Helmut Lütkepohl : Citation Profile

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

36

H index

74

i10 index

6621

Citations

RESEARCH PRODUCTION:

120

Articles

173

Papers

3

Books

23

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   44 years (1981 - 2025). See details.
   Cites by year: 150
   Journals where Helmut Lütkepohl has often published
   Relations with other researchers
   Recent citing documents: 339.    Total self citations: 145 (2.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plt2
   Updated: 2025-12-20    RAS profile: 2025-09-10    
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Relations with other researchers

Works with:

Bruns, Martin (14)

Boer, Lukas (3)

Schlaak, Thore (3)

Uzeda, Luis (3)

Boer, Lukas (3)

Saikkonen, Pentti (2)

McNeil, James (2)

Netšunajev, Aleksei (2)

Woźniak, Tomasz (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 (148)

Kilian, Lutz (136)

Inoue, Atsushi (78)

Koukouritakis, Minoas (58)

Tiwari, Aviral (58)

Panagiotidis, Theodore (51)

Weber, Enzo (51)

Trenkler, Carsten (48)

Marcellino, Massimiliano (45)

Ihle, Rico (43)

Panagiotidis, Theodore (42)

Cites to:

Lanne, Markku (99)

Kilian, Lutz (85)

Watson, Mark (79)

Stock, James (74)

Saikkonen, Pentti (74)

Sims, Christopher (60)

Rigobon, Roberto (46)

Reichlin, Lucrezia (41)

Zha, Tao (41)

Johansen, Soren (39)

Marcellino, Massimiliano (38)

Main data

Where Helmut Lütkepohl has published?

Journals with more than one article published# docs
Journal of Econometrics17
Economics Letters11
Journal of Economic Dynamics and Control10
Econometric Theory9
Journal of Time Series Analysis6
Journal of Business & Economic Statistics6
Empirical Economics6
Statistical Papers4
Oxford Bulletin of Economics and Statistics4
International Journal of Forecasting4
EconStor Open Access Articles and Book Chapters3
Macroeconomic Dynamics3
Econometrics Journal3
Journal of Applied Econometrics2
Perspektiven der Wirtschaftspolitik2
German Economic Review2
Econometrics and Statistics2
Journal of Applied Econometrics2
The Review of Economics and Statistics2
AStA Advances in Statistical Analysis2

Working Papers Series with more than one paper published# docs
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes48
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research33
Economics Working Papers / European University Institute27
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk11
CESifo Working Paper Series / CESifo9
University of East Anglia School of Economics Working Paper Series / School of Economics, University of East Anglia, Norwich, UK.7
Econometric Society World Congress 2000 Contributed Papers / Econometric Society3
Papers / arXiv.org2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
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

Recent works citing Helmut Lütkepohl (2025 and 2024)

YearTitle of citing document
2024Nexus between global financial integration and economic growth: An ARDL approach. (2024). Faruk, Mohammad Omar. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:2(639):p:161-182.

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2025Asymmetric effect of monetary policy on stock market performance in the ECOWAS zone: empirical evidence from the NARDL approach. (2025). Prao, Yao Sraphin ; Kongoza, Kouassi Cyrille. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxii:y:2025:i:1(642):p:149-166.

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2024Deficit Financing and Economic Return to Public Expenditure in the CEMAC Member Countries. (2024). Senke, Ngeh Laura ; Atemnkeng, Johannes Tabi ; Tingum, Ernest Ngeh. In: African Journal of Economic Review. RePEc:ags:afjecr:340553.

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2025Uneven Transmission: Monetary Policy, Sectoral Asymmetries, and the Planning Gap Under Malawi 2063. (2025). Mapila, Salim A. In: African Journal of Economic Review. RePEc:ags:afjecr:362952.

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2024Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: FEEM Working Papers. RePEc:ags:feemwp:343513.

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2025Investigating commodity price interdependence with grancer causality networks. (2025). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:498.

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2024Time-varying parameters error correction model for real ruble exchange rate and oil prices: What has changed due to capital control and sanctions?. (2024). Fokin, Nikita ; Malikova, Ekaterina V ; Polbin, Andrey V. In: Russian Journal of Economics. RePEc:arh:jrujec:v:10:y:2024:i:1:p:20-33.

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2025When do common time series estimands have nonparametric causal meaning?. (2025). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2024Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401.

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2024Gaussian and Students $t$ mixture vector autoregressive model with application to the effects of the Euro area monetary policy shock. (2024). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648.

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2024Local Projection Inference in High Dimensions. (2024). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218.

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2025Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233.

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2025Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies. (2024). Keweloh, Sascha A ; Klein, Mathias ; Pruser, Jan. In: Papers. RePEc:arx:papers:2302.13066.

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2024Estimation of Grouped Time-Varying Network Vector Autoregression Models. (2024). Li, Degui ; Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin. In: Papers. RePEc:arx:papers:2303.10117.

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2024Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions. (2024). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2025Impulse Response Analysis of Structural Nonlinear Time Series Models. (2025). Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2305.19089.

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2024Propagation of a carbon price in a credit portfolio through macroeconomic factors. (2024). Ibbou, Smail ; Sopgoui, Lionel ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2307.12695.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2025Structural Periodic Vector Autoregressions. (2024). Dzikowski, Daniel ; Jentsch, Carsten. In: Papers. RePEc:arx:papers:2401.14545.

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2024Probabilistic Forecasting of Real-Time Electricity Market Signals via Interpretable Generative AI. (2024). Wang, Xinyi ; Tong, Lang. In: Papers. RePEc:arx:papers:2403.05743.

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2024Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2403.06879.

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2024Common Trends and Long-Run Identification in Nonlinear Structural VARs. (2024). Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2404.05349.

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2024The puzzle of Carbon Allowance spread. (2024). Baviera, Roberto ; Manzoni, Pietro ; Azzone, Michele. In: Papers. RePEc:arx:papers:2405.12982.

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2024From day-ahead to mid and long-term horizons with econometric electricity price forecasting models. (2024). Ghelasi, Paul ; Ziel, Florian. In: Papers. RePEc:arx:papers:2406.00326.

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2024Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity. (2024). Kwiatkowski, Lukasz ; Wr, Justyna. In: Papers. RePEc:arx:papers:2406.03053.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024Structural counterfactual analysis in macroeconomics: theory and inference. (2024). Wang, Endong. In: Papers. RePEc:arx:papers:2409.09577.

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2024Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality. (2024). Dufour, Jean-Marie ; Wang, Endong. In: Papers. RePEc:arx:papers:2409.10820.

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2024Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness. (2024). Wang, Endong ; Dettaa, Eugene. In: Papers. RePEc:arx:papers:2410.04330.

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2025Fast and Efficient Bayesian Analysis of Structural Vector Autoregressions Using the R Package bsvars. (2025). Wo, Tomasz. In: Papers. RePEc:arx:papers:2410.15090.

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2024Robust Time Series Causal Discovery for Agent-Based Model Validation. (2024). Luk, Wayne ; Guo, CE ; Yu, Gene. In: Papers. RePEc:arx:papers:2410.19412.

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2024MSTest: An R-Package for Testing Markov Switching Models. (2024). Rodriguez-Rondon, Gabriel ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2411.08188.

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2024The Distributional Effects of Economic Uncertainty. (2024). Marcellino, Massimiliano ; Huber, Florian ; Tornese, Tommaso. In: Papers. RePEc:arx:papers:2411.12655.

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2024Machine Learning the Macroeconomic Effects of Financial Shocks. (2024). Marcellino, Massimiliano ; Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2412.07649.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2025Bayesian Analyses of Structural Vector Autoregressions with Sign, Zero, and Narrative Restrictions Using the R Package bsvarSIGNs. (2025). Wo, Tomasz ; Wang, Xiaolei. In: Papers. RePEc:arx:papers:2501.16711.

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2025Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials. (2025). Lee, Quinlan. In: Papers. RePEc:arx:papers:2503.11416.

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2025Simultaneous Inference Bands for Autocorrelations. (2025). Zahn, Tanja ; Pohle, Marc-Oliver ; Hassler, Uwe. In: Papers. RePEc:arx:papers:2503.18560.

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2025Large Structural VARs with Multiple Sign and Ranking Restrictions. (2025). Matthes, Christian ; Chan, Joshua ; Yu, Xuewen. In: Papers. RePEc:arx:papers:2503.20668.

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2025tempdisagg: A Python Framework for Temporal Disaggregation of Time Series Data. (2025). Vera-Jaramillo, Jaime. In: Papers. RePEc:arx:papers:2503.22054.

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2025Locally- but not Globally-identified SVARs. (2025). Bacchiocchi, Emanuele ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2504.01441.

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2025Stock Market Telepathy: Graph Neural Networks Predicting the Secret Conversations between MINT and G7 Countries. (2025). Bursa, Nurbanu. In: Papers. RePEc:arx:papers:2506.01945.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2025Assessing the Effects of Monetary Shocks on Macroeconomic Stars: A SMUC-IV Framework. (2025). Pruser, Jan ; Hou, Chenghan ; Fu, Bowen. In: Papers. RePEc:arx:papers:2510.05802.

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2025Disentangling the Distributional Effects of Financial Shocks in the Euro Area. (2025). Gagliardi, Elena Scola ; Tancioni, Massimiliano ; Ciganovi, Milovs. In: Papers. RePEc:arx:papers:2510.11289.

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2025Mixed LR-$C(\alpha)$-type tests for irregular hypotheses, general criterion functions and misspecified models. (2025). Tuvaandorj, Purevdorj ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2510.17070.

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2025Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks. (2025). Sengupta, Shovon ; Singh, Sunny Kumar ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2510.23347.

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2025Control VAR: a counterfactual based approach to inference in macroeconomics. (2025). Pala, Raimondo. In: Papers. RePEc:arx:papers:2510.23762.

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2025CBDC Stress Test in a Dual-Currency Setting. (2025). Dumitrescu, Catalin. In: Papers. RePEc:arx:papers:2511.13384.

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2025Estimation of High-dimensional Nonlinear Vector Autoregressive Models. (2025). Han, Yuefeng ; Chen, Likai ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2511.18641.

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2024Policy choice in time series by empirical welfare maximization. (2024). Xu, Mengshan ; Wang, Weining ; Kitagawa, Toru. In: CeMMAP working papers. RePEc:azt:cemmap:27/24.

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2025Risk Scenarios and Macroeconomic Forecasts. (2024). Stevanovic, Dalibor ; Moran, Kevin ; Surprenant, Stephane. In: Working Papers. RePEc:bbh:wpaper:24-01.

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2024Decomposing Systemic Risk: The Roles of Contagion and Common Exposures. (2024). Hipp, Ruben ; Halaj, Grzegorz. In: Staff Working Papers. RePEc:bca:bocawp:24-19.

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2025Risk Scenarios and Macroeconomic Forecasts. (2025). Stevanovic, Dalibor ; Moran, Kevin ; Surprenant, Stphane. In: Staff Working Papers. RePEc:bca:bocawp:25-28.

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2025Measuring business cycles using VARs. (2025). Moura, Alban ; Fve, Patrick. In: BCL working papers. RePEc:bcl:bclwop:bclwp201.

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2024On the Banking Deepening and Economic Volatility Nexus in Emerging Countries: Evidence from a GMM Panel-VAR Approach. (2024). Sebai, Meriem ; Talbi, Omar ; Mehri, Hella Guerchi. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:5:p:430-442.

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2025Efficient Method for Assets Allocation. (2025). Olatunji, Peter O ; Jayeola, Dare ; Aborisade, Y J. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:issue-5:p:4308-4313.

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2025Output Gap Measurement after COVID for Colombia: Lessons from a Permanent-Transitory Approach. (2025). Parra-Amado, Daniel ; Granados, Camilo. In: Borradores de Economia. RePEc:bdr:borrec:1295.

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2024Insurance Supervision under Climate Change: A Pioneers Detection Method. (2024). Vansteenberghe, Eric. In: Débats Economiques et financiers. RePEc:bfr:decfin:43.

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2025Policy evaluation with Sufficient Macro Statistics -a primer. (2025). Barnichon, Raegis ; Mesters, Geert. In: Working Papers. RePEc:bge:wpaper:1474.

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2025Innovations Meet Narratives -Improving the Power-Credibility Trade-off in Macro. (2025). Barnichon, Raegis ; Mesters, Geert. In: Working Papers. RePEc:bge:wpaper:1475.

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2024Do higher global oil and wheat prices matter for the wheat flour price in Lebanon?. (2024). Karaki, Mohamad ; Neaimeh, Andrios. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:559-571.

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2024How does economic policy uncertainty respond to permanent and transitory shocks?. (2024). Funashima, Yoshito. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:1:p:267-282.

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2024How certain are we about the role of uncertainty in the economy?. (2024). Herwartz, Helmut ; Lange, Alexander. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:1:p:126-149.

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2024Revisiting the Macroeconomic Effects of Monetary Policy Shocks. (2024). Haque, Qazi ; Doko Tchatoka, Firmin. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:329:p:234-259.

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2024Zero Interest Policy & the New Abnormal: A Critique. (2024). Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:329:p:261-266.

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2024Margin‐closed vector autoregressive time series models. (2024). Zhang, Lin ; Joe, Harry ; Nolde, Natalia. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:269-297.

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2024Granger causality tests based on reduced variable information. (2024). Nakano, Junji ; Hung, Yingchao ; Tseng, Nengfang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:444-462.

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2024Consistency of averaged impulse response estimators in vector autoregressive models. (2024). Urbain, Jeanpierre ; Palm, Franz ; Lohmeyer, Jan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:5:p:691-713.

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2024Impact of China on commodity exporters. (2024). Saraf, Richa ; Chatterjee, Arpita. In: Review of International Economics. RePEc:bla:reviec:v:32:y:2024:i:3:p:1462-1491.

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2024The Effect of Labors Bargaining Power on Wealth Inequality in the UK, USA, And France. (2024). Onaran, Ozlem ; Tippet, Ben ; Wildauer, Rafael. In: Review of Income and Wealth. RePEc:bla:revinw:v:70:y:2024:i:1:p:102-128.

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2024EVALUATING THE IMPACT OF ENERGY PRICE SHOCKS ON EMERGING COUNTRIES FROM THE NON-EURO AREA: A MACROECONOMIC ANALYSIS. (2024). Dalu, Maria-Alexandra ; Negreanu, Cristina ; Horobe, Alexandra. In: Studies in Business and Economics. RePEc:blg:journl:v:19:y:2024:i:1:p:334-349.

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2025Re-visiting the Relationship Between Oil Prices and Monetary Policy. (2025). Bjørnland, Hilde ; Haolz, Jonas ; Cross, Jamie L ; Bjaornland, Hilde C. In: Working Papers. RePEc:bny:wpaper:0139.

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2024Moderation or indulgence? Effects of bank distribution restrictions during stress. (2024). Baruník, Jozef ; Katsoulis, Petros ; Barunik, Jozef ; Acosta-Smith, Jonathan ; Gerba, Eddie. In: Bank of England working papers. RePEc:boe:boeewp:1053.

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2024Invalid proxies and volatility changes. (2024). Fanelli, Luca ; Neri, Luca ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1193.

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2025The Role of Export Credit Agencies in Trade Around the Global Financial Crisis: Evidence from G20 Countries. (2025). Rashed, Jahangir ; Hakan, Tunahan ; Halil, Simdi. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:19:y:2025:i:1:p:18:n:1003.

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2024The Relationship Between the German Current Account and Financial Account: Evidence from the Toda-Yamamoto Causality Approach. (2024). Taiki, Murai. In: The Economists' Voice. RePEc:bpj:evoice:v:21:y:2024:i:1:p:65-96:n:1011.

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2024Military Outlays and Economic Growth: A Nonlinear Disaggregated Analysis for a Developed Economy. (2024). Nicholas, Tsounis ; Antonis, Tsitouras. In: Peace Economics, Peace Science, and Public Policy. RePEc:bpj:pepspp:v:30:y:2024:i:3:p:341-391:n:1002.

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2024Estimating uncertainty spillover effects across euro area using a regime dependent VAR model. (2024). Joshy, Easaw ; Mauro, Costantini ; Giovanni, Angelini. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:1:p:39-59:n:1.

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2025Hypothesis Testing on Invariant Subspaces of Non-Symmetric Matrices with Applications to Network Statistics. (2025). Simons, J R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2530.

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2025Fatal Austerity. (2025). Schularick, Moritz ; Kriwoluzky, Alexander ; Ettmeier, Stephanie ; Steege, Lucas Ter. In: CERGE-EI Working Papers. RePEc:cer:papers:wp801.

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2024Sudden Stop: Supply and Demand Shocks in the German Natural Gas Market. (2024). Wolters, Maik ; Reif, Magnus ; Güntner, Jochen ; Guntner, Jochen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11191.

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2024From Status to Contract? A Macrohistory from Early-Modern English Caselaw and Print Culture. (2024). Murrell, Peter ; Grajzl, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11246.

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2025The Micro and Macro Effects of Changes in the Potential Benefit Duration. (2025). Jessen, Jonas ; Gałecka-Burdziak, Ewa ; Kluve, Jochen ; Gra, Marek ; Gaecka-Burdziak, Ewa. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11849.

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2024Risk Scenarios and Macroeconomic Impacts: Insights for Canadian Policy. (2024). Stevanovic, Dalibor ; Moran, Kevin ; Surprenant, Stphane. In: CIRANO Working Papers. RePEc:cir:cirwor:2024s-03.

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2024Is There an Information Channel of Monetary Policy?. (2024). Kriwoluzky, Alexander ; Holtemöller, Oliver ; Holtemoller, Oliver ; Kwak, Boreum. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2084.

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2024Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates. (2024). Bernoth, Kerstin ; Trienens, Lasse ; Herwartz, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2100.

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2025Dovish Coos or Hawkish Screech? From Central Bank Talk to Economic Walk. (2025). Bernoth, Kerstin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2137.

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2024Decomposing systemic risk: the roles of contagion and common exposures. (2024). Hipp, Ruben ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20242929.

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2024The pass-through to inflation of gas price shocks. (2024). Silgado-Gómez, Edgar ; Parraga, Susana ; Lopez, Lucia ; Odendahl, Florens ; Silgado-Gomez, Edgar. In: Working Paper Series. RePEc:ecb:ecbwps:20242968.

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2025How to conduct joint Bayesian inference in VAR models?. (2025). Yambolov, Andrian. In: Working Paper Series. RePEc:ecb:ecbwps:20253100.

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2024The Impact of Global Energy Price Volatility on Oil Derivative and Local Price in Jordan: Using DCC-GARCH Model. (2024). Al-Damour, Saba Bassam ; Adailah, Radi Mohammad ; Al-Majali, Ahmad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-01-35.

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2024Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model. (2024). Widiarti, Widiarti ; Wamiliana, Wamiliana ; Hairani, Tuti ; Usman, Mustofa ; Alam, Iskandar Ali ; Russel, Edwin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-01-63.

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2024Impact of, Human Capital, Economic Factors, Energy Consumption, and Urban Growth on Environmental Sustainability in Morocco: An ARDL Approach. (2024). Hamid, Lakhmaiss ; el Asli, Hamdi ; Mohamed, Azeroual ; Zineb, Afif. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-02-65.

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2024Macroeconomic Impacts of Oil Price Shocks: Evidence from Iraq by Using Vector Autoregressive Model. (2024). Rodhan, Maitham A. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-03-18.

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2024Modeling the Relationship between Life Expectancy, Population Growth, Carbon Dioxide Emission, and GDP Growth in Indonesia. (2024). Russel, Edwin ; Faisol, Ahmad ; Am, Faiz ; Usman, Mustofa ; Hasnawati, Sri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-04-44.

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2025Prices and progress? The link between inflation and structural change in post-war Brazil. (2025). Centuriao, Lcia Regina. In: Revista CEPAL. RePEc:ecr:col070:82409.

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2024LNBi-GRU model for coal price prediction and pattern recognition analysis. (2024). Sun, Chuanwang ; Li, Xiang ; Xu, Mengjie. In: Applied Energy. RePEc:eee:appene:v:365:y:2024:i:c:s0306261924006858.

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2024Operational day-ahead photovoltaic power forecasting based on transformer variant. (2024). Tao, YE ; Tian, Yajun ; Qi, Qingqing ; Zhao, Jinghao. In: Applied Energy. RePEc:eee:appene:v:373:y:2024:i:c:s030626192401208x.

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2024Inflation targeting and monetary policy response in India. (2024). Ahmad, Wasim ; Raghuvanshi, Abhay Pratap. In: Journal of Asian Economics. RePEc:eee:asieco:v:95:y:2024:i:c:s1049007824001179.

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2024Non-linear dimension reduction in factor-augmented vector autoregressions. (2024). Klieber, Karin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002063.

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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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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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This paper has nother version. Agregated cites: 6		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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2025Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility In: Papers.
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2025Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference In: Staff Working Papers.
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1996Specification of Echelon-Form VARMA Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article44
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]		article222
2001Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers.
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2010Structural Vector Autoregressions With Nonnormal Residuals In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article154
2006Structural Vector Autoregressions with Nonnormal Residuals.(2006) In: CESifo Working Paper Series.
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2005Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers.
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1984Forecasting Contemporaneously Aggregated Vector ARMA Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]		article38
1986Forecasting Vector ARMA Processes with Systematically Missing Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
1989Prediction Tests for Structural Stability of Multiple Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2010Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance In: German Economic Review.
[Full Text][Citation analysis]		article11
2010Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2010) In: German Economic Review.
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2006Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2006) In: CEPR Discussion Papers.
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2006Acquisition of information and share prices: An empirical investigation of cognitive dissonance.(2006) In: Economics Working Papers.
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2010Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance In: German Economic Review.
[Full Text][Citation analysis]		article7
1997A Review of Nonparametric Time Series Analysis In: International Statistical Review.
[Full Text][Citation analysis]		article75
1996A Review of Nonparametric Time Series Analysis.(1996) In: SFB 373 Discussion Papers.
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2016STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY In: Journal of Economic Surveys.
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2014Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity.(2014) In: CESifo Working Paper Series.
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2014Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2014) In: Discussion Papers of DIW Berlin.
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2016Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2016) In: EconStor Open Access Articles and Book Chapters.
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2014Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity.(2014) In: SFB 649 Discussion Papers.
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2000Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article28
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article221
2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
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1999Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers.
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2008Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article25
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers.
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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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2011Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity In: Journal of Time Series Analysis.
[Citation analysis]		article6
2009Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity.(2009) In: Economics Working Papers.
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1982DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
1985COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article62
2003Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article85
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
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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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2004Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative.(2004) In: Economics Working Papers.
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2015Confidence Bands for Impulse Responses: Bonferroni vs. Wald In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article29
2018Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article15
2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis.(2017) In: Discussion Papers of DIW Berlin.
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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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2001Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik.
[Full Text][Citation analysis]		article0
2001Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik.
[Full Text][Citation analysis]		article0
Lutkepohl In: Instructional Stata datasets for econometrics.
[Full Text][Citation analysis]		paper0
2011Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article9
2001Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik.
[Full Text][Citation analysis]		article0
2006Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper110
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.
[Citation analysis]
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2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
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2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper7
2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis.(2008) In: Economics Working Papers.
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2009The Role of the Log Transformation in Forecasting Economic Variables In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper68
2012The role of the log transformation in forecasting economic variables.(2012) In: Empirical Economics.
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2010Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights In: CESifo Working Paper Series.
[Full Text][Citation analysis]		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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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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2015Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models.(2015) In: SFB 649 Discussion Papers.
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2001The Transmission of German Monetary Policy in the Pre-Euro Period In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper34
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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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.
[Citation analysis]		paper13
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.
[Full Text][Citation analysis]		paper67
2001COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS.(2001) In: Macroeconomic Dynamics.
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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.
[Citation analysis]		book726
2017Structural Vector Autoregressive Analysis.(2017) In: Cambridge Books.
[Citation analysis]
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1996Testing for Causation Using Infinite Order Vector Autoregressive Processes In: Econometric Theory.
[Full Text][Citation analysis]		article35
1996Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory.
[Full Text][Citation analysis]		article32
1999LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory.
[Full Text][Citation analysis]		article30
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.
[Full Text][Citation analysis]		article200
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.
[Full Text][Citation analysis]		article192
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.
[Full Text][Citation analysis]		article14
1988Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process In: Econometric Theory.
[Full Text][Citation analysis]		article4
1991Estimating Orthogonal Impulse Responses via Vector Autoregressive Models In: Econometric Theory.
[Full Text][Citation analysis]		article33
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: MAGKS Papers on Economics.
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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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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 US 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: 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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2016Calculating joint confidence bands for impulse response functions using highest density regions.(2016) In: SFB 649 Discussion Papers.
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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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2020Structural Vector Autoregressive Models with More Shocks than Variables Identified 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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2021Heteroskedastic Proxy Vector Autoregressions.(2021) In: VfS Annual Conference 2021 (Virtual Conference): Climate Economics.
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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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2023An Alternative Bootstrap for Proxy Vector Autoregressions.(2023) In: Computational Economics.
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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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