Access Statistics for Helmut Lütkepohl

Author contact details at EconPapers.

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 0 0 4 533
A Simple Instrument for Proxy Vector Autoregressive Analysis 0 0 1 51 1 1 5 83
A Small Monetary System for the Euro Area Based on German Data 0 0 1 138 0 0 2 403
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 1 1 3 320
A money demand system for M3 in the unified Germany 0 0 0 11 1 1 3 427
A review of systemscointegration tests 0 0 0 35 0 0 2 659
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 35 0 0 0 215
Acquisition of information and share prices: An empirical investigation of cognitive dissonance 0 0 0 59 0 0 0 251
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 1 58 2 3 7 79
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 1 9 6 7 8 47
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 0 4 188
Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis 0 0 3 9 3 7 11 22
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 1 21 28 0 3 32 50
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 1 4 1 1 3 26
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 105 1 3 5 158
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH 0 0 0 67 3 4 6 140
Bootstrapping impulse responses in VAR analyses 0 1 2 296 4 8 11 751
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 1 2 2 749
Calculating Joint Bands for Impulse Response Functions using Highest Density Regions 0 0 0 14 0 0 0 21
Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions 0 0 0 38 1 1 2 50
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions 0 0 0 12 1 2 4 35
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 26 1 1 3 59
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 93 5 5 6 135
Comparing External and Internal Instruments for Vector Autoregressions 0 1 16 16 4 7 23 23
Comparing External and Internal Instruments for Vector Autoregressions 0 1 20 20 3 7 46 46
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems 0 0 0 408 0 2 4 1,115
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 42 0 1 4 69
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 1 22 1 2 11 57
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 62 0 0 0 143
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 88 0 0 2 162
Comparison of Model Reduction Methods for VAR Processes 0 0 0 196 1 1 2 401
Comparison of Model Reduction Methods for VAR Processes 0 0 0 340 3 3 6 921
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 1 2 546
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 1 6 71
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems 0 0 1 16 3 3 5 381
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 37 1 1 4 64
Comparison of model reduction methods for VAR processes 0 0 0 13 2 3 5 78
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 1 5 260
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 2 4 686
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 54 0 1 1 136
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 17 3 3 3 76
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 1 22 0 0 1 91
Confidence bands for impulse responses: Bonferroni versus Wald 0 0 0 58 0 0 0 82
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model 0 0 0 40 0 0 0 201
Consistent Specification of Cointegrated Autoregressive Moving-Average Systems 0 0 0 10 0 1 1 161
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review 0 0 0 50 0 1 3 61
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review 0 1 2 30 0 1 5 66
Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs 0 0 0 196 1 1 4 385
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 1 47 1 3 5 136
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 1 3 3 104
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 1 2 6 204
Econometric Analysis with Vector Autoregressive Models 1 2 13 2,937 1 5 31 6,441
Estimating the Kronecker indices of cointegrated echelon form VARMA models 0 0 0 19 2 2 3 269
Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions 0 0 0 152 0 0 4 274
Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions 0 0 0 22 1 1 2 27
Forecasting Aggregated Time Series Variables: A Survey 0 0 2 342 1 1 4 615
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 165 0 0 3 207
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 40 0 0 0 141
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 0 1 1 301
Forecasting Levels of log Variables in Vector Autoregressions 0 0 1 110 1 3 7 249
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 84 3 3 4 154
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 55 0 1 3 162
Forecasting cointegrated VARMA processes 0 0 0 120 1 2 2 354
Forecasting euro-area variables with German pre-EMU data 0 0 0 55 0 1 3 196
Forecasting with VARMA Models 0 1 2 780 1 5 10 1,680
Fundamental Problems with Nonfundamental Shocks 0 0 0 128 0 0 2 312
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity 0 0 0 129 0 1 2 329
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 0 25 0 1 2 28
Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions 0 2 2 17 0 3 6 26
Heteroskedastic Proxy Vector Autoregressions 0 0 2 61 1 1 5 116
Heteroskedastic Proxy Vector Autoregressions 0 0 0 5 0 1 4 13
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 18 0 1 3 96
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 46 1 1 2 35
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 37 37 2 6 52 52
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 1 1 12 12 1 2 35 35
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 189 4 5 8 378
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 198 4 4 8 432
Identifying Structural Vector Autoregressions via Changes in Volatility 2 2 2 255 4 4 5 384
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 3 568
Impulse Response Analysis of Vector Autoregressive Processes 0 0 0 522 0 1 7 3,394
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 24 0 1 8 33
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 50 0 0 2 77
Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference 0 0 0 40 0 0 0 255
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 0 0 3 1,686
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 69 0 0 1 400
Kointegration und gemeinsame Trends 0 0 0 128 0 0 0 441
Konjunkturanalyse mit Markov-Regimewechselmodellen 0 0 0 0 0 1 3 170
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System 0 0 0 459 1 1 2 850
Lag selection in subset VAR models with an application to a US monetary system 0 0 0 113 2 2 3 394
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 1 1 2 144
Lutkepohl 0 0 1 740 0 0 2 2,709
Making Wald Tests Work for Cointegrated VAR Systems 0 0 0 0 2 3 4 62
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 1 1 1 3 960
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 106 0 0 4 627
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 4 762 1 5 22 3,704
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 1 1 4 334
Modelling the Demand for M3 in the unified Germany 0 0 0 0 1 1 3 1,060
Multivariate Volatility Analysis of VW Stock Prices 0 0 0 0 1 1 4 395
Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate 0 0 0 22 1 2 2 152
On the reliability of chow type test for parameter constancy in multivariate dynamic models 0 0 0 118 0 0 4 644
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 1 2 5 328
Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference 0 0 2 6 1 2 7 22
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference 0 0 16 16 1 3 11 11
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility 1 1 1 22 2 2 7 23
Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 144 0 0 0 408
Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models 0 1 2 264 1 4 6 931
Problems Related to Testing for Granger-Causality in VARMA Processes 0 0 0 0 0 0 0 256
Problems related to bootstrapping impulse responses of autoregressive processes 0 0 0 25 2 2 2 217
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis 0 0 0 35 2 3 5 87
Recent Advances in Cointegration Analysis 0 0 2 569 4 5 9 729
Reducing Confidence Bands for Simulated Impulse Responses 0 0 0 89 3 3 4 151
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 3 3 5 1,815
Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten 0 0 0 18 2 2 2 358
Statistische Modellierung von Volatilitäten 0 0 0 7 0 0 1 198
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 3 5 6 394
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 0 0 369
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models 0 1 1 67 3 4 4 163
Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models 0 0 5 80 2 4 15 181
Structural Vector Autoregressions with Markov Switching 0 1 1 302 1 2 4 561
Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks 0 0 1 212 1 1 4 395
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 1 1 4 398
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 242 3 4 7 656
Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market 0 0 3 139 2 3 10 253
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 86 2 2 2 157
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity 0 0 0 19 2 2 8 93
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 855 0 4 7 1,608
Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey 0 2 5 233 0 4 15 382
Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity 0 0 1 45 0 0 5 76
Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models 0 0 0 153 0 0 2 160
Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market 0 0 0 90 0 0 2 168
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity 0 0 0 26 2 2 3 108
Structural vector autoregressive analysis in a data rich environment: A survey 0 0 0 79 3 3 4 159
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 1 1 1 563
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 3 4 5 136
Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates 0 0 0 108 0 1 1 174
Testing for Multi-Step Causality in Time Series 0 0 0 64 1 1 5 470
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 0 0 2 810
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 0 0 347
Testing for identification in SVAR-GARCH models 0 0 0 66 0 0 1 118
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 1 2 410
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 5 8 263
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 1 1 4 320
Testing for the cointegrating rank of a VAR process with an intercept 0 0 1 24 2 2 4 254
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 1 136 0 0 1 295
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 1 123 0 0 3 534
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 2 48 1 2 6 328
Testing for unit roots in time series with level shifts 0 0 0 12 2 4 5 387
The Relation between Monetary Policy and the Stock Market in Europe 0 0 1 107 0 0 3 205
The Role of the Log Transformation in Forecasting Economic Variables 1 2 7 2,124 7 14 43 10,123
The Transmission of German Monetary Policy in the Pre-Euro Period 0 0 0 257 1 3 4 1,230
The transmission of German monetary policy in the pre-Euro period 0 0 0 76 1 1 4 714
Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions 0 0 47 47 0 1 42 42
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 0 1 218
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe 0 0 1 320 0 1 4 1,096
Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe 0 0 2 259 0 0 4 658
Unit root tests for time series with a structural break: When the break point is known 0 1 1 288 0 1 2 1,038
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 2 5 6 470
Unit root tests in the presence of innovational outliers 0 0 1 59 1 1 6 306
Vector Autoregressive Models 9 13 57 1,801 20 36 146 4,513
Vector autoregressions 0 0 1 61 1 3 7 583
Vector autoregressive analysis 0 0 2 57 1 2 10 534
Was there a regime change in the German monetary transmission mechanism in 1983? 0 0 0 23 0 1 1 171
Total Working Papers 15 35 319 25,523 193 341 1,078 83,617

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 0 0 65
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 0 345 2 2 5 861
A Review of Nonparametric Time Series Analysis 0 0 0 8 1 1 5 32
A lag augmentation test for the cointegrating rank of a VAR process 0 0 0 39 0 0 4 144
A model for non-negative and non-positive distributed lag functions 0 0 1 39 0 0 1 123
A money demand system for German M3 0 0 0 263 0 0 1 1,297
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals 0 0 2 98 0 0 5 185
A small monetary system for the euro area based on German data 0 0 0 139 2 2 5 419
A small monetary system for the euro area based on German data 0 0 0 0 0 1 3 10
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 0 0 0 2 9
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 2 0 0 1 14
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 0 1 2 3 4
Analysis of cointegrated VARMA processes 0 0 0 84 1 1 4 233
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process 0 0 0 32 1 2 4 89
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models 1 1 7 729 3 8 23 1,661
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 1 1 1 84
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity 0 0 2 25 1 4 8 87
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen 0 0 0 7 0 0 0 93
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen 0 0 0 7 0 0 0 62
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R 0 0 4 192 0 0 5 497
Book reviews 0 0 0 2 1 2 2 20
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH 1 1 1 16 2 4 8 61
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS 0 2 4 63 2 4 7 168
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS 0 0 7 48 0 2 11 93
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 12 0 0 2 37
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 0 1 1 1 9
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 19 1 1 4 68
Comment on essays on current state and future challenges of econometrics 0 0 0 23 1 1 1 140
Comparing external and internal instruments for vector autoregressions 0 0 0 0 0 6 6 6
Comparison of local projection estimators for proxy vector autoregressions 0 1 2 6 0 1 7 33
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 30 1 1 2 99
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 98 0 0 1 270
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 0 1 28
Confidence Bands for Impulse Responses: Bonferroni vs. Wald 0 0 1 11 0 6 8 61
Constructing joint confidence bands for impulse response functions of VAR models – A review 0 0 0 4 0 2 5 29
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA 0 0 0 3 0 0 4 10
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS 0 0 0 89 1 1 4 230
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 6 53 1 2 15 253
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models 0 0 2 186 0 1 3 351
Estimating the Kronecker indices of cointegrated echelon-form VARMA models 0 0 0 1 0 0 1 495
Estimation of structural impulse responses: short-run versus long-run identifying restrictions 0 0 0 10 1 1 3 43
Forecasting Aggregated Time Series Variables: A Survey 1 2 9 173 4 8 22 545
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index 0 0 1 59 1 1 5 165
Forecasting Contemporaneously Aggregated Vector ARMA Processes 0 0 0 0 0 0 4 542
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 31 0 0 0 114
Forecasting Vector ARMA Processes with Systematically Missing Observations 0 0 0 0 0 0 2 199
Forecasting contemporaneous aggregates with stochastic aggregation weights 0 0 0 18 0 1 1 55
Forecasting euro area variables with German pre-EMU data 0 0 0 44 2 2 5 152
Forecasting levels of log variables in vector autoregressions 0 0 0 31 2 2 2 107
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology 0 0 1 263 3 4 7 803
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity 0 0 0 0 0 0 3 105
Granger-causality in cointegrated VAR processes The case of the term structure 0 2 4 458 0 2 11 918
Have the effects of shocks to oil price expectations changed? 0 0 1 1 1 1 4 5
Heteroscedastic Proxy Vector Autoregressions 0 0 1 8 0 0 6 19
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies 0 0 1 2 1 1 4 10
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews 0 0 9 297 2 3 14 733
Identifying Monetary Policy Shocks via Changes in Volatility 1 1 2 19 2 3 8 48
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 0 0 12 550
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 319 2 2 7 686
Impulse response analysis of cointegrated systems 0 1 5 921 0 2 6 1,600
Inference in partially identified heteroskedastic simultaneous equations models 0 0 0 3 2 2 2 18
Infinite-Order Cointegrated Vector Autoregressive Processes 0 1 1 31 0 1 3 74
Investigating Stability and Linearity of a German M1 Money Demand Function 1 1 2 322 1 1 9 893
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 1 5 71
Linear aggregation of vector autoregressive moving average processes 0 1 1 54 0 1 4 133
Linear transformations of vector ARMA processes 0 0 4 295 0 1 8 510
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 0 6 2,478
Michael Leserer - Grundlagen der Ökonometrie 0 0 0 1 2 2 3 10
Modeling The Demand For M3 In The Unified Germany 0 0 1 143 0 0 1 420
Modified Wald tests under nonregular conditions 0 0 0 111 2 3 7 322
Money demand in Europe: Editors' preface 0 0 0 59 1 1 1 321
Mulaik, S. A.: Foundations of factor analysis 0 0 1 28 2 2 3 66
Multivariate volatility analysis of VW stock prices 0 0 0 3 0 1 1 7
Non-causality due to omitted variables 0 0 4 285 0 1 9 782
Non-linear least squares estimation under non-linear equality constraints 0 0 0 66 0 0 1 167
Nonparametric dynamic modelling 0 0 0 18 0 0 0 60
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models 0 0 0 197 2 5 21 481
On unit root tests in the presence of transitional growth 0 0 0 25 1 3 16 165
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 43 0 1 1 187
Prediction Tests for Structural Stability of Multiple Time Series 0 0 0 0 0 0 0 160
Prediction tests for structural stability 0 0 0 22 0 0 0 60
Problems related to over-identifying restrictions for structural vector error correction models 0 1 3 64 1 3 9 206
Qualitative versus quantitative external information for proxy vector autoregressive analysis 0 1 2 16 0 1 5 51
Reducing confidence bands for simulated impulse responses 0 0 0 12 0 2 3 36
Residual autocorrelation testing for vector error correction models 3 3 4 214 5 9 11 933
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY 0 0 1 26 0 2 9 93
Specification of Echelon-Form VARMA Models 0 0 0 0 0 0 1 485
Specification of varying coefficient time series models via generalized flexible least squares 0 1 1 129 0 4 6 290
Structural Vector Autoregressions With Nonnormal Residuals 1 1 1 76 3 3 5 236
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 3 0 1 3 29
Structural vector autoregressions with Markov switching 1 1 6 405 4 6 35 938
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 0 1 7 159 3 6 20 395
Structural vector autoregressions with heteroskedasticity: A review of different volatility models 0 2 8 102 0 2 12 245
Structural vector autoregressions with smooth transition in variances 1 1 7 78 1 1 18 238
Structural vector autoregressive analysis for cointegrated variables 1 1 7 203 5 9 40 576
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity 0 1 1 5 2 3 7 38
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 0 0 1 174
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 0 2 143
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 3 2 2 2 7
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 18 1 1 2 79
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 1 5 556
Testing for Causation Using Infinite Order Vector Autoregressive Processes 0 0 1 48 2 3 8 156
Testing for identification in SVAR-GARCH models 0 0 2 53 0 5 19 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 1 2 5 180
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 1 2 2 1,268
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 1 2 512
Testing for the cointegrating rank of a VAR process with a time trend 0 1 3 152 1 3 9 407
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 1 3 192
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 0 0 1 9
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 1 1 3 16
The 0 0 0 0 0 0 0 128
The Optimality of Rational Distributed Lags: A Comment 0 0 0 26 1 2 3 206
The Relation between Monetary Policy and the Stock Market in Europe 0 0 0 27 0 0 4 95
The Stability Assumption in Tests of Causality between Money and Income 0 0 0 0 2 2 4 247
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions 0 0 0 15 0 0 3 56
The role of the log transformation in forecasting economic variables 2 4 12 131 3 9 29 407
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 1 2 9
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 2 2 2 319
Total Journal Articles 14 33 157 10,261 102 208 695 33,353
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 2 3 14 60 39 135 546 2,011
Structural Vector Autoregressive Analysis 0 0 0 0 20 48 196 1,566
Structural Vector Autoregressive Analysis 0 0 0 0 22 44 128 820
Total Books 2 3 14 60 81 227 870 4,397

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 0 0 5 18
Estimation of VARMA Models 0 0 0 1 1 1 8 32
Estimation of Vector Autoregressive Processes 0 0 1 8 2 7 29 125
Estimation of Vector Error Correction Models 0 0 0 4 2 5 15 65
Fitting Finite Order VAR Models to Infinite Order Processes 0 0 0 0 0 0 3 12
Forecasting with VARMA Models 0 1 10 826 3 6 22 3,733
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 1 1 2 2 2 4
Introduction 0 1 4 10 1 5 38 164
Multivariate ARCH and GARCH Models 0 0 0 0 1 1 7 26
Periodic VAR Processes and Intervention Models 0 0 0 0 0 0 5 9
Recent Advances in Cointegration Analysis 0 0 0 3 0 1 3 8
Specification and Checking the Adequacy of VARMA Models 0 0 0 0 0 1 2 11
Specification of VECMs 0 0 1 1 0 0 8 37
Stable Vector Autoregressive Processes 0 0 1 14 1 7 30 167
State Space Models 0 0 1 1 0 0 6 25
Structural VARs and VECMs 0 0 1 12 1 5 21 80
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 1 1 2 6 25
Systems of Dynamic Simultaneous Equations 0 0 1 3 1 1 4 29
VAR Order Selection and Checking the Model Adequacy 0 0 1 8 1 5 23 91
VAR Processes with Parameter Constraints 0 0 1 6 1 3 16 58
Vector Autoregressive Moving Average Processes 0 0 0 0 0 5 12 35
Vector Error Correction Models 1 2 2 7 1 3 16 91
Vector autoregressive models 2 4 18 163 4 11 67 433
Total Chapters 4 9 43 1,071 23 71 348 5,278

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