Helmut Lütkepohl : Citation Profile

Are you Helmut Lütkepohl?

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

36

H index

72

i10 index

6335

Citations

RESEARCH PRODUCTION:

117

Articles

166

Papers

3

Books

25

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   43 years (1981 - 2024). See details.
   Cites by year: 147
   Journals where Helmut Lütkepohl has often published
   Relations with other researchers
   Recent citing documents: 360.    Total self citations: 138 (2.13 %)

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   Permalink: http://citec.repec.org/plt2
   Updated: 2024-12-03    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

Bruns, Martin (14)

Boer, Lukas (3)

Schlaak, Thore (3)

Boer, Lukas (3)

McNeil, James (2)

Saikkonen, Pentti (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 (147)

Kilian, Lutz (133)

Inoue, Atsushi (78)

Tiwari, Aviral (58)

Koukouritakis, Minoas (58)

Panagiotidis, Theodore (51)

Weber, Enzo (51)

Trenkler, Carsten (48)

Ihle, Rico (43)

Panagiotidis, Theodore (42)

Mehrotra, Aaron (41)

Cites to:

Lanne, Markku (89)

Kilian, Lutz (80)

Watson, Mark (76)

Saikkonen, Pentti (72)

Stock, James (72)

Sims, Christopher (59)

Rigobon, Roberto (45)

Reichlin, Lucrezia (38)

Johansen, Soren (37)

Zha, Tao (37)

Staszewska-Bystrova, Anna (36)

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 Control9
Econometric Theory9
Empirical Economics6
Journal of Time Series Analysis6
Journal of Business & Economic Statistics6
Statistical Papers4
International Journal of Forecasting4
Macroeconomic Dynamics3
EconStor Open Access Articles and Book Chapters3
Econometrics Journal3
AStA Advances in Statistical Analysis2
Econometrics and Statistics2
Journal of Applied Econometrics2
Journal of Applied Econometrics2
The Review of Economics and Statistics2
German Economic Review2
Oxford Bulletin of Economics and Statistics2
Perspektiven der Wirtschaftspolitik2

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 Research29
Economics Working Papers / European University Institute27
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany11
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.5
Econometric Society World Congress 2000 Contributed Papers / Econometric Society3
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics2
MAGKS Papers on Economics / Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)2
Papers / arXiv.org2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Helmut Lütkepohl (2024 and 2023)

YearTitle of citing document
2023.

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2024Deficit 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.

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

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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 ; Polbin, Andrey V ; Malikova, Ekaterina V. In: Russian Journal of Economics. RePEc:arh:jrujec:v:10:y:2024:i:1:p:20-33.

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

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2024Gaussian and Students $t$ mixture vector autoregressive model. (2021). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648.

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2024Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218.

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

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

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

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2024Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066.

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

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2024Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117.

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2024Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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

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2024Impulse Response Analysis for Structural Nonlinear Time Series Models. (2023). Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2305.19089.

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

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2024Propagation of carbon tax in credit portfolio through macroeconomic factors. (2023). Sopgoui, Lionel ; Jacquier, Antoine ; Ibbou, Smail ; Chassagneux, Jean-Franccois ; Bouveret, G'Eraldine. In: Papers. RePEc:arx:papers:2307.12695.

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

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

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

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

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2024Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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

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

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

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2024.

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

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

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2024Do 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.

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2024How 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.

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

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2024Johansen?type cointegration tests with a Fourier function. (2022). Lee, Junsoo ; Pascalau, Razvan ; Lu, Yan ; Nazlioglu, Saban. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:828-852.

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

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

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

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2024EVALUATING 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.

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

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

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

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

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2023Unconventional 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.

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2024Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. (2002). Kilian, Lutz ; Goncalves, Silvia. In: Working Paper Series. RePEc:ecb:ecbwps:20020196.

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

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

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

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

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

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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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2024Climate 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.

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2024Identification 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.

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

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

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2023Systematic 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.

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2023The 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.

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2024The 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.

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2024Predicting 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.

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

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2024Economic 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.

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

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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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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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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference In: Papers.
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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference.(2024) In: Discussion Papers of DIW Berlin.
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1996Specification of Echelon-Form VARMA Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article43
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]		article219
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.
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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]		article37
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.
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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.
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1997A Review of Nonparametric Time Series Analysis In: International Statistical Review.
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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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.() In: .
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2000Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis.
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2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
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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.
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2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers.
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.() In: .
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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.
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1985COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article61
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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