36
H index
72
i10 index
6269
Citations
DIW Berlin (Deutsches Institut für Wirtschaftsforschung) (50% share) | 36 H index 72 i10 index 6269 Citations RESEARCH PRODUCTION: 117 Articles 166 Papers 3 Books 25 Chapters EDITOR: Books edited RESEARCH ACTIVITY: 43 years (1981 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/plt2 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Helmut Lütkepohl. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2023 | . Full description at Econpapers || Download paper | |
2024 | Deficit Financing and Economic Return to Public Expenditure in the CEMAC Member Countries. (2024). Senke, Ngeh Laura ; Tingum, Ernest Ngeh ; Atemnkeng, Johannes Tabi. In: African Journal of Economic Review. RePEc:ags:afjecr:340553. Full description at Econpapers || Download paper | |
2023 | Causal 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. Full description at Econpapers || Download paper | |
2024 | Time-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 ; Polbin, Andrey V ; Malikova, Ekaterina V. In: Russian Journal of Economics. RePEc:arh:jrujec:v:10:y:2024:i:1:p:20-33. Full description at Econpapers || Download paper | |
2023 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
2024 | Gaussian and Students $t$ mixture vector autoregressive model. (2021). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648. Full description at Econpapers || Download paper | |
2024 | Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218. Full description at Econpapers || Download paper | |
2023 | Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263. Full description at Econpapers || Download paper | |
2023 | Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2024 | Estimating 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. Full description at Econpapers || Download paper | |
2023 | Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994. Full description at Econpapers || Download paper | |
2024 | Inference 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. Full description at Econpapers || Download paper | |
2024 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper | |
2023 | Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880. Full description at Econpapers || Download paper | |
2024 | Impulse Response Analysis for Structural Nonlinear Time Series Models. (2023). Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2305.19089. Full description at Econpapers || Download paper | |
2023 | Temporal 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. Full description at Econpapers || Download paper | |
2024 | Propagation 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. Full description at Econpapers || Download paper | |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper | |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper | |
2023 | Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821. Full description at Econpapers || Download paper | |
2023 | Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation. (2023). Tanaka-Ishii, Kumiko ; Moriyama, Kai ; Du, Xin. In: Papers. RePEc:arx:papers:2310.14536. Full description at Econpapers || Download paper | |
2024 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper | |
2024 | Forecasting Electricity Market Signals via Generative AI. (2024). Tong, Lang ; Wang, Xinyi. In: Papers. RePEc:arx:papers:2403.05743. Full description at Econpapers || Download paper | |
2024 | Partially identified heteroskedastic SVARs. (2024). Mirto, Elisabetta ; Kitagawa, Toru ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2403.06879. Full description at Econpapers || Download paper | |
2024 | Common Trends and Long-Run Multipliers in Nonlinear Structural VARs. (2024). Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2404.05349. Full description at Econpapers || Download paper | |
2024 | . Full description at Econpapers || Download paper | |
2023 | Anchoring 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. Full description at Econpapers || Download paper | |
2023 | Evaluating Policy Institutions -150 Years of US Monetary Policy-. (2023). Mesters, Geert ; Barnichon, Regis. In: Working Papers. RePEc:bge:wpaper:1410. Full description at Econpapers || Download paper | |
2024 | Do higher global oil and wheat prices matter for the wheat flour price in Lebanon?. (2024). Neaimeh, Andrios ; Karaki, Mohamad B. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:559-571. Full description at Econpapers || Download paper | |
2024 | How certain are we about the role of uncertainty in the economy?. (2024). Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:1:p:126-149. Full description at Econpapers || Download paper | |
2024 | . Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Income 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. Full description at Econpapers || Download paper | |
2023 | Testing Uncovered Interest Rate Parity and Term Structure Using a Threeâ€regime Threshold Unit Root VECM: An Application to the Swiss ‘Isle’ of Interest Rates. (2012). NETO, David ; Krishnakumar, Jaya. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:74:y:2012:i:2:p:180-202. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Carry 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. Full description at Econpapers || Download paper | |
2024 | EVALUATING THE IMPACT OF ENERGY PRICE SHOCKS ON EMERGING COUNTRIES FROM THE NON-EURO AREA: A MACROECONOMIC ANALYSIS. (2024). Negreanu, Cristina ; Dalu, Maria-Alexandra ; Horobe, Alexandra. In: Studies in Business and Economics. RePEc:blg:journl:v:19:y:2024:i:1:p:334-349. Full description at Econpapers || Download paper | |
2024 | Invalid proxies and volatility changes. (2024). Fanelli, Luca ; Neri, Luca ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1193. Full description at Econpapers || Download paper | |
2024 | Estimating 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. Full description at Econpapers || Download paper | |
2023 | Characterizing G-multipliers in Canada. (2022). Rouillard, Jean-Franois ; Richard, Patrick ; Khan, Hashmat ; Dabire, Fabrice. In: Carleton Economic Papers. RePEc:car:carecp:21-14. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2024 | Risk Scenarios and Macroeconomic Forecasts. (2024). Stevanovic, Dalibor ; Moran, Kevin ; Surprenant, Stphane. In: CIRANO Working Papers. RePEc:cir:cirwor:2024s-03. Full description at Econpapers || Download paper | |
2023 | SECTORAL ELECTRICITY CONSUMPTION AND ECONOMIC GROWTH IN INDIA: AN EMPIRICAL STUDY FROM 1970 TO 2016.. (2023). Behera, Jaganath. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:23:y:2023:i:2_7. Full description at Econpapers || Download paper | |
2023 | Unconventional monetary policy and wealth inequality: evidence from the US. (2023). Luna-Victoria, Sebastian Jose ; Wiechers, Lukas ; Gries, Thomas. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00309. Full description at Econpapers || Download paper | |
2023 | Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. (2002). Kilian, Lutz ; Goncalves, Silvia. In: Working Paper Series. RePEc:ecb:ecbwps:20020196. Full description at Econpapers || Download paper | |
2023 | Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842. Full description at Econpapers || Download paper | |
2023 | China’s footprint in global financial markets. (2023). Manu, Ana-Simona ; Lodge, David ; van Robays, Ine. In: Working Paper Series. RePEc:ecb:ecbwps:20232861. Full description at Econpapers || Download paper | |
2024 | Decomposing systemic risk: the roles of contagion and common exposures. (2024). Hipp, Ruben ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20242929. Full description at Econpapers || Download paper | |
2023 | Analysis 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. Full description at Econpapers || Download paper | |
2023 | Dynamic 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. Full description at Econpapers || Download paper | |
2023 | Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362. Full description at Econpapers || Download paper | |
2024 | Non-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. Full description at Econpapers || Download paper | |
2024 | Climate change and the US wheat commodity market. (2024). Agnolucci, Paolo ; de Lipsis, Vincenzo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000150. Full description at Econpapers || Download paper | |
2024 | Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447. Full description at Econpapers || Download paper | |
2023 | Fiscal sustainability, monetary policy and economic growth in the Euro Area: In search of the ultimate causal path. (2023). Vides, Jose Carlos ; Sanchez-Fuentes, Jesus A ; Golpe, Antonio A. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1026-1045. Full description at Econpapers || Download paper | |
2023 | Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304. Full description at Econpapers || Download paper | |
2023 | Systematic monetary policy in a SVAR for Australia. (2023). Huh, Hyeon-Seung ; Fisher, Lance A. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003310. Full description at Econpapers || Download paper | |
2023 | The confidence channel of U.S. financial uncertainty: Evidence from industry-level data. (2023). Rangaraju, Sandeep Kumar ; Karaki, Mohamad B. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003693. Full description at Econpapers || Download paper | |
2024 | The race between education and technology in Chile and its impact on the skill premium. (2024). Balcombe, Kelvin ; Campos-Gonzalez, Jorge. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004285. Full description at Econpapers || Download paper | |
2024 | Predicting tourism recovery from COVID-19: A time-varying perspective. (2024). Song, Haiyan ; Liu, Han ; Wen, Long. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000622. Full description at Econpapers || Download paper | |
2023 | Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086. Full description at Econpapers || Download paper | |
2024 | Economic and financial consequences of water risks: The case of hydropower. (2024). von Jagow, Adrian ; Goel, Skand ; Senni, Chiara Colesanti. In: Ecological Economics. RePEc:eee:ecolec:v:218:y:2024:i:c:s0921800923003117. Full description at Econpapers || Download paper | |
2023 | Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300. Full description at Econpapers || Download paper | |
2023 | Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201. Full description at Econpapers || Download paper | |
2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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1981 | Michael Leserer - Grundlagen der Ökonometrie In: German Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 0 |
2018 | Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review In: Lodz Economics Working Papers. [Full Text][Citation analysis] | paper | 6 |
2018 | Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review.(2018) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2020 | Constructing joint confidence bands for impulse response functions of VAR models – A review.(2020) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2018 | Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity In: Papers. [Full Text][Citation analysis] | paper | 5 |
2017 | Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity.(2017) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2020 | Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity.(2020) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference.(2024) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1996 | Specification of Echelon-Form VARMA Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 43 |
2000 | Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 212 |
2001 | Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 212 | paper | |
2010 | Structural Vector Autoregressions With Nonnormal Residuals In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 146 |
2006 | Structural Vector Autoregressions with Nonnormal Residuals.(2006) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 146 | paper | |
2005 | Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 146 | paper | |
1984 | Forecasting Contemporaneously Aggregated Vector ARMA Processes. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 36 |
1986 | Forecasting Vector ARMA Processes with Systematically Missing Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
1989 | Prediction Tests for Structural Stability of Multiple Time Series. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
2010 | Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance In: German Economic Review. [Full Text][Citation analysis] | article | 10 |
2010 | Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2010) In: German Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2006 | Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance.(2006) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2006 | Acquisition of information and share prices: An empirical investigation of cognitive dissonance.(2006) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2010 | Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance In: German Economic Review. [Full Text][Citation analysis] | article | 6 |
1997 | A Review of Nonparametric Time Series Analysis In: International Statistical Review. [Full Text][Citation analysis] | article | 73 |
1996 | A Review of Nonparametric Time Series Analysis.(1996) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 73 | paper | |
2016 | STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 7 |
2014 | Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity.(2014) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2014 | Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2014) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2016 | Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity.(2016) In: EconStor Open Access Articles and Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
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2000 | Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 27 |
2002 | Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 213 |
2002 | Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 213 | paper | |
1999 | Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 213 | paper | |
2008 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 24 |
2006 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
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2011 | Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity In: Journal of Time Series Analysis. [Citation analysis] | article | 6 |
2009 | Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity.(2009) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1982 | DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
1985 | COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 61 |
2003 | Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 85 |
2001 | Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | paper | |
2015 | Confidence Bands for Impulse Responses: Bonferroni vs. Wald In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 28 |
2001 | Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik. [Full Text][Citation analysis] | article | 0 |
2001 | Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik. [Full Text][Citation analysis] | article | 0 |
Lutkepohl In: Instructional Stata datasets for econometrics. [Full Text][Citation analysis] | paper | 0 | |
2011 | Forecasting 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] | article | 9 |
2001 | Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen In: Perspektiven der Wirtschaftspolitik. [Full Text][Citation analysis] | article | 0 |
2006 | Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 104 |
2006 | Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | paper | |
2008 | Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 104 | article | |
2008 | Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | article | |
2008 | Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
2008 | Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2009 | The Role of the Log Transformation in Forecasting Economic Variables In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 56 |
2012 | The role of the log transformation in forecasting economic variables.(2012) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | article | |
2010 | Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
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1999 | Comparison of bootstrap confidence intervals for impulse responses of German monetary systems.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
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2002 | TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory. [Full Text][Citation analysis] | article | 190 |
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2013 | Reducing confidence bands for simulated impulse responses.(2013) In: Statistical Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
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2016 | Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
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2017 | Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions.(2017) In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2017 | Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 11 |
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2018 | The Relation between Monetary Policy and the Stock Market in Europe In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 4 |
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2023 | Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 2 |
2023 | Have 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
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2000 | Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 18 |
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1999 | Investigating Stability and Linearity of a German M1 Money Demand Function..(1999) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | article | |
1995 | Investigating Stability and Linearity of a German M1 Money Demand Function.(1995) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 61 | paper | |
1996 | Modelling the Demand for M3 in the unified Germany In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 46 |
1998 | Modeling The Demand For M3 In The Unified Germany.(1998) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
1996 | Modelling the Demand for M3 in the Unified Germany.(1996) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2005 | Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 20 |
2006 | Forecasting Euro-Area Variables with German Pre-EMU Data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2006 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2014 | Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2014 | Confidence Bands for Impulse Responses: Bonferroni versus Wald In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2014 | Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2014 | Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2015 | Structural Vector Autoregressions with Heteroskedasticy In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2015 | Testing for Identification in SVAR-GARCH Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
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1989 | The Stability Assumption in Tests of Causality between Money and Income. In: Empirical Economics. [Citation analysis] | article | 4 |
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1998 | Money demand in Europe: Editors preface In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
1998 | A money demand system for German M3 In: Empirical Economics. [Full Text][Citation analysis] | article | 33 |
1995 | Book reviews In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] | article | 0 |
2005 | New Introduction to Multiple Time Series Analysis In: Springer Books. [Citation analysis] | book | 344 |
2005 | Introduction In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Systems of Dynamic Simultaneous Equations In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Vector Autoregressive Moving Average Processes In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Estimation of VARMA Models In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Specification and Checking the Adequacy of VARMA Models In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Cointegrated VARMA Processes In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Fitting Finite Order VAR Models to Infinite Order Processes In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Multivariate ARCH and GARCH Models In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Periodic VAR Processes and Intervention Models In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | State Space Models In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Stable Vector Autoregressive Processes In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Estimation of Vector Autoregressive Processes In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | VAR Order Selection and Checking the Model Adequacy In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | VAR Processes with Parameter Constraints In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Estimation of Vector Error Correction Models In: Springer Books. [Citation analysis] | chapter | 1 |
2005 | Vector Error Correction Models.(2005) In: Springer Books. [Citation analysis] This paper has nother version. Agregated cites: 1 | chapter | |
2005 | Specification of VECMs In: Springer Books. [Citation analysis] | chapter | 0 |
2005 | Structural VARs and VECMs In: Springer Books. [Citation analysis] | chapter | 0 |
2011 | Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R In: Statistical Papers. [Full Text][Citation analysis] | article | 0 |
2011 | I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews In: Statistical Papers. [Full Text][Citation analysis] | article | 1 |
2014 | Mulaik, S. A.: Foundations of factor analysis In: Statistical Papers. [Full Text][Citation analysis] | article | 0 |
2001 | A REVIEW OF SYSTEMS COINTEGRATION TESTS In: Econometric Reviews. [Full Text][Citation analysis] | article | 65 |
1998 | A review of systemscointegration tests.(1998) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
1990 | Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 89 |
2000 | Multivariate volatility analysis of VW stock prices In: Intelligent Systems in Accounting, Finance and Management. [Full Text][Citation analysis] | article | 1 |
1998 | Multivariate Volatility Analysis of VW Stock Prices.(1998) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1994 | Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten In: SFB 373 Discussion Papers. [Citation analysis] | paper | 4 |
1994 | Kointegration und gemeinsame Trends In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
1994 | Testing for Multi-Step Causality in Time Series In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
1994 | Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
1994 | Problems Related to Testing for Granger-Causality in VARMA Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
1995 | Konjunkturanalyse mit Markov-Regimewechselmodellen In: SFB 373 Discussion Papers. [Citation analysis] | paper | 2 |
1995 | Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
1995 | Consistent Specification of Cointegrated Autoregressive Moving-Average Systems In: SFB 373 Discussion Papers. [Citation analysis] | paper | 5 |
1995 | Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
1996 | Statistische Modellierung von Volatilitäten In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
1996 | Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model In: SFB 373 Discussion Papers. [Citation analysis] | paper | 5 |
1996 | Impulse Response Analysis of Vector Autoregressive Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 5 |
1997 | Trend adjustment prior to testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
1997 | Problems related to bootstrapping impulse responses of autoregressive processes In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
1997 | A money demand system for M3 in the unified Germany In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1997 | Order selection in testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Testing for unit roots in time series with level shifts In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Vector autoregressive analysis In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
1999 | Unit root tests for time series with a structural break: When the break point is known In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
1999 | Vector autoregressions In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
1999 | Forecasting cointegrated VARMA processes In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2000 | Was there a regime change in the German monetary transmission mechanism in 1983? In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | Bootstrapping impulse responses in VAR analyses In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2001 | Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Calculating Joint Bands for Impulse Response Functions using Highest Density Regions In: VfS Annual Conference 2016 (Augsburg): Demographic Change. [Full Text][Citation analysis] | paper | 0 |
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