:n:4.

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2022A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry. (2022). Ravazzolo, Francesco ; Boni, Sara. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps94.

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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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2022Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065.

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2022Did Caselaw Foster England’s Economic Development during the Industrial Revolution? Data and Evidence. (2022). Murrell, Peter ; Grajzl, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10088.

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2022Populists and Fiscal Policy: The Case of Poland. (2022). Wysocki, Maciej ; Freytag, Andreas ; Wojcik, Cezary. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10146.

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2022How Money Relates to Value? An Empirical Examination on Gold, Silver and Bitcoin. (2022). Gonalves, Joo Quental. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9662.

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2022Explaining the Decline in the US Labor Share: Taxation and Automation. (2022). Sussmuth, Bernd ; Irmen, Andreas ; Heer, Burkhard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9775.

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2022The Impact of Bank Lending Standards on Credit to Firms. (2022). Trimarchi, Lorenzo ; Soggia, Giovanni ; Ricci, Lorenzo . In: Working Papers ECARES. RePEc:eca:wpaper:2013/338083.

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2022Market-stabilization QE. (2022). Ozen, Kadir ; Motto, Roberto. In: Working Paper Series. RePEc:ecb:ecbwps:20222640.

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2022Monetary policy & anchored expectations: an endogenous gain learning model. (2022). Gáti, Laura. In: Working Paper Series. RePEc:ecb:ecbwps:20222685.

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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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2022Effectiveness of the Asset Price Channel as a Monetary Policy Transmission Mechanism in Malawi: Evidence from Time Series Data. (2022). Banda, Fredrick ; Makawa, Ahmad. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-05-18.

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2022Does Foreign Aid Have an Expected Role in the Economic Growth of Bangladesh? An Analysis in ARDL Approach. (2022). Sultanuzzaman, Md Reza ; Islam, Mollah Aminul ; Hossain, Md Istiak. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-06-13.

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2022Analysis of Some Energy and Economics Variables by Using VECMX Model in Indonesia. (2022). Wamiliana, Wamiliana ; Widiarti, Widiarti ; Warsono, Warsono ; Ansori, Muslim ; Russel, Edwin ; Loves, Luvita ; Usman, Mustofa. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-9.

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2022The Effects of the Oil Price Shock on Inflation: The Case of Kazakhstan. (2022). Baimaganbetov, Sabit ; Bolganbayev, Artur ; Myrzabekkyzy, Kundyz ; Kelesbayev, Dinmukhamed. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-52.

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2022The Impact of Financial, Economic and Environmental Factors on Energy Efficiency, Intensity, and Dependence: The Moderating Role of Governance and Institutional Quality. (2022). Chughtai, Sumayya ; Ijaz, Syeda Tayyaba. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-04-3.

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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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2022The effects of domestic demand shocks on inflation in a small open economy: Chile in the period 2000–2021. (2022). Lopez, Ramon ; Sepulveda, Kevin A. In: Revista CEPAL. RePEc:ecr:col070:48808.

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2022A hybrid model for multi-step coal price forecasting using decomposition technique and deep learning algorithms. (2022). Yu, Hesheng ; The, Jesse ; Cao, Hua ; Zhang, Kefei. In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s030626192101312x.

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2022Variational Bayesian inference for network autoregression models. (2022). Koch, Thorsten ; Chen, Ying ; Lai, Wei-Ting. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002401.

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2022Markov-switching state-space models with applications to neuroimaging. (2022). Ombao, Hernando ; Ting, Chee-Ming ; Degras, David. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322001050.

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2022Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations. (2022). Skrobotov, Anton ; Karamysheva, Madina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200063x.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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

Helmut Lütkepohl has edited the books:


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Works by Helmut Lütkepohl:


YearTitleTypeCited
1981Michael Leserer - Grundlagen der Ökonometrie In: German Journal of Agricultural Economics.
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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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paper2
2017Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity.(2017) In: Discussion Papers of DIW Berlin.
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paper
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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article207
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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article130
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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article27
2018Choosing Between Different Time?Varying Volatility Models for Structural Vector Autoregressive Analysis In: Oxford Bulletin of Economics and Statistics.
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article13
2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis.(2017) In: Discussion Papers of DIW Berlin.
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paper
2018Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis.(2018) In: EconStor Open Access Articles and Book Chapters.
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article
2001Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik.
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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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paper
2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
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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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paper8
2011Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights.(2011) In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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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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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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1999Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems In: CEPR Discussion Papers.
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paper64
2001COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS.(2001) In: Macroeconomic Dynamics.
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article
1999Comparison of bootstrap confidence intervals for impulse responses of German monetary systems.(1999) In: SFB 373 Discussion Papers.
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paper
2018Structural Vector Autoregressive Analysis In: Cambridge Books.
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book528
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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2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory.
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article185
1998Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers.
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2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory.
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article184
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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article4
1991Estimating Orthogonal Impulse Responses via Vector Autoregressive Models In: Econometric Theory.
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article32
2012Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs In: Discussion Papers of DIW Berlin.
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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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paper3
2013Reducing confidence bands for simulated impulse responses.(2013) In: Statistical Papers.
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2012Identifying Structural Vector Autoregressions via Changes in Volatility In: Discussion Papers of DIW Berlin.
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2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions In: Discussion Papers of DIW Berlin.
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2015Comparison of methods for constructing joint confidence bands for impulse response functions.(2015) In: International Journal of Forecasting.
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2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions.(2013) In: SFB 649 Discussion Papers.
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2013Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions.(2013) In: MAGKS Papers on Economics.
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2014Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey In: Discussion Papers of DIW Berlin.
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2014Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey.(2014) In: SFB 649 Discussion Papers.
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2014Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market In: Discussion Papers of DIW Berlin.
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2014Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market.(2014) In: SFB 649 Discussion Papers.
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2015Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates In: Discussion Papers of DIW Berlin.
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2016Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions In: Discussion Papers of DIW Berlin.
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2016Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions.(2016) In: SFB 649 Discussion Papers.
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2016Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions.(2016) In: MAGKS Papers on Economics.
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2018Calculating joint confidence bands for impulse response functions using highest density regions.(2018) In: Empirical Economics.
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2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin.
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2020Inference in partially identified heteroskedastic simultaneous equations models.(2020) In: Journal of Econometrics.
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2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers.
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2017Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions In: Discussion Papers of DIW Berlin.
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2018Estimation of structural impulse responses: short-run versus long-run identifying restrictions.(2018) In: AStA Advances in Statistical Analysis.
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2017Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions.(2017) In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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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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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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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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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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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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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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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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2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers.
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1998Estimating the Kronecker indices of cointegrated echelon-form VARMA models In: Econometrics Journal.
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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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2001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process In: Econometrics Journal.
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article104
2000Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers.
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1992Impulse response analysis of cointegrated systems In: Journal of Economic Dynamics and Control.
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article201
2010Structural vector autoregressions with Markov switching In: Journal of Economic Dynamics and Control.
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article129
2009Structural Vector Autoregressions with Markov Switching.(2009) In: Economics Working Papers.
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2016Testing for identification in SVAR-GARCH models In: Journal of Economic Dynamics and Control.
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article13
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