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Helmut Lütkepohl · Study
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Author
Helmut Lütkepohl
80 works
· latest 2021
· 9 institutions
cluster: provisional
Works
60 shown
Comparison of local projection estimators for proxy vector autoregressions
Journal of Economic Dynamics and Control
·
2021
·
2 authors
22
citations
The Relation between Monetary Policy and the Stock Market in Europe
Econometrics
·
2018
·
2 authors
·
Open access
25
citations
Vector Autoregressive Models
Cambridge University Press eBooks
·
2017
·
2 authors
·
chapter
26
citations
Structural Vector Autoregressive Analysis
Cambridge University Press eBooks
·
2017
·
2 authors
·
book
1,057
citations
Estimation of structural vector autoregressive models
Communications for Statistical Applications and Methods
·
2017
·
1 author
·
Open access
25
citations
Structural vector autoregressions with smooth transition in variances
Journal of Economic Dynamics and Control
·
2017
·
2 authors
52
citations
Structural vector autoregressions with heteroskedasticity: A review of different volatility models
Econometrics and Statistics
·
2016
·
2 authors
54
citations
Confidence Bands for Impulse Responses: Bonferroni vs. Wald
Oxford Bulletin of Economics and Statistics
·
2015
·
3 authors
40
citations
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
Journal of Econometrics
·
2014
·
2 authors
·
Open access
121
citations
Comparison of methods for constructing joint confidence bands for impulse response functions
International Journal of Forecasting
·
2013
·
3 authors
·
Open access
60
citations
Vector autoregressive models
Edward Elgar Publishing eBooks
·
2013
·
1 author
·
chapter
165
citations
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS
Journal of Applied Econometrics
·
2012
·
2 authors
·
Open access
119
citations
Vector Autoregressive Models
International Encyclopedia of Statistical Science
·
2011
·
1 author
·
other
106
citations
The role of the log transformation in forecasting economic variables
Empirical Economics
·
2010
·
2 authors
230
citations
Impulse response function
Palgrave Macmillan UK eBooks
·
2010
·
1 author
·
chapter
60
citations
Structural Vector Autoregressions With Nonnormal Residuals
Journal of Business and Economic Statistics
·
2009
·
2 authors
·
Open access
108
citations
Structural vector autoregressions with Markov switching
Journal of Economic Dynamics and Control
·
2009
·
3 authors
·
Open access
224
citations
Econometric Analysis with Vector Autoregressive Models
·
2009
·
1 author
·
other
80
citations
Identifying Monetary Policy Shocks via Changes in Volatility
Journal of money credit and banking
·
2008
·
2 authors
164
citations
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Journal of Time Series Analysis
·
2007
·
3 authors
·
Open access
45
citations
Structural Vector Autoregressive Analysis for Cointegrated Variables
Springer eBooks
·
2007
·
1 author
·
chapter
201
citations
A small monetary system for the euro area based on German data
Journal of Applied Econometrics
·
2006
·
2 authors
47
citations
Structural vector autoregressive analysis for cointegrated variables
Allgemeines Statistisches Archiv
·
2006
·
1 author
114
citations
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
Journal of Econometrics
·
2006
·
1 author
85
citations
Chapter 6 Forecasting with VARMA Models
Handbook of economic forecasting
·
2006
·
1 author
·
chapter
72
citations
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
Econometric Theory
·
2005
·
3 authors
·
Open access
24
citations
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative*
Oxford Bulletin of Economics and Statistics
·
2005
·
2 authors
52
citations
Residual autocorrelation testing for vector error correction models
Journal of Econometrics
·
2005
·
3 authors
55
citations
Stable Vector Autoregressive Processes
Springer eBooks
·
2005
·
1 author
·
chapter
29
citations
Structural Vector Autoregressive Modeling and Impulse Responses
Cambridge University Press eBooks
·
2004
·
3 authors
·
chapter
178
citations
Vector Autoregressive and Vector Error Correction Models
Cambridge University Press eBooks
·
2004
·
1 author
·
chapter
154
citations
Preface
Cambridge University Press eBooks
·
2004
·
2 authors
·
other
27
citations
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
Econometrica
·
2004
·
3 authors
·
Open access
119
citations
Recent Advances in Cointegration Analysis
Contributions to economic analysis
·
2004
·
1 author
·
chapter
35
citations
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD
Macroeconomic Dynamics
·
2003
·
2 authors
·
Open access
41
citations
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Journal of Econometrics
·
2003
·
3 authors
·
Open access
52
citations
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time*
Oxford Bulletin of Economics and Statistics
·
2003
·
3 authors
·
Open access
127
citations
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
Econometric Theory
·
2002
·
2 authors
·
Open access
280
citations
Unit root tests for time series with level shifts: a comparison of different proposals
Economics Letters
·
2002
·
2 authors
·
Open access
33
citations
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Econometrics Journal
·
2001
·
3 authors
·
Open access
237
citations
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
Economics Letters
·
2001
·
2 authors
·
Open access
126
citations
A REVIEW OF SYSTEMS COINTEGRATION TESTS
Econometric Reviews
·
2001
·
3 authors
110
citations
Testing for unit roots in time series with level shifts
Allgemeines Statistisches Archiv
·
2001
·
2 authors
·
Open access
23
citations
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS
Macroeconomic Dynamics
·
2001
·
3 authors
·
Open access
119
citations
Econometric studies : a festschrift in honour of Joachim Frohn
·
2001
·
3 authors
36
citations
Testing for the Cointegrating Rank of a VAR Process With Structural Shifts
Journal of Business and Economic Statistics
·
2000
·
2 authors
·
Open access
244
citations
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts
Journal of Business and Economic Statistics
·
2000
·
2 authors
51
citations
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
Journal of Time Series Analysis
·
2000
·
2 authors
122
citations
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
Econometric Theory
·
2000
·
2 authors
·
Open access
163
citations
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System
RePEc: Research Papers in Economics
·
2000
·
2 authors
·
preprint
·
Open access
86
citations
Testing for the cointegrating rank of a VAR process with a time trend
Journal of Econometrics
·
2000
·
2 authors
92
citations
Investigating stability and linearity of a German M1 money demand function
Journal of Applied Econometrics
·
1999
·
3 authors
100
citations
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
Econometric Theory
·
1999
·
2 authors
·
Open access
53
citations
A money demand system for German M3
Physica-Verlag eBooks
·
1999
·
2 authors
·
chapter
42
citations
A Review of systemscointegration tests
edoc Publication server (Humboldt University of Berlin)
·
1998
·
3 authors
·
book
·
Open access
23
citations
Modeling the Demand for M3 in the Unified Germany
The Review of Economics and Statistics
·
1998
·
3 authors
86
citations
Order Selection in Testing for the Cointegrating Rank of a VAR Process
RePEc: Research Papers in Economics
·
1997
·
2 authors
·
preprint
·
Open access
47
citations
Impulse response analysis in infinite order cointegrated vector autoregressive processes
Journal of Econometrics
·
1997
·
2 authors
81
citations
Problems Related to Bootstrapping Impulse Responses of Autoregressive Processes
RePEc: Research Papers in Economics
·
1997
·
3 authors
·
preprint
·
Open access
24
citations
Analysis of cointegrated VARMA processes
Journal of Econometrics
·
1997
·
2 authors
54
citations