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 1 1 1 159 2 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 0 1 10 669
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 35 0 1 6 221
Acquisition of information and share prices: An empirical investigation of cognitive dissonance 0 0 0 59 0 1 7 258
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 58 0 0 12 88
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 9 0 0 18 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 0 0 18 33
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 5 32 0 1 20 67
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 4 0 0 7 32
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 105 0 2 18 173
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH 1 1 1 68 1 2 24 160
Bootstrapping impulse responses in VAR analyses 1 1 5 300 1 1 21 764
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 1 1 1 332 1 2 10 757
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 0 0 22 71
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions 0 0 0 12 0 1 11 44
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 26 0 0 7 65
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 93 0 1 17 147
Comparing External and Internal Instruments for Vector Autoregressions 0 0 2 17 0 0 16 32
Comparing External and Internal Instruments for Vector Autoregressions 1 1 4 23 2 5 31 70
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems 0 0 0 408 0 0 11 1,124
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 42 0 0 18 86
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 22 1 2 15 70
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 62 0 1 13 156
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 1 1 89 0 3 10 172
Comparison of Model Reduction Methods for VAR Processes 0 0 0 340 0 0 9 927
Comparison of Model Reduction Methods for VAR Processes 0 0 0 196 0 1 11 411
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 0 2 15 560
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 2 17 87
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems 0 0 0 16 1 1 19 397
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 37 1 1 8 71
Comparison of model reduction methods for VAR processes 0 0 0 13 1 1 15 90
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 8 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 2 16 700
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 22 0 1 8 99
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 17 1 2 15 88
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 54 0 1 17 152
Confidence bands for impulse responses: Bonferroni versus Wald 0 0 0 58 0 1 4 86
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model 0 0 0 40 0 1 13 214
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 0 1 7 67
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review 0 0 1 30 1 2 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 0 1 15 148
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 0 0 12 113
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 2 3 14 216
Econometric Analysis with Vector Autoregressive Models 0 1 11 2,946 0 5 43 6,479
Estimating the Kronecker indices of cointegrated echelon form VARMA models 0 0 0 19 0 0 14 281
Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions 0 0 0 152 0 1 17 291
Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions 0 0 0 22 0 1 16 42
Forecasting Aggregated Time Series Variables: A Survey 0 0 2 344 0 1 17 631
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 1 2 12 219
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 0 0 6 306
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 110 0 0 10 256
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 84 0 0 16 167
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 55 0 1 9 170
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 0 2 28 1,703
Fundamental Problems with Nonfundamental Shocks 0 0 0 128 1 4 20 332
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity 0 0 0 129 0 1 13 341
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 1 26 0 0 30 57
Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 2 17 0 0 15 38
Heteroskedastic Proxy Vector Autoregressions 0 0 0 61 1 2 19 134
Heteroskedastic Proxy Vector Autoregressions 1 1 1 6 1 1 8 20
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 1 19 0 1 9 104
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 46 1 3 17 51
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 0 37 0 5 25 71
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 2 13 0 0 14 47
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 198 0 1 22 450
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 190 0 0 21 394
Identifying Structural Vector Autoregressions via Changes in Volatility 0 0 4 257 0 1 11 391
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 9 576
Impulse Response Analysis of Vector Autoregressive Processes 0 0 0 522 0 1 11 3,404
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 50 0 1 14 91
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 24 1 3 22 54
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 69 0 0 8 408
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 1 1 12 1,698
Kointegration und gemeinsame Trends 0 0 0 128 0 0 3 444
Konjunkturanalyse mit Markov-Regimewechselmodellen 0 0 0 0 0 2 6 175
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System 0 1 1 460 0 2 15 864
Lag selection in subset VAR models with an application to a US monetary system 0 1 1 114 0 2 18 410
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 3 14 157
Lutkepohl 0 0 1 741 0 0 37 2,746
Making Wald Tests Work for Cointegrated VAR Systems 0 0 0 0 1 1 16 75
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 106 1 3 18 645
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 1 1 2 8 967
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 1 1 763 1 3 24 3,723
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 0 1 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 1 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 0 1 14 340
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 3 29 37
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility 0 0 2 23 1 3 14 35
Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 144 0 0 21 429
Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models 0 1 3 266 1 2 16 943
Problems Related to Testing for Granger-Causality in VARMA Processes 0 0 0 0 0 2 9 265
Problems related to bootstrapping impulse responses of autoregressive processes 1 1 1 26 1 1 10 225
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis 0 0 0 35 0 1 10 94
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 5 5 5 0 5 5 5
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 7 7 7 1 8 8 8
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 19 19 19 1 31 31 31
Recent Advances in Cointegration Analysis 0 0 0 569 0 0 10 734
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 3 13 1,825
Review of Proxy Vector Autoregressive Analysis 1 2 27 27 1 7 28 28
Review of Proxy Vector and Autoregressive Analysis 0 3 16 16 0 4 9 9
Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions 0 0 22 22 1 2 38 38
Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten 0 0 0 18 0 2 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 0 172 0 0 13 382
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 0 17 406
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models 0 0 1 67 0 1 14 173
Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models 0 0 2 82 0 4 27 204
Structural Vector Autoregressions with Markov Switching 0 0 3 304 0 2 14 573
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 1 2 244 0 1 21 673
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 3 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 0 3 31 281
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 86 0 0 22 177
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity 0 0 0 19 0 1 13 104
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 2 857 0 0 19 1,623
Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey 0 0 2 233 0 2 26 404
Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity 0 0 0 45 1 2 18 94
Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models 0 0 1 154 0 1 18 178
Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market 0 0 0 90 0 2 23 191
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity 0 0 0 26 1 2 16 122
Structural vector autoregressive analysis in a data rich environment: A survey 0 0 1 80 0 5 25 181
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 0 15 577
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 0 1 24 156
Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates 0 0 1 109 0 0 59 232
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 0 0 12 822
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 1 7 354
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 0 0 14 423
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 0 1 15 273
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 0 0 22 317
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 14 340
Testing for unit roots in time series with level shifts 0 0 0 12 0 0 7 390
The Relation between Monetary Policy and the Stock Market in Europe 0 0 1 108 1 2 16 221
The Role of the Log Transformation in Forecasting Economic Variables 0 1 5 2,127 0 8 49 10,158
The Transmission of German Monetary Policy in the Pre-Euro Period 0 0 0 257 0 0 11 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 3 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 7 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 1 288 0 1 14 1,051
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 0 13 478
Unit root tests in the presence of innovational outliers 0 0 1 60 0 1 15 320
Vector Autoregressive Models 2 11 63 1,851 7 36 228 4,705
Vector autoregressions 0 0 0 61 0 0 19 599
Vector autoregressive analysis 0 0 0 57 0 1 19 551
Was there a regime change in the German monetary transmission mechanism in 1983? 0 0 0 23 1 1 7 177
Total Working Papers 10 63 251 25,739 45 284 2,762 86,038

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 6 71
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 0 2 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 1 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 1 1 14 199
A small monetary system for the euro area based on German data 0 0 0 139 2 3 13 430
A small monetary system for the euro area based on German data 0 0 0 0 0 1 5 14
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 0 0 0 3 12
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 2 0 0 10 24
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 0 0 0 12 14
Analysis of cointegrated VARMA processes 0 0 0 84 2 4 13 245
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process 0 0 0 32 0 0 14 101
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models 0 1 5 733 2 3 35 1,688
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 0 0 1 2 4 4
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 1 2 3 28 1 5 20 103
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 1 1 1 193 2 2 8 505
Book reviews 0 0 0 2 1 1 6 24
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH 0 1 2 17 0 2 20 77
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS 0 0 2 63 1 1 12 176
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS 0 1 3 51 0 2 26 117
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 12 0 2 10 47
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 0 1 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 1 2 6 145
Comparing external and internal instruments for vector autoregressions 0 1 2 2 2 5 24 24
Comparison of local projection estimators for proxy vector autoregressions 0 1 4 9 0 2 14 46
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 30 0 1 17 115
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 1 4 13 283
Comparison of unit root tests for time series with level shifts 0 0 0 5 1 3 16 44
Confidence Bands for Impulse Responses: Bonferroni vs. Wald 0 0 0 11 1 1 18 73
Constructing joint confidence bands for impulse response functions of VAR models – A review 0 1 1 5 0 5 13 40
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA 0 0 0 3 0 0 4 14
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS 0 0 2 91 1 2 25 254
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 0 53 1 4 19 270
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models 0 0 1 187 0 1 23 373
Estimating the Kronecker indices of cointegrated echelon-form VARMA models 0 0 0 1 1 2 14 509
Estimation of structural impulse responses: short-run versus long-run identifying restrictions 0 0 0 10 0 1 9 51
Forecasting Aggregated Time Series Variables: A Survey 0 0 3 174 1 4 45 582
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index 0 0 0 59 2 3 13 177
Forecasting Contemporaneously Aggregated Vector ARMA Processes 0 0 0 0 1 2 9 551
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 1 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 3 15 165
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 0 0 14 813
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity 0 0 0 0 0 2 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 1 26 30
Heteroscedastic Proxy Vector Autoregressions 1 2 2 10 1 2 11 30
Heteroskedastic Structural Vector Autoregressions Identified via Long‐Run Restrictions 0 0 0 0 1 1 1 1
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies 1 2 2 4 1 5 18 27
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews 0 0 3 300 1 5 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 2 3 16 61
Impulse response analysis in infinite order cointegrated vector autoregressive processes 1 1 1 320 1 1 8 692
Impulse response analysis of cointegrated systems 0 1 5 925 0 1 22 1,620
Inference in partially identified heteroskedastic simultaneous equations models 0 0 0 3 1 2 19 35
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 1 2 8 81
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 1 322 0 3 22 914
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 1 3 10 80
Linear aggregation of vector autoregressive moving average processes 0 0 2 55 0 1 14 146
Linear transformations of vector ARMA processes 1 1 1 296 2 5 15 524
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 1 1 16 2,494
Michael Leserer - Grundlagen der Ökonometrie 0 0 0 1 0 1 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 1 3 114 2 3 22 341
Money demand in Europe: Editors' preface 0 0 0 59 0 0 4 324
Mulaik, S. A.: Foundations of factor analysis 0 0 1 29 0 1 12 76
Multivariate volatility analysis of VW stock prices 0 0 0 3 2 3 14 20
Non-causality due to omitted variables 0 0 2 287 0 1 8 789
Non-linear least squares estimation under non-linear equality constraints 0 0 0 66 0 1 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 1 2 28 504
On unit root tests in the presence of transitional growth 0 0 1 26 0 0 19 181
Partial identification of structural vector autoregressions with non-centred stochastic volatility 1 1 1 1 2 2 2 2
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 43 0 0 19 205
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 1 1 7 67
Problems related to over-identifying restrictions for structural vector error correction models 0 1 4 67 0 3 20 223
Qualitative versus quantitative external information for proxy vector autoregressive analysis 0 1 3 18 1 2 10 60
Reducing confidence bands for simulated impulse responses 0 0 1 13 0 1 17 51
Residual autocorrelation testing for vector error correction models 0 2 7 218 0 2 30 954
Review of Proxy Vector Autoregressive Analysis 0 1 5 5 0 2 8 8
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY 0 0 0 26 2 3 10 101
Specification of Echelon-Form VARMA Models 0 0 0 0 0 1 9 494
Specification of varying coefficient time series models via generalized flexible least squares 0 0 1 129 0 1 10 296
Structural Vector Autoregressions With Nonnormal Residuals 0 1 2 77 0 1 15 248
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 3 0 0 11 39
Structural vector autoregressions with Markov switching 1 2 8 412 5 9 55 987
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 0 1 6 164 0 3 30 419
Structural vector autoregressions with heteroskedasticity: A review of different volatility models 0 0 6 106 1 2 30 273
Structural vector autoregressions with smooth transition in variances 0 0 4 81 2 2 20 257
Structural vector autoregressive analysis for cointegrated variables 1 2 6 208 2 6 69 636
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity 0 0 1 5 0 0 11 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 1 16 159
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 3 21 1 1 13 91
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 3 1 2 11 16
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 0 1 14 569
Testing for Causation Using Infinite Order Vector Autoregressive Processes 0 0 0 48 0 0 23 176
Testing for identification in SVAR-GARCH models 0 0 1 54 0 4 35 214
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 0 6 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 0 2 13 1,279
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 1 2 9 520
Testing for the cointegrating rank of a VAR process with a time trend 0 0 3 154 0 1 13 417
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 1 2 10 201
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 1 2 12 21
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 1 2 16 31
The 0 0 0 0 1 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 1 1 9 104
The Stability Assumption in Tests of Causality between Money and Income 0 0 0 0 1 1 11 256
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions 0 0 0 15 0 1 7 63
The role of the log transformation in forecasting economic variables 1 2 9 136 3 12 43 441
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 3 7 15
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 1 2 17 334
Total Journal Articles 11 34 144 10,372 78 222 1,787 34,932
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 2 10 67 18 98 523 2,399
Structural Vector Autoregressive Analysis 0 0 0 0 10 29 142 1,660
Structural Vector Autoregressive Analysis 0 0 0 0 10 41 190 966
Total Books 0 2 10 67 38 168 855 5,025

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 2 5 5
Cointegrated VARMA Processes 0 0 1 3 0 0 7 25
Estimation of VARMA Models 0 0 0 1 0 3 16 47
Estimation of Vector Autoregressive Processes 0 0 0 8 0 2 20 138
Estimation of Vector Error Correction Models 1 1 1 5 2 2 18 78
Fitting Finite Order VAR Models to Infinite Order Processes 0 0 0 0 0 0 6 18
Forecasting with VARMA Models 0 0 2 827 0 3 57 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 0 0 13 172
Multivariate ARCH and GARCH Models 0 0 0 0 0 0 6 31
Periodic VAR Processes and Intervention Models 0 0 0 0 0 0 8 17
Recent Advances in Cointegration Analysis 0 0 0 3 1 1 9 16
Specification and Checking the Adequacy of VARMA Models 0 0 0 0 0 3 8 18
Specification of VECMs 0 0 0 1 1 1 9 46
Stable Vector Autoregressive Processes 0 1 2 16 1 4 27 187
State Space Models 0 0 0 1 0 0 3 28
Structural VARs and VECMs 0 0 0 12 0 0 18 93
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 1 7 35
VAR Order Selection and Checking the Model Adequacy 0 0 0 8 1 4 28 114
VAR Processes with Parameter Constraints 0 0 0 6 0 1 14 69
Vector Autoregressive Moving Average Processes 0 0 0 0 1 2 13 43
Vector Error Correction Models 1 1 4 9 2 3 16 104
Vector autoregressive models 1 2 17 176 2 9 71 493
Total Chapters 3 5 30 1,092 11 41 405 5,612

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