Access Statistics for Helmut Lütkepohl

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Review of Nonparametric Time Series Analysis 0 0 0 111 5 11 14 544
A Simple Instrument for Proxy Vector Autoregressive Analysis 1 1 2 52 3 7 11 90
A Small Monetary System for the Euro Area Based on German Data 0 0 0 138 1 2 3 405
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 6 7 10 327
A money demand system for M3 in the unified Germany 0 0 0 11 4 6 9 433
A review of systemscointegration tests 0 0 0 35 2 6 7 665
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 35 1 3 3 218
Acquisition of information and share prices: An empirical investigation of cognitive dissonance 0 0 0 59 4 6 6 257
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 58 5 6 11 85
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 1 9 4 8 16 55
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 3 3 6 191
Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis 0 0 2 9 5 8 18 30
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 1 2 19 30 6 11 39 61
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 105 4 7 12 165
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 4 3 3 5 29
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH 0 0 0 67 9 12 18 152
Bootstrapping impulse responses in VAR analyses 0 3 4 299 4 10 19 761
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 3 4 6 753
Calculating Joint Bands for Impulse Response Functions using Highest Density Regions 0 0 0 14 2 3 3 24
Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions 0 0 0 38 11 17 19 67
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions 0 0 0 12 2 3 7 38
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 26 2 3 5 62
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 93 4 4 10 139
Comparing External and Internal Instruments for Vector Autoregressions 1 1 21 21 3 11 57 57
Comparing External and Internal Instruments for Vector Autoregressions 0 0 16 16 4 6 29 29
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems 0 0 0 408 2 4 7 1,119
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 42 2 11 15 80
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 1 22 4 6 15 63
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 88 3 4 6 166
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 62 4 6 6 149
Comparison of Model Reduction Methods for VAR Processes 0 0 0 340 3 3 8 924
Comparison of Model Reduction Methods for VAR Processes 0 0 0 196 5 6 8 407
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 1 1 3 547
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 4 9 15 80
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems 0 0 1 16 4 9 14 390
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 37 0 3 6 67
Comparison of model reduction methods for VAR processes 0 0 0 13 5 8 13 86
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 4 5 10 265
Comparison of unit root tests for time series with level shifts 0 0 0 118 4 7 11 693
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 17 1 3 6 79
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 22 1 3 3 94
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 54 6 9 10 145
Confidence bands for impulse responses: Bonferroni versus Wald 0 0 0 58 2 2 2 84
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model 0 0 0 40 4 7 7 208
Consistent Specification of Cointegrated Autoregressive Moving-Average Systems 0 0 0 10 1 1 2 162
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review 0 0 0 50 2 2 4 63
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review 0 0 2 30 3 6 11 72
Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs 0 0 0 196 4 6 10 391
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 1 47 2 8 13 144
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 2 4 10 208
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 1 2 5 106
Econometric Analysis with Vector Autoregressive Models 2 4 12 2,941 13 19 38 6,460
Estimating the Kronecker indices of cointegrated echelon form VARMA models 0 0 0 19 7 9 12 278
Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions 0 0 0 152 7 9 11 283
Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions 0 0 0 22 5 7 9 34
Forecasting Aggregated Time Series Variables: A Survey 0 0 2 342 3 6 10 621
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 165 6 9 10 216
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 40 1 1 1 142
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 2 2 3 303
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 84 5 8 12 162
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 110 3 5 11 254
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 55 4 5 8 167
Forecasting cointegrated VARMA processes 0 0 0 120 2 2 4 356
Forecasting euro-area variables with German pre-EMU data 0 0 0 55 4 5 6 201
Forecasting with VARMA Models 0 0 1 780 7 14 22 1,694
Fundamental Problems with Nonfundamental Shocks 0 0 0 128 5 7 9 319
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity 0 0 0 129 1 7 9 336
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 0 25 12 25 26 53
Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 2 17 4 7 12 33
Heteroskedastic Proxy Vector Autoregressions 0 0 1 61 8 13 16 129
Heteroskedastic Proxy Vector Autoregressions 0 0 0 5 2 5 7 18
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 1 1 1 19 4 6 8 102
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 46 7 10 12 45
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 1 1 5 13 6 7 14 42
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 3 37 5 7 19 59
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 189 4 9 16 387
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 198 5 11 18 443
Identifying Structural Vector Autoregressions via Changes in Volatility 0 0 2 255 1 2 7 386
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 4 7 9 575
Impulse Response Analysis of Vector Autoregressive Processes 0 0 0 522 5 7 12 3,401
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 24 6 12 18 45
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 50 7 8 10 85
Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference 0 0 0 40 4 4 4 259
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 69 4 6 7 406
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 4 6 8 1,692
Kointegration und gemeinsame Trends 0 0 0 128 3 3 3 444
Konjunkturanalyse mit Markov-Regimewechselmodellen 0 0 0 0 0 3 6 173
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System 0 0 0 459 0 2 4 852
Lag selection in subset VAR models with an application to a US monetary system 0 0 0 113 3 9 12 403
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 2 5 7 149
Lutkepohl 0 0 1 740 31 31 32 2,740
Making Wald Tests Work for Cointegrated VAR Systems 0 0 0 0 4 6 10 68
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 106 5 6 10 633
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 1 2 4 6 964
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 3 762 3 7 22 3,711
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 3 7 10 341
Modelling the Demand for M3 in the unified Germany 0 0 0 0 3 9 11 1,069
Multivariate Volatility Analysis of VW Stock Prices 0 0 0 0 1 4 6 399
Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate 0 0 0 22 3 3 5 155
On the reliability of chow type test for parameter constancy in multivariate dynamic models 0 0 0 118 6 8 12 652
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 6 10 15 338
Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference 0 1 3 7 5 8 14 30
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference 1 2 18 18 5 19 30 30
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility 1 1 2 23 6 7 13 30
Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 144 6 12 12 420
Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models 0 1 3 265 4 6 12 937
Problems Related to Testing for Granger-Causality in VARMA Processes 0 0 0 0 5 7 7 263
Problems related to bootstrapping impulse responses of autoregressive processes 0 0 0 25 4 6 8 223
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis 0 0 0 35 3 4 8 91
Recent Advances in Cointegration Analysis 0 0 2 569 2 3 12 732
Reducing Confidence Bands for Simulated Impulse Responses 0 0 0 89 1 4 7 155
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 4 5 9 1,820
Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions 7 22 22 22 8 25 25 25
Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten 0 0 0 18 2 5 7 363
Statistische Modellierung von Volatilitäten 0 0 0 7 4 5 6 203
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 5 6 6 375
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 5 7 13 401
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models 0 0 1 67 2 6 10 169
Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models 0 0 2 80 3 12 23 193
Structural Vector Autoregressions with Markov Switching 2 2 3 304 7 9 13 570
Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks 0 0 0 212 2 6 8 401
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 242 5 11 18 667
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 1 6 9 404
Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market 0 0 3 139 6 16 26 269
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 86 3 9 11 166
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity 0 0 0 19 4 4 10 97
Structural Vector Autoregressive Analysis for Cointegrated Variables 2 2 2 857 7 8 14 1,616
Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey 0 0 5 233 11 13 25 395
Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity 0 0 1 45 2 9 13 85
Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models 1 1 1 154 7 11 12 171
Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market 0 0 0 90 13 14 16 182
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity 0 0 0 26 5 7 9 115
Structural vector autoregressive analysis in a data rich environment: A survey 0 0 0 79 1 4 8 163
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 5 8 9 571
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 9 13 18 149
Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates 0 1 1 109 18 24 25 198
Testing for Multi-Step Causality in Time Series 0 0 0 64 5 5 10 475
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 2 7 9 817
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 1 3 3 350
Testing for identification in SVAR-GARCH models 0 0 0 66 2 5 6 123
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 5 6 8 416
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 5 7 13 270
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 4 4 7 324
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 2 5 8 259
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 10 14 14 309
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 2 4 6 538
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 2 7 11 335
Testing for unit roots in time series with level shifts 0 0 0 12 2 2 6 389
The Relation between Monetary Policy and the Stock Market in Europe 0 1 1 108 4 8 10 213
The Role of the Log Transformation in Forecasting Economic Variables 0 0 7 2,124 6 16 50 10,139
The Transmission of German Monetary Policy in the Pre-Euro Period 0 0 0 257 2 4 7 1,234
The transmission of German monetary policy in the pre-Euro period 0 0 0 76 3 5 9 719
Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions 1 1 48 48 8 16 58 58
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 3 6 7 224
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe 0 0 1 320 5 6 10 1,102
Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe 0 0 2 259 4 7 11 665
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 3 7 9 1,045
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 4 5 11 475
Unit root tests in the presence of innovational outliers 0 0 1 59 7 9 13 315
Vector Autoregressive Models 13 23 65 1,824 41 82 193 4,595
Vector autoregressions 0 0 1 61 8 13 17 596
Vector autoregressive analysis 0 0 0 57 5 7 13 541
Was there a regime change in the German monetary transmission mechanism in 1983? 0 0 0 23 4 5 6 176
Total Working Papers 35 71 303 25,594 745 1,270 2,123 84,887

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES 0 0 0 21 0 1 1 66
A REVIEW OF SYSTEMS COINTEGRATION TESTS 1 2 2 347 5 9 13 870
A Review of Nonparametric Time Series Analysis 1 1 1 9 3 3 8 35
A lag augmentation test for the cointegrating rank of a VAR process 0 2 2 41 1 16 20 160
A model for non-negative and non-positive distributed lag functions 0 0 1 39 2 4 5 127
A money demand system for German M3 0 0 0 263 3 6 6 1,303
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals 0 0 2 98 3 5 9 190
A small monetary system for the euro area based on German data 0 0 0 0 0 1 3 11
A small monetary system for the euro area based on German data 0 0 0 139 4 6 9 425
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 0 0 2 4 11
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 2 1 6 7 20
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 0 1 1 4 5
Analysis of cointegrated VARMA processes 0 0 0 84 2 3 7 236
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process 0 0 0 32 3 6 10 95
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models 0 0 6 729 7 14 33 1,675
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 0 0 0 0 0 0
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 8 8 9 92
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity 0 1 2 26 3 6 13 93
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen 0 0 0 7 4 4 4 97
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen 0 0 0 7 1 1 1 63
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R 0 0 3 192 4 5 8 502
Book reviews 0 0 0 2 1 3 5 23
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH 0 0 1 16 6 10 18 71
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS 0 0 3 63 1 6 12 174
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS 0 1 6 49 7 13 21 106
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 12 3 5 7 42
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 0 1 4 5 13
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 19 1 2 6 70
Comment on essays on current state and future challenges of econometrics 0 0 0 23 2 2 3 142
Comparing external and internal instruments for vector autoregressions 0 0 0 0 1 4 10 10
Comparison of local projection estimators for proxy vector autoregressions 1 1 3 7 5 6 11 39
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 30 4 8 10 107
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 98 2 8 9 278
Comparison of unit root tests for time series with level shifts 0 0 0 5 6 11 12 39
Confidence Bands for Impulse Responses: Bonferroni vs. Wald 0 0 1 11 1 5 13 66
Constructing joint confidence bands for impulse response functions of VAR models – A review 0 0 0 4 3 5 10 34
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA 0 0 0 3 1 4 8 14
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS 1 2 2 91 9 12 16 242
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 3 53 4 7 16 260
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models 0 0 1 186 10 16 18 367
Estimating the Kronecker indices of cointegrated echelon-form VARMA models 0 0 0 1 6 10 11 505
Estimation of structural impulse responses: short-run versus long-run identifying restrictions 0 0 0 10 3 5 7 48
Forecasting Aggregated Time Series Variables: A Survey 0 1 9 174 13 22 42 567
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index 0 0 1 59 2 3 8 168
Forecasting Contemporaneously Aggregated Vector ARMA Processes 0 0 0 0 1 1 3 543
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 31 2 2 2 116
Forecasting Vector ARMA Processes with Systematically Missing Observations 0 0 0 0 1 1 3 200
Forecasting contemporaneous aggregates with stochastic aggregation weights 0 0 0 18 3 7 8 62
Forecasting euro area variables with German pre-EMU data 0 0 0 44 5 7 10 159
Forecasting levels of log variables in vector autoregressions 1 1 1 32 4 8 10 115
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology 1 1 2 264 7 8 15 811
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity 0 0 0 0 1 3 4 108
Granger-causality in cointegrated VAR processes The case of the term structure 0 3 5 461 1 8 14 926
Have the effects of shocks to oil price expectations changed? 0 0 1 1 10 22 26 27
Heteroscedastic Proxy Vector Autoregressions 0 0 1 8 4 5 10 24
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies 0 0 0 2 7 11 13 21
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews 1 2 8 299 2 4 13 737
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 4 6 12 54
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 1 8 15 558
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 319 2 4 10 690
Impulse response analysis of cointegrated systems 0 2 4 923 9 13 16 1,613
Inference in partially identified heteroskedastic simultaneous equations models 0 0 0 3 8 11 13 29
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 2 3 6 77
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 2 322 5 7 12 900
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 4 4 8 75
Linear aggregation of vector autoregressive moving average processes 0 0 1 54 4 7 11 140
Linear transformations of vector ARMA processes 0 0 3 295 2 5 11 515
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 3 7 11 2,485
Michael Leserer - Grundlagen der Ökonometrie 0 0 0 1 7 7 10 17
Modeling The Demand For M3 In The Unified Germany 0 0 1 143 1 3 4 423
Modified Wald tests under nonregular conditions 0 1 1 112 5 8 13 330
Money demand in Europe: Editors' preface 0 0 0 59 1 2 3 323
Mulaik, S. A.: Foundations of factor analysis 0 0 0 28 6 8 10 74
Multivariate volatility analysis of VW stock prices 0 0 0 3 1 7 8 14
Non-causality due to omitted variables 1 1 4 286 3 5 13 787
Non-linear least squares estimation under non-linear equality constraints 0 0 0 66 0 0 0 167
Nonparametric dynamic modelling 0 0 0 18 1 1 1 61
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models 0 0 0 197 10 14 32 495
On unit root tests in the presence of transitional growth 0 1 1 26 5 12 23 177
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 43 7 11 12 198
Prediction Tests for Structural Stability of Multiple Time Series 0 0 0 0 1 2 2 162
Prediction tests for structural stability 0 0 0 22 1 2 2 62
Problems related to over-identifying restrictions for structural vector error correction models 1 2 4 66 2 7 14 213
Qualitative versus quantitative external information for proxy vector autoregressive analysis 0 1 2 17 2 5 7 56
Reducing confidence bands for simulated impulse responses 1 1 1 13 4 6 9 42
Residual autocorrelation testing for vector error correction models 0 2 5 216 7 12 21 945
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY 0 0 1 26 1 1 8 94
Specification of Echelon-Form VARMA Models 0 0 0 0 2 5 5 490
Specification of varying coefficient time series models via generalized flexible least squares 0 0 1 129 2 5 11 295
Structural Vector Autoregressions With Nonnormal Residuals 0 0 1 76 3 6 11 242
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 3 3 7 10 36
Structural vector autoregressions with Markov switching 2 3 9 408 10 26 57 964
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 0 2 9 161 1 8 26 403
Structural vector autoregressions with heteroskedasticity: A review of different volatility models 0 1 9 103 6 12 23 257
Structural vector autoregressions with smooth transition in variances 0 0 5 78 6 9 23 247
Structural vector autoregressive analysis for cointegrated variables 0 3 8 206 0 10 39 586
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity 0 0 1 5 3 6 11 44
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 8 16 16 190
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 5 6 8 149
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 18 3 5 7 84
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 3 2 6 8 13
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 5 9 14 565
Testing for Causation Using Infinite Order Vector Autoregressive Processes 0 0 0 48 5 16 20 172
Testing for identification in SVAR-GARCH models 1 1 3 54 8 9 28 193
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 2 3 7 183
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 5 6 8 1,274
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 2 3 514
Testing for the cointegrating rank of a VAR process with a time trend 0 1 3 153 3 5 12 412
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 1 3 4 195
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 6 8 11 24
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 1 5 6 14
The 0 0 0 0 3 3 3 131
The Optimality of Rational Distributed Lags: A Comment 0 0 0 26 3 3 6 209
The Relation between Monetary Policy and the Stock Market in Europe 1 2 2 29 5 7 11 102
The Stability Assumption in Tests of Causality between Money and Income 0 0 0 0 2 6 9 253
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions 0 0 0 15 2 2 5 58
The role of the log transformation in forecasting economic variables 0 0 10 131 9 12 35 419
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 2 4 11
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 6 9 11 328
Total Journal Articles 14 42 164 10,303 425 790 1,352 34,143
2 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
New Introduction to Multiple Time Series Analysis 1 3 10 63 61 147 568 2,158
Structural Vector Autoregressive Analysis 0 0 0 0 16 47 137 867
Structural Vector Autoregressive Analysis 0 0 0 0 15 41 180 1,607
Total Books 1 3 10 63 92 235 885 4,632

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Cointegrated VARMA Processes 0 0 0 2 3 3 5 21
Estimation of VARMA Models 0 0 0 1 7 8 13 40
Estimation of Vector Autoregressive Processes 0 0 1 8 6 8 30 133
Estimation of Vector Error Correction Models 0 0 0 4 0 5 16 70
Fitting Finite Order VAR Models to Infinite Order Processes 0 0 0 0 2 4 7 16
Forecasting with VARMA Models 0 0 4 826 10 27 41 3,760
Identifying Structural Vector Autoregressions Via Changes in Volatility☆This article was written while the author was a Bundesbank Professor at the Freie Universität Berlin. An earlier version of the paper was published as DIW Discussion Paper 1259 –http://www.diw.de/sixcms/detail.php?id=diw_0.1.c.412678.de 1 1 2 2 3 6 8 10
Introduction 0 0 2 10 3 6 31 170
Multivariate ARCH and GARCH Models 0 0 0 0 2 3 10 29
Periodic VAR Processes and Intervention Models 0 0 0 0 4 8 12 17
Recent Advances in Cointegration Analysis 0 0 0 3 1 4 7 12
Specification and Checking the Adequacy of VARMA Models 0 0 0 0 1 4 6 15
Specification of VECMs 0 0 1 1 4 6 10 43
Stable Vector Autoregressive Processes 0 1 2 15 4 10 33 177
State Space Models 0 0 1 1 3 3 8 28
Structural VARs and VECMs 0 0 1 12 3 5 21 85
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 1 6 9 14 34
Systems of Dynamic Simultaneous Equations 0 0 1 3 3 5 9 34
VAR Order Selection and Checking the Model Adequacy 0 0 1 8 2 9 29 100
VAR Processes with Parameter Constraints 0 0 1 6 4 6 21 64
Vector Autoregressive Moving Average Processes 0 0 0 0 1 2 12 37
Vector Error Correction Models 0 1 3 8 3 7 20 98
Vector autoregressive models 2 6 22 169 18 32 85 465
Total Chapters 3 9 42 1,080 93 180 448 5,458

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Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2026-02-12