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 1 3 16 549
A Simple Instrument for Proxy Vector Autoregressive Analysis 0 0 2 52 0 3 13 94
A Small Monetary System for the Euro Area Based on German Data 0 0 0 138 0 3 5 408
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 1 2 12 330
A money demand system for M3 in the unified Germany 0 0 0 11 0 3 12 437
A review of systemscointegration tests 0 0 0 35 0 3 10 669
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 35 1 2 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 2 12 88
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 9 0 2 18 58
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 3 9 196
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 6 32 0 4 22 67
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 4 0 1 7 32
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 105 1 3 19 173
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH 0 0 0 67 0 3 23 159
Bootstrapping impulse responses in VAR analyses 0 0 4 299 0 1 20 763
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 0 3 9 756
Calculating Joint Bands for Impulse Response Functions using Highest Density Regions 0 0 0 14 1 2 7 28
Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions 0 0 0 38 0 1 22 71
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions 0 0 0 12 1 3 11 44
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 26 0 1 8 65
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 93 0 4 17 147
Comparing External and Internal Instruments for Vector Autoregressions 0 1 2 17 0 3 17 32
Comparing External and Internal Instruments for Vector Autoregressions 0 1 3 22 2 7 30 68
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems 0 0 0 408 0 3 11 1,124
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 22 0 3 15 69
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 42 0 0 18 86
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 1 1 1 89 2 5 10 172
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 62 1 3 13 156
Comparison of Model Reduction Methods for VAR Processes 0 0 0 196 1 3 11 411
Comparison of Model Reduction Methods for VAR Processes 0 0 0 340 0 1 10 927
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 1 4 15 560
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 4 16 86
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems 0 0 0 16 0 3 18 396
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 37 0 0 8 70
Comparison of model reduction methods for VAR processes 0 0 0 13 0 2 14 89
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 9 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 3 16 700
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 17 0 3 14 87
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 54 0 4 17 152
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 22 0 3 8 99
Confidence bands for impulse responses: Bonferroni versus Wald 0 0 0 58 1 2 4 86
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model 0 0 0 40 1 4 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 2 7 67
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review 0 0 1 30 0 5 16 81
Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs 0 0 1 197 4 5 19 402
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 0 47 0 3 16 148
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 0 5 12 113
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 0 5 12 214
Econometric Analysis with Vector Autoregressive Models 0 4 11 2,946 1 13 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 3 17 291
Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions 0 0 0 22 0 4 16 42
Forecasting Aggregated Time Series Variables: A Survey 0 2 3 344 0 5 19 631
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 40 0 2 3 144
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 165 0 2 11 218
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 0 1 6 306
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 84 0 3 16 167
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 110 0 2 11 256
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 55 0 1 10 170
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 2 11 206
Forecasting with VARMA Models 0 0 1 780 1 4 30 1,703
Fundamental Problems with Nonfundamental Shocks 0 0 0 128 0 10 19 331
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity 0 0 0 129 0 2 14 341
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions 0 1 1 26 0 4 30 57
Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 2 17 0 4 15 38
Heteroskedastic Proxy Vector Autoregressions 0 0 0 61 0 2 18 133
Heteroskedastic Proxy Vector Autoregressions 0 0 0 5 0 0 7 19
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 46 1 3 16 50
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 Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 2 13 0 2 14 47
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 0 37 1 10 25 71
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 198 0 6 22 450
Identifying Monetary Policy Shocks via Changes in Volatility 0 1 1 190 0 6 21 394
Identifying Structural Vector Autoregressions via Changes in Volatility 0 1 4 257 0 4 11 391
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 1 9 576
Impulse Response Analysis of Vector Autoregressive Processes 0 0 0 522 1 1 11 3,404
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 50 0 5 16 91
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 24 1 4 21 53
Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference 0 0 0 40 0 1 7 262
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 0 2 11 1,697
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 1 2 6 175
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System 1 1 1 460 1 8 15 864
Lag selection in subset VAR models with an application to a US monetary system 0 1 1 114 1 5 19 410
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 2 6 14 157
Lutkepohl 0 1 1 741 0 3 37 2,746
Making Wald Tests Work for Cointegrated VAR Systems 0 0 0 0 0 2 15 74
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 1 1 1 8 966
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 106 2 5 17 644
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 1 1 763 0 7 23 3,722
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 0 2 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 1 1 6 156
On the reliability of chow type test for parameter constancy in multivariate dynamic models 0 0 0 118 0 2 14 656
Order selection in testing for the cointegrating rank of a VAR process 0 0 0 40 0 1 15 340
Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference 0 0 3 7 1 4 23 39
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference 0 0 4 19 2 4 30 37
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility 0 0 2 23 1 3 14 34
Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 144 0 4 21 429
Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models 1 1 3 266 1 2 15 942
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 0 0 0 25 0 0 9 224
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis 0 0 0 35 0 1 11 94
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 7 7 7 3 7 7 7
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 19 19 19 3 30 30 30
Recent Advances in Cointegration Analysis 0 0 0 569 0 1 10 734
Reducing Confidence Bands for Simulated Impulse Responses 0 0 0 89 0 2 10 158
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 1 3 13 1,825
Review of Proxy Vector Autoregressive Analysis 0 1 26 26 0 9 27 27
Review of Proxy Vector and Autoregressive Analysis 1 16 16 16 2 9 9 9
Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions 0 0 22 22 0 3 37 37
Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten 0 0 0 18 1 3 12 368
Statistische Modellierung von Volatilitäten 0 0 0 7 1 2 8 206
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 1 13 382
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 3 17 406
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models 0 0 1 67 0 4 14 173
Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models 0 0 2 82 2 6 27 204
Structural Vector Autoregressions with Markov Switching 0 0 3 304 1 3 15 573
Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks 0 0 0 212 1 3 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 1 7 15 412
Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market 1 1 2 141 2 7 32 281
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 86 0 5 22 177
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity 0 0 0 19 1 4 14 104
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 2 857 0 3 19 1,623
Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey 0 0 3 233 0 3 28 404
Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity 0 0 0 45 1 2 17 93
Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models 0 0 1 154 1 2 18 178
Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market 0 0 0 90 1 4 23 191
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity 0 0 0 26 0 2 15 121
Structural vector autoregressive analysis in a data rich environment: A survey 0 0 1 80 2 7 25 181
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 4 15 577
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 0 3 24 156
Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates 0 0 1 109 0 3 59 232
Testing for Multi-Step Causality in Time Series 0 0 0 64 0 1 10 478
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 0 1 13 822
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 4 7 354
Testing for identification in SVAR-GARCH models 0 2 2 68 2 7 19 137
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 2 14 423
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 1 3 15 273
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 3 9 328
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 2 5 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 2 8 542
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 1 2 15 340
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 0 4 15 220
The Role of the Log Transformation in Forecasting Economic Variables 0 2 5 2,127 3 13 51 10,158
The Transmission of German Monetary Policy in the Pre-Euro Period 0 0 0 257 0 3 11 1,238
The transmission of German monetary policy in the pre-Euro period 0 0 0 76 0 1 11 723
Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions 0 0 2 49 1 3 27 67
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 2 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 2 12 669
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 0 4 14 1,051
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 1 13 478
Unit root tests in the presence of innovational outliers 0 1 1 60 0 2 16 320
Vector Autoregressive Models 6 15 63 1,849 15 49 232 4,698
Vector autoregressions 0 0 0 61 0 3 19 599
Vector autoregressive analysis 0 0 0 57 1 7 20 551
Was there a regime change in the German monetary transmission mechanism in 1983? 0 0 0 23 0 0 6 176
Total Working Papers 11 82 246 25,724 92 584 2,775 85,988

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 3 6 71
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 1 2 16 875
A Review of Nonparametric Time Series Analysis 1 1 2 10 2 3 9 40
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 0 1 24 166
A model for non-negative and non-positive distributed lag functions 1 1 2 40 1 4 10 132
A money demand system for German M3 0 0 0 263 0 1 7 1,304
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals 0 1 1 99 0 6 14 198
A small monetary system for the euro area based on German data 0 0 0 0 0 3 5 14
A small monetary system for the euro area based on German data 0 0 0 139 0 1 12 428
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 0 0 1 4 12
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 2 0 1 10 24
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 0 0 2 12 14
Analysis of cointegrated VARMA processes 0 0 0 84 0 4 12 243
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process 0 0 0 32 0 2 15 101
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models 1 3 5 733 1 8 35 1,686
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 0 0 1 2 3 3
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 5 15 98
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity 1 1 2 27 1 7 20 102
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen 0 0 0 7 1 3 7 100
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen 0 0 0 7 0 1 2 64
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R 0 0 0 192 0 1 6 503
Book reviews 0 0 0 2 0 0 5 23
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH 0 1 2 17 0 4 22 77
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS 0 0 2 63 0 0 11 175
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS 1 2 4 51 1 8 28 117
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 12 1 3 11 47
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 0 1 2 13 21
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 19 0 1 6 72
Comment on essays on current state and future challenges of econometrics 0 0 0 23 1 2 5 144
Comparing external and internal instruments for vector autoregressions 0 2 2 2 1 7 22 22
Comparison of local projection estimators for proxy vector autoregressions 1 1 4 9 1 5 16 46
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 30 0 3 17 115
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 2 4 12 282
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 3 15 43
Confidence Bands for Impulse Responses: Bonferroni vs. Wald 0 0 0 11 0 2 18 72
Constructing joint confidence bands for impulse response functions of VAR models – A review 0 1 1 5 3 6 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 4 26 253
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 0 53 1 6 19 269
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models 0 0 1 187 1 2 23 373
Estimating the Kronecker indices of cointegrated echelon-form VARMA models 0 0 0 1 0 2 13 508
Estimation of structural impulse responses: short-run versus long-run identifying restrictions 0 0 0 10 0 2 9 51
Forecasting Aggregated Time Series Variables: A Survey 0 0 5 174 1 6 48 581
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index 0 0 0 59 1 6 11 175
Forecasting Contemporaneously Aggregated Vector ARMA Processes 0 0 0 0 1 3 8 550
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 3 201
Forecasting contemporaneous aggregates with stochastic aggregation weights 0 0 0 18 0 2 12 66
Forecasting euro area variables with German pre-EMU data 0 0 0 44 0 4 14 164
Forecasting levels of log variables in vector autoregressions 1 1 2 33 2 3 18 123
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology 0 0 1 264 0 1 14 813
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity 0 0 0 0 1 4 7 112
Granger-causality in cointegrated VAR processes The case of the term structure 0 0 5 461 1 1 12 928
Have the effects of shocks to oil price expectations changed? 0 0 0 1 0 3 27 30
Heteroscedastic Proxy Vector Autoregressions 0 1 1 9 0 2 11 29
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies 0 1 1 3 0 5 17 26
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews 0 0 4 300 2 6 17 746
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 0 4 14 59
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 0 7 20 570
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 0 319 0 0 8 691
Impulse response analysis of cointegrated systems 0 1 5 925 0 2 22 1,620
Inference in partially identified heteroskedastic simultaneous equations models 0 0 0 3 1 4 18 34
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 0 3 7 80
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 2 322 3 4 23 914
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 3 10 79
Linear aggregation of vector autoregressive moving average processes 0 0 2 55 1 2 16 146
Linear transformations of vector ARMA processes 0 0 0 295 2 4 14 522
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 5 15 2,493
Michael Leserer - Grundlagen der Ökonometrie 0 0 0 1 0 2 12 20
Modeling The Demand For M3 In The Unified Germany 0 0 0 143 1 3 11 431
Modified Wald tests under nonregular conditions 0 1 2 113 1 7 21 339
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 1 3 12 18
Non-causality due to omitted variables 0 0 2 287 1 1 9 789
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 2 5 65
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models 0 0 0 197 1 5 30 503
On unit root tests in the presence of transitional growth 0 0 1 26 0 2 21 181
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 43 0 5 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 0 4 6 66
Problems related to over-identifying restrictions for structural vector error correction models 1 1 4 67 3 6 21 223
Qualitative versus quantitative external information for proxy vector autoregressive analysis 0 1 3 18 0 1 9 59
Reducing confidence bands for simulated impulse responses 0 0 1 13 0 6 18 51
Residual autocorrelation testing for vector error correction models 2 2 7 218 2 5 30 954
Review of Proxy Vector Autoregressive Analysis 0 5 5 5 0 8 8 8
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY 0 0 0 26 1 3 8 99
Specification of Echelon-Form VARMA Models 0 0 0 0 0 3 9 494
Specification of varying coefficient time series models via generalized flexible least squares 0 0 1 129 1 1 12 296
Structural Vector Autoregressions With Nonnormal Residuals 0 1 2 77 0 2 16 248
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 3 0 2 12 39
Structural vector autoregressions with Markov switching 1 2 8 411 2 9 52 982
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 0 2 8 164 1 9 34 419
Structural vector autoregressions with heteroskedasticity: A review of different volatility models 0 0 8 106 0 4 31 272
Structural vector autoregressions with smooth transition in variances 0 0 5 81 0 3 20 255
Structural vector autoregressive analysis for cointegrated variables 1 1 5 207 2 8 69 634
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity 0 0 1 5 0 1 13 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 4 17 159
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 3 21 0 3 12 90
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 3 0 1 10 15
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 0 2 14 569
Testing for Causation Using Infinite Order Vector Autoregressive Processes 0 0 0 48 0 2 23 176
Testing for identification in SVAR-GARCH models 0 0 1 54 1 12 36 214
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 1 6 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 1 4 13 1,279
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 4 8 519
Testing for the cointegrating rank of a VAR process with a time trend 0 0 4 154 1 3 14 417
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 1 4 9 200
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 0 5 11 20
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 1 4 15 30
The 0 0 0 0 1 4 10 138
The Optimality of Rational Distributed Lags: A Comment 0 0 0 26 0 0 6 209
The Relation between Monetary Policy and the Stock Market in Europe 0 0 2 29 0 1 8 103
The Stability Assumption in Tests of Causality between Money and Income 0 0 0 0 0 0 11 255
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions 0 0 0 15 0 4 9 63
The role of the log transformation in forecasting economic variables 1 2 9 135 4 11 42 438
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 3 6 14
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 1 16 333
Total Journal Articles 13 36 147 10,361 66 392 1,782 34,854
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 2 10 67 32 121 559 2,381
Structural Vector Autoregressive Analysis 0 0 0 0 8 27 142 1,650
Structural Vector Autoregressive Analysis 0 0 0 0 12 49 186 956
Total Books 1 2 10 67 52 197 887 4,987

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 4 5 5
Cointegrated VARMA Processes 0 0 1 3 0 0 9 25
Estimation of VARMA Models 0 0 0 1 1 4 18 47
Estimation of Vector Autoregressive Processes 0 0 0 8 1 3 25 138
Estimation of Vector Error Correction Models 0 0 0 4 0 0 18 76
Fitting Finite Order VAR Models to Infinite Order Processes 0 0 0 0 0 2 8 18
Forecasting with VARMA Models 0 0 3 827 3 13 60 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 2 10 0 0 18 172
Multivariate ARCH and GARCH Models 0 0 0 0 0 0 9 31
Periodic VAR Processes and Intervention Models 0 0 0 0 0 0 10 17
Recent Advances in Cointegration Analysis 0 0 0 3 0 2 8 15
Specification and Checking the Adequacy of VARMA Models 0 0 0 0 1 3 9 18
Specification of VECMs 0 0 0 1 0 1 9 45
Stable Vector Autoregressive Processes 0 1 2 16 1 4 29 186
State Space Models 0 0 0 1 0 0 5 28
Structural VARs and VECMs 0 0 1 12 0 2 21 93
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 1 0 2 15 38
Systems of Dynamic Simultaneous Equations 0 0 0 3 0 1 8 35
VAR Order Selection and Checking the Model Adequacy 0 0 0 8 1 6 30 113
VAR Processes with Parameter Constraints 0 0 0 6 0 2 16 69
Vector Autoregressive Moving Average Processes 0 0 0 0 0 1 14 42
Vector Error Correction Models 0 0 3 8 0 2 18 102
Vector autoregressive models 1 3 18 175 3 12 74 491
Total Chapters 1 4 32 1,089 11 64 447 5,601

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Statistics updated 2026-07-10