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 0 1 16 549
A Simple Instrument for Proxy Vector Autoregressive Analysis 0 0 1 52 0 0 12 94
A Small Monetary System for the Euro Area Based on German Data 0 0 0 138 0 0 5 408
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 1 1 159 0 3 13 332
A money demand system for M3 in the unified Germany 0 0 0 11 0 0 11 437
A review of systemscointegration tests 0 0 0 35 1 1 11 670
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 35 2 3 8 223
Acquisition of information and share prices: An empirical investigation of cognitive dissonance 0 0 0 59 1 1 8 259
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 58 0 0 11 88
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 9 0 0 17 58
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 1 8 196
Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis 0 0 0 9 2 2 19 35
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 5 32 1 1 20 68
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 105 1 2 19 174
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 4 1 1 8 33
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH 0 1 1 68 0 1 23 160
Bootstrapping impulse responses in VAR analyses 0 1 4 300 0 1 17 764
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 1 1 332 0 1 9 757
Calculating Joint Bands for Impulse Response Functions using Highest Density Regions 0 0 0 14 0 1 7 28
Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions 0 0 0 38 2 2 24 73
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions 0 0 0 12 0 1 10 44
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 26 3 3 10 68
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 93 0 0 17 147
Comparing External and Internal Instruments for Vector Autoregressions 0 1 3 23 0 4 29 70
Comparing External and Internal Instruments for Vector Autoregressions 0 0 2 17 1 1 17 33
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems 0 0 0 408 0 0 9 1,124
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 22 0 1 14 70
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 42 1 1 18 87
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 1 1 89 1 3 11 173
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 1 1 1 63 1 2 14 157
Comparison of Model Reduction Methods for VAR Processes 0 0 0 196 0 1 11 411
Comparison of Model Reduction Methods for VAR Processes 0 0 0 340 1 1 10 928
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 1 2 15 561
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 3 18 88
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems 0 0 0 16 1 2 20 398
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 37 1 2 9 72
Comparison of model reduction methods for VAR processes 0 0 0 13 0 1 14 90
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 7 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 2 16 701
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 17 0 1 15 88
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 54 1 1 17 153
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 22 0 0 8 99
Confidence bands for impulse responses: Bonferroni versus Wald 0 0 0 58 1 2 5 87
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model 0 0 0 40 1 2 14 215
Consistent Specification of Cointegrated Autoregressive Moving-Average Systems 0 0 0 10 0 0 2 162
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review 0 0 0 50 1 1 8 68
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review 0 0 1 30 0 1 17 82
Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs 0 0 1 197 0 4 18 402
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 0 47 1 1 14 149
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 0 2 13 216
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 0 0 11 113
Econometric Analysis with Vector Autoregressive Models 2 2 12 2,948 4 5 43 6,483
Estimating the Kronecker indices of cointegrated echelon form VARMA models 0 0 0 19 1 1 15 282
Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions 0 0 0 152 1 1 18 292
Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions 0 0 0 22 1 1 17 43
Forecasting Aggregated Time Series Variables: A Survey 1 1 3 345 5 5 22 636
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 40 0 0 3 144
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 165 2 3 14 221
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 0 0 5 306
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 110 0 0 8 256
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 84 1 1 17 168
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 55 0 0 8 170
Forecasting cointegrated VARMA processes 0 0 0 120 0 0 5 357
Forecasting euro-area variables with German pre-EMU data 0 0 0 55 0 0 11 206
Forecasting with VARMA Models 0 0 1 780 1 2 28 1,704
Fundamental Problems with Nonfundamental Shocks 0 0 0 128 0 1 20 332
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity 0 0 0 129 1 1 13 342
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 1 26 0 0 29 57
Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 1 17 0 0 14 38
Heteroskedastic Proxy Vector Autoregressions 0 0 0 61 0 1 19 134
Heteroskedastic Proxy Vector Autoregressions 0 1 1 6 0 1 8 20
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 1 19 0 0 8 104
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 46 0 2 17 51
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 0 37 2 3 25 73
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 2 13 0 0 13 47
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 190 1 1 22 395
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 198 0 0 22 450
Identifying Structural Vector Autoregressions via Changes in Volatility 0 0 4 257 0 0 11 391
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 8 576
Impulse Response Analysis of Vector Autoregressive Processes 0 0 0 522 0 1 10 3,404
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 24 0 2 21 54
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 50 0 0 14 91
Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference 0 0 0 40 0 0 7 262
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 0 1 12 1,698
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 69 0 0 8 408
Kointegration und gemeinsame Trends 0 0 0 128 0 0 3 444
Konjunkturanalyse mit Markov-Regimewechselmodellen 0 0 0 0 0 1 6 175
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System 0 1 1 460 2 3 17 866
Lag selection in subset VAR models with an application to a US monetary system 0 0 1 114 0 1 18 410
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 2 14 157
Lutkepohl 0 0 1 741 3 3 40 2,749
Making Wald Tests Work for Cointegrated VAR Systems 0 0 0 0 1 2 17 76
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 106 1 4 19 646
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 1 1 3 9 968
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 1 1 2 764 1 2 23 3,724
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 0 0 13 346
Modelling the Demand for M3 in the unified Germany 0 0 0 0 0 0 13 1,072
Multivariate Volatility Analysis of VW Stock Prices 0 0 0 0 0 0 6 400
Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate 0 0 0 22 0 1 6 156
On the reliability of chow type test for parameter constancy in multivariate dynamic models 0 0 0 118 0 0 12 656
Order selection in testing for the cointegrating rank of a VAR process 0 0 0 40 1 1 15 341
Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference 0 0 1 7 0 1 19 39
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference 0 0 3 19 0 2 29 37
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility 0 0 2 23 3 5 17 38
Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 144 1 1 22 430
Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models 0 1 2 266 0 2 15 943
Problems Related to Testing for Granger-Causality in VARMA Processes 0 0 0 0 0 0 9 265
Problems related to bootstrapping impulse responses of autoregressive processes 0 1 1 26 0 1 10 225
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis 0 0 0 35 0 0 9 94
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 1 5 5 2 5 7 7
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 0 7 7 3 7 11 11
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 0 19 19 3 7 34 34
Recent Advances in Cointegration Analysis 0 0 0 569 1 1 10 735
Reducing Confidence Bands for Simulated Impulse Responses 0 0 0 89 0 0 10 158
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 0 1 13 1,825
Review of Proxy Vector Autoregressive Analysis 0 1 27 27 2 3 30 30
Review of Proxy Vector and Autoregressive Analysis 0 1 16 16 2 4 11 11
Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions 0 0 22 22 4 5 42 42
Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten 0 0 0 18 0 1 12 368
Statistische Modellierung von Volatilitäten 0 0 0 7 0 1 8 206
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 0 16 406
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 0 13 382
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models 0 0 0 67 1 1 14 174
Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models 0 0 2 82 2 4 27 206
Structural Vector Autoregressions with Markov Switching 1 1 3 305 4 5 17 577
Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks 0 0 0 212 0 1 18 412
Structural Vector Autoregressions with Nonnormal Residuals 0 0 2 244 1 1 21 674
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 1 15 412
Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market 0 1 2 141 1 3 32 282
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 86 1 1 23 178
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity 0 0 0 19 4 5 17 108
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 2 857 1 1 17 1,624
Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey 0 0 2 233 2 2 26 406
Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity 0 0 0 45 1 3 19 95
Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models 0 0 1 154 2 3 20 180
Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market 0 0 0 90 0 1 23 191
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity 0 0 0 26 1 2 17 123
Structural vector autoregressive analysis in a data rich environment: A survey 0 0 1 80 1 3 26 182
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 1 1 16 578
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 1 1 25 157
Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates 0 0 1 109 2 2 61 234
Testing for Multi-Step Causality in Time Series 0 0 0 64 0 0 9 478
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 2 2 14 824
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 1 1 8 355
Testing for identification in SVAR-GARCH models 0 0 2 68 0 2 19 137
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 1 1 14 424
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 13 273
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 0 9 328
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 0 2 13 265
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 1 1 23 318
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 0 0 8 542
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 0 48 0 1 13 340
Testing for unit roots in time series with level shifts 0 0 0 12 0 0 6 390
The Relation between Monetary Policy and the Stock Market in Europe 0 0 1 108 0 1 16 221
The Role of the Log Transformation in Forecasting Economic Variables 0 0 4 2,127 5 8 50 10,163
The Transmission of German Monetary Policy in the Pre-Euro Period 0 0 0 257 0 0 10 1,238
The transmission of German monetary policy in the pre-Euro period 0 0 0 76 0 0 10 723
Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions 0 0 2 49 0 1 26 67
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 0 9 227
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe 0 0 0 320 0 0 6 1,102
Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe 0 0 0 259 0 0 11 669
Unit root tests for time series with a structural break: When the break point is known 0 0 0 288 1 1 14 1,052
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 0 10 478
Unit root tests in the presence of innovational outliers 0 0 1 60 0 0 15 320
Vector Autoregressive Models 5 13 68 1,856 16 38 237 4,721
Vector autoregressions 0 0 0 61 0 0 17 599
Vector autoregressive analysis 0 0 0 57 0 1 18 551
Was there a regime change in the German monetary transmission mechanism in 1983? 0 0 0 23 0 1 6 177
Total Working Papers 11 33 253 25,750 133 273 2,808 86,171

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 6 71
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 0 1 16 875
A Review of Nonparametric Time Series Analysis 0 1 2 10 0 2 9 40
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 0 1 23 167
A model for non-negative and non-positive distributed lag functions 0 1 1 40 0 1 9 132
A money demand system for German M3 0 0 0 263 0 0 7 1,304
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals 0 0 1 99 0 1 14 199
A small monetary system for the euro area based on German data 0 0 0 139 1 3 14 431
A small monetary system for the euro area based on German data 0 0 0 0 1 1 6 15
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 2 0 0 10 24
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 0 0 0 3 12
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 0 0 0 11 14
Analysis of cointegrated VARMA processes 0 0 0 84 0 2 13 245
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process 0 0 0 32 0 0 13 101
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models 0 1 5 733 2 5 32 1,690
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 0 0 1 3 5 5
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 0 15 98
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity 0 2 3 28 1 3 19 104
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen 0 0 0 7 0 1 7 100
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen 0 0 0 7 0 0 2 64
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R 0 1 1 193 0 2 8 505
Book reviews 0 0 0 2 0 1 6 24
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH 0 0 2 17 0 0 19 77
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS 0 0 0 63 1 2 11 177
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS 1 2 4 52 2 3 28 119
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 12 1 2 11 48
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 0 0 2 14 22
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 19 0 0 5 72
Comment on essays on current state and future challenges of econometrics 0 0 0 23 0 2 6 145
Comparing external and internal instruments for vector autoregressions 0 0 2 2 1 4 21 25
Comparison of local projection estimators for proxy vector autoregressions 0 1 3 9 1 2 14 47
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 30 1 1 18 116
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 1 4 14 284
Comparison of unit root tests for time series with level shifts 0 0 0 5 1 2 17 45
Confidence Bands for Impulse Responses: Bonferroni vs. Wald 0 0 0 11 0 1 15 73
Constructing joint confidence bands for impulse response functions of VAR models – A review 0 0 1 5 1 4 14 41
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA 0 0 0 3 1 1 5 15
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS 0 0 2 91 2 4 27 256
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 0 53 1 3 19 271
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models 1 1 2 188 1 2 23 374
Estimating the Kronecker indices of cointegrated echelon-form VARMA models 0 0 0 1 0 1 14 509
Estimation of structural impulse responses: short-run versus long-run identifying restrictions 0 0 0 10 0 0 9 51
Forecasting Aggregated Time Series Variables: A Survey 0 0 3 174 3 5 46 585
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index 0 0 0 59 0 3 13 177
Forecasting Contemporaneously Aggregated Vector ARMA Processes 0 0 0 0 1 3 10 552
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 31 0 0 2 116
Forecasting Vector ARMA Processes with Systematically Missing Observations 0 0 0 0 0 1 3 202
Forecasting contemporaneous aggregates with stochastic aggregation weights 0 0 0 18 0 0 12 66
Forecasting euro area variables with German pre-EMU data 0 0 0 44 1 2 16 166
Forecasting levels of log variables in vector autoregressions 0 1 2 33 0 2 18 123
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology 0 0 1 264 2 2 15 815
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity 0 0 0 0 0 1 7 112
Granger-causality in cointegrated VAR processes The case of the term structure 0 0 5 461 0 1 12 928
Have the effects of shocks to oil price expectations changed? 0 0 0 1 0 0 26 30
Heteroscedastic Proxy Vector Autoregressions 0 1 2 10 0 1 11 30
Heteroskedastic Structural Vector Autoregressions Identified via Long‐Run Restrictions 0 0 0 0 2 3 3 3
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies 0 1 2 4 1 2 19 28
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews 0 0 3 300 0 3 17 747
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 0 0 20 570
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 0 2 15 61
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 1 320 0 1 8 692
Impulse response analysis of cointegrated systems 0 0 4 925 0 0 21 1,620
Inference in partially identified heteroskedastic simultaneous equations models 0 0 0 3 0 2 19 35
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 0 1 8 81
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 1 322 3 6 25 917
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 1 9 80
Linear aggregation of vector autoregressive moving average processes 0 0 1 55 0 1 13 146
Linear transformations of vector ARMA processes 0 1 1 296 0 4 14 524
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 1 2 17 2,495
Michael Leserer - Grundlagen der Ökonometrie 0 0 0 1 0 0 12 20
Modeling The Demand For M3 In The Unified Germany 0 0 0 143 0 1 11 431
Modified Wald tests under nonregular conditions 1 2 4 115 1 4 23 342
Money demand in Europe: Editors' preface 0 0 0 59 1 1 5 325
Mulaik, S. A.: Foundations of factor analysis 0 0 1 29 1 1 13 77
Multivariate volatility analysis of VW stock prices 0 0 0 3 0 3 13 20
Non-causality due to omitted variables 0 0 2 287 0 1 7 789
Non-linear least squares estimation under non-linear equality constraints 0 0 0 66 0 0 1 168
Nonparametric dynamic modelling 0 0 0 18 0 0 5 65
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models 0 0 0 197 0 2 28 504
On unit root tests in the presence of transitional growth 0 0 1 26 0 0 18 181
Partial identification of structural vector autoregressions with non-centred stochastic volatility 0 1 1 1 2 4 4 4
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 43 0 0 18 205
Prediction Tests for Structural Stability of Multiple Time Series 0 0 0 0 0 0 5 165
Prediction tests for structural stability 0 0 0 22 0 1 7 67
Problems related to over-identifying restrictions for structural vector error correction models 0 1 3 67 0 3 18 223
Qualitative versus quantitative external information for proxy vector autoregressive analysis 0 0 3 18 2 3 12 62
Reducing confidence bands for simulated impulse responses 0 0 1 13 0 0 15 51
Residual autocorrelation testing for vector error correction models 0 2 7 218 2 4 29 956
Review of Proxy Vector Autoregressive Analysis 0 0 5 5 0 0 8 8
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY 0 0 0 26 1 4 10 102
Specification of Echelon-Form VARMA Models 0 0 0 0 0 0 9 494
Specification of varying coefficient time series models via generalized flexible least squares 0 0 0 129 0 1 8 296
Structural Vector Autoregressions With Nonnormal Residuals 0 0 2 77 1 1 16 249
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 3 1 1 11 40
Structural vector autoregressions with Markov switching 1 3 9 413 8 15 61 995
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 0 0 6 164 0 1 29 419
Structural vector autoregressions with heteroskedasticity: A review of different volatility models 0 0 4 106 0 1 28 273
Structural vector autoregressions with smooth transition in variances 0 0 4 81 0 2 20 257
Structural vector autoregressive analysis for cointegrated variables 1 3 7 209 2 6 67 638
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity 0 0 0 5 0 0 10 46
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 0 0 16 190
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 0 16 159
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 3 21 0 1 13 91
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 3 0 1 11 16
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 0 0 14 569
Testing for Causation Using Infinite Order Vector Autoregressive Processes 0 0 0 48 0 0 22 176
Testing for identification in SVAR-GARCH models 0 0 1 54 2 3 36 216
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 0 5 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 1 2 14 1,280
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 2 10 521
Testing for the cointegrating rank of a VAR process with a time trend 1 1 4 155 1 2 13 418
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 2 9 201
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 0 2 16 31
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 0 1 12 21
The 0 0 0 0 0 2 11 139
The Optimality of Rational Distributed Lags: A Comment 0 0 0 26 0 0 5 209
The Relation between Monetary Policy and the Stock Market in Europe 0 0 2 29 0 1 9 104
The Stability Assumption in Tests of Causality between Money and Income 0 0 0 0 0 1 11 256
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions 0 0 0 15 0 0 7 63
The role of the log transformation in forecasting economic variables 0 2 8 136 2 9 42 443
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 0 2 7 15
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 1 17 334
Total Journal Articles 6 30 139 10,378 64 208 1,788 34,996
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 0 1 9 67 29 79 498 2,428
Structural Vector Autoregressive Analysis 0 0 0 0 11 33 191 977
Structural Vector Autoregressive Analysis 0 0 0 0 5 23 135 1,665
Total Books 0 1 9 67 45 135 824 5,070

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Software for Teaching Multivariate Time Series Analysis 0 0 0 0 0 0 5 5
Cointegrated VARMA Processes 0 0 1 3 1 1 8 26
Estimation of VARMA Models 0 0 0 1 1 2 17 48
Estimation of Vector Autoregressive Processes 0 0 0 8 0 1 18 138
Estimation of Vector Error Correction Models 0 1 1 5 1 3 17 79
Fitting Finite Order VAR Models to Infinite Order Processes 0 0 0 0 2 2 8 20
Forecasting with VARMA Models 0 0 2 827 0 3 55 3,784
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 0 0 2 2 0 0 11 13
Introduction 0 0 1 10 1 1 11 173
Multivariate ARCH and GARCH Models 0 0 0 0 0 0 6 31
Periodic VAR Processes and Intervention Models 0 0 0 0 1 1 9 18
Recent Advances in Cointegration Analysis 0 0 0 3 0 1 8 16
Specification and Checking the Adequacy of VARMA Models 0 0 0 0 0 1 8 18
Specification of VECMs 0 0 0 1 1 2 10 47
Stable Vector Autoregressive Processes 0 0 2 16 1 3 23 188
State Space Models 0 0 0 1 0 0 3 28
Structural VARs and VECMs 0 0 0 12 2 2 16 95
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 1 0 0 15 38
Systems of Dynamic Simultaneous Equations 0 0 0 3 0 0 7 35
VAR Order Selection and Checking the Model Adequacy 0 0 0 8 0 2 26 114
VAR Processes with Parameter Constraints 0 0 0 6 1 1 13 70
Vector Autoregressive Moving Average Processes 0 0 0 0 0 1 11 43
Vector Error Correction Models 0 1 3 9 0 2 15 104
Vector autoregressive models 2 4 19 178 3 8 71 496
Total Chapters 2 6 31 1,094 15 37 391 5,627

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