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 2 4 16 548
A Simple Instrument for Proxy Vector Autoregressive Analysis 0 0 2 52 3 4 13 94
A Small Monetary System for the Euro Area Based on German Data 0 0 0 138 3 3 5 408
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 1 2 11 329
A money demand system for M3 in the unified Germany 0 0 0 11 3 4 12 437
A review of systemscointegration tests 0 0 0 35 2 3 9 668
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 35 1 2 5 220
Acquisition of information and share prices: An empirical investigation of cognitive dissonance 0 0 0 59 0 0 6 257
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 58 2 3 12 88
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 9 2 3 18 58
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 2 4 9 195
Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis 0 0 1 9 0 3 19 33
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 2 6 32 3 5 23 66
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 4 1 3 7 32
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 105 1 6 18 171
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH 0 0 0 67 2 6 23 158
Bootstrapping impulse responses in VAR analyses 0 0 4 299 1 2 21 763
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 2 2 8 755
Calculating Joint Bands for Impulse Response Functions using Highest Density Regions 0 0 0 14 1 3 6 27
Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions 0 0 0 38 1 4 22 71
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions 0 0 0 12 2 5 10 43
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 26 1 3 8 65
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 93 3 7 17 146
Comparing External and Internal Instruments for Vector Autoregressions 1 1 4 17 3 3 21 32
Comparing External and Internal Instruments for Vector Autoregressions 1 1 4 22 4 8 29 65
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems 0 0 0 408 3 5 11 1,124
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 42 0 6 19 86
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 22 2 5 15 68
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 88 2 3 7 169
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 62 2 6 12 155
Comparison of Model Reduction Methods for VAR Processes 0 0 0 196 2 3 11 410
Comparison of Model Reduction Methods for VAR Processes 0 0 0 340 1 3 10 927
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 2 11 13 558
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 3 5 18 85
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems 0 0 0 16 3 6 19 396
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 37 0 3 8 70
Comparison of model reduction methods for VAR processes 0 0 0 13 2 3 14 89
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 2 10 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 5 15 698
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 17 2 7 13 86
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 54 3 6 16 151
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 22 2 4 7 98
Confidence bands for impulse responses: Bonferroni versus Wald 0 0 0 58 1 1 3 85
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model 0 0 0 40 3 5 12 213
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 3 6 66
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review 0 0 2 30 4 8 18 80
Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs 0 1 1 197 1 7 15 398
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 0 47 2 3 15 147
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 4 5 12 213
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 5 7 12 113
Econometric Analysis with Vector Autoregressive Models 3 4 12 2,945 8 14 43 6,474
Estimating the Kronecker indices of cointegrated echelon form VARMA models 0 0 0 19 0 3 14 281
Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions 0 0 0 152 2 7 17 290
Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions 0 0 0 22 3 7 15 41
Forecasting Aggregated Time Series Variables: A Survey 2 2 4 344 4 9 19 630
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 40 2 2 3 144
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 165 1 1 10 217
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 1 3 6 306
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 110 2 2 12 256
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 84 3 5 16 167
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 55 0 2 9 169
Forecasting cointegrated VARMA processes 0 0 0 120 0 1 5 357
Forecasting euro-area variables with German pre-EMU data 0 0 0 55 2 5 11 206
Forecasting with VARMA Models 0 0 1 780 2 7 28 1,701
Fundamental Problems with Nonfundamental Shocks 0 0 0 128 7 9 16 328
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity 0 0 0 129 1 4 13 340
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions 1 1 1 26 4 4 30 57
Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 2 17 4 5 16 38
Heteroskedastic Proxy Vector Autoregressions 0 0 0 5 0 1 7 19
Heteroskedastic Proxy Vector Autoregressions 0 0 0 61 1 3 18 132
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 46 1 3 14 48
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 1 19 0 1 8 103
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 1 37 5 7 22 66
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 2 13 2 5 14 47
Identifying Monetary Policy Shocks via Changes in Volatility 1 1 1 190 6 7 21 394
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 198 5 6 21 449
Identifying Structural Vector Autoregressions via Changes in Volatility 1 2 4 257 3 4 11 390
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 1 9 576
Impulse Response Analysis of Vector Autoregressive Processes 0 0 0 522 0 2 12 3,403
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 24 2 6 22 51
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 50 4 5 15 90
Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference 0 0 0 40 1 3 7 262
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 69 0 2 8 408
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 2 5 12 1,697
Kointegration und gemeinsame Trends 0 0 0 128 0 0 3 444
Konjunkturanalyse mit Markov-Regimewechselmodellen 0 0 0 0 0 0 5 173
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System 0 0 0 459 6 10 13 862
Lag selection in subset VAR models with an application to a US monetary system 0 0 0 113 3 5 17 408
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 3 5 11 154
Lutkepohl 1 1 2 741 3 6 38 2,746
Making Wald Tests Work for Cointegrated VAR Systems 0 0 0 0 2 6 15 74
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 1 0 1 7 965
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 106 3 9 15 642
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 1 762 5 9 26 3,720
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 1 4 13 345
Modelling the Demand for M3 in the unified Germany 0 0 0 0 0 3 13 1,072
Multivariate Volatility Analysis of VW Stock Prices 0 0 0 0 0 0 5 399
Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate 0 0 0 22 0 0 5 155
On the reliability of chow type test for parameter constancy in multivariate dynamic models 0 0 0 118 2 4 14 656
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 0 1 16 339
Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference 0 0 3 7 3 8 22 38
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference 0 1 19 19 1 4 34 34
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility 0 0 2 23 1 2 13 32
Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 144 4 9 21 429
Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models 0 0 2 265 1 4 14 941
Problems Related to Testing for Granger-Causality in VARMA Processes 0 0 0 0 0 0 7 263
Problems related to bootstrapping impulse responses of autoregressive processes 0 0 0 25 0 1 9 224
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis 0 0 0 35 0 2 10 93
Recent Advances in Cointegration Analysis 0 0 0 569 1 2 12 734
Reducing Confidence Bands for Simulated Impulse Responses 0 0 0 89 2 3 10 158
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 0 2 11 1,822
Review of Proxy Vector Autoregressive Analysis 0 25 25 25 3 21 21 21
Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions 0 0 22 22 2 11 36 36
Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten 0 0 0 18 1 3 10 366
Statistische Modellierung von Volatilitäten 0 0 0 7 1 2 8 205
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 3 5 17 406
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 1 7 13 382
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models 0 0 1 67 3 3 13 172
Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models 0 2 3 82 2 7 27 200
Structural Vector Autoregressions with Markov Switching 0 0 3 304 1 1 13 571
Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks 0 0 0 212 2 10 18 411
Structural Vector Autoregressions with Nonnormal Residuals 0 1 2 243 0 5 22 672
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 4 5 12 409
Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market 0 1 2 140 4 9 33 278
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 86 5 11 22 177
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity 0 0 0 19 3 6 15 103
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 2 857 3 7 19 1,623
Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey 0 0 3 233 1 7 28 402
Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity 0 0 0 45 1 7 16 92
Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models 0 0 1 154 1 6 17 177
Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market 0 0 0 90 2 7 21 189
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity 0 0 0 26 1 5 14 120
Structural vector autoregressive analysis in a data rich environment: A survey 0 1 1 80 2 13 20 176
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 4 6 15 577
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 2 6 23 155
Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates 0 0 1 109 3 34 59 232
Testing for Multi-Step Causality in Time Series 0 0 0 64 1 3 11 478
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 1 5 13 822
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 3 3 6 353
Testing for identification in SVAR-GARCH models 2 2 2 68 5 12 17 135
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 2 7 14 423
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 2 14 272
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 3 4 10 328
Testing for the cointegrating rank of a VAR process with an intercept 0 0 0 24 3 4 11 263
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 0 8 22 317
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 2 4 9 542
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 1 48 1 4 14 339
Testing for unit roots in time series with level shifts 0 0 0 12 0 1 7 390
The Relation between Monetary Policy and the Stock Market in Europe 0 0 1 108 3 6 14 219
The Role of the Log Transformation in Forecasting Economic Variables 1 2 7 2,126 5 11 50 10,150
The Transmission of German Monetary Policy in the Pre-Euro Period 0 0 0 257 3 4 11 1,238
The transmission of German monetary policy in the pre-Euro period 0 0 0 76 1 4 12 723
Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions 0 1 4 49 0 6 26 64
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 2 3 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 2 4 12 669
Unit root tests for time series with a structural break: When the break point is known 0 0 1 288 3 5 13 1,050
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 1 3 14 478
Unit root tests in the presence of innovational outliers 1 1 2 60 1 4 16 319
Vector Autoregressive Models 6 16 68 1,840 20 74 240 4,669
Vector autoregressions 0 0 0 61 3 3 19 599
Vector autoregressive analysis 0 0 0 57 6 9 20 550
Was there a regime change in the German monetary transmission mechanism in 1983? 0 0 0 23 0 0 6 176
Total Working Papers 21 69 235 25,663 345 862 2,673 85,749

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 2 4 5 70
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 0 3 16 873
A Review of Nonparametric Time Series Analysis 0 0 1 9 1 3 7 38
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 1 6 24 166
A model for non-negative and non-positive distributed lag functions 0 0 1 39 3 4 9 131
A money demand system for German M3 0 0 0 263 1 1 7 1,304
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals 1 1 3 99 6 8 16 198
A small monetary system for the euro area based on German data 0 0 0 0 2 2 4 13
A small monetary system for the euro area based on German data 0 0 0 139 0 2 11 427
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 2 1 4 11 24
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 0 1 1 4 12
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 0 2 9 13 14
Analysis of cointegrated VARMA processes 0 0 0 84 2 5 10 241
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process 0 0 0 32 2 6 15 101
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models 2 3 6 732 7 10 38 1,685
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 0 0 1 2 2 2
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 5 6 15 98
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity 0 0 1 26 3 5 17 98
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen 0 0 0 7 2 2 6 99
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen 0 0 0 7 1 1 2 64
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R 0 0 1 192 1 1 7 503
Book reviews 0 0 0 2 0 0 5 23
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH 0 0 1 16 2 4 22 75
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS 0 0 2 63 0 1 12 175
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS 1 1 5 50 6 9 28 115
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 12 1 3 10 45
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 0 1 7 12 20
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 19 1 2 7 72
Comment on essays on current state and future challenges of econometrics 0 0 0 23 1 1 4 143
Comparing external and internal instruments for vector autoregressions 1 1 1 1 4 9 19 19
Comparison of local projection estimators for proxy vector autoregressions 0 1 3 8 3 5 14 44
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 30 2 7 16 114
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 1 1 9 279
Comparison of unit root tests for time series with level shifts 0 0 0 5 1 2 13 41
Confidence Bands for Impulse Responses: Bonferroni vs. Wald 0 0 1 11 2 6 19 72
Constructing joint confidence bands for impulse response functions of VAR models – A review 0 0 0 4 1 1 9 35
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA 0 0 0 3 0 0 7 14
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS 0 0 2 91 3 10 25 252
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 3 53 3 6 19 266
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models 0 1 2 187 1 5 23 372
Estimating the Kronecker indices of cointegrated echelon-form VARMA models 0 0 0 1 1 2 12 507
Estimation of structural impulse responses: short-run versus long-run identifying restrictions 0 0 0 10 1 2 8 50
Forecasting Aggregated Time Series Variables: A Survey 0 0 7 174 3 11 50 578
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index 0 0 1 59 5 6 12 174
Forecasting Contemporaneously Aggregated Vector ARMA Processes 0 0 0 0 2 6 7 549
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 3 201
Forecasting contemporaneous aggregates with stochastic aggregation weights 0 0 0 18 2 4 12 66
Forecasting euro area variables with German pre-EMU data 0 0 0 44 2 3 13 162
Forecasting levels of log variables in vector autoregressions 0 0 1 32 1 6 16 121
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology 0 0 1 264 1 2 15 813
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity 0 0 0 0 2 2 5 110
Granger-causality in cointegrated VAR processes The case of the term structure 0 0 5 461 0 1 14 927
Have the effects of shocks to oil price expectations changed? 0 0 1 1 2 2 28 29
Heteroscedastic Proxy Vector Autoregressions 0 0 0 8 1 4 10 28
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies 0 0 0 2 1 1 13 22
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews 0 1 6 300 2 5 15 742
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 7 12 21 570
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 3 4 14 58
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 0 319 0 1 8 691
Impulse response analysis of cointegrated systems 0 1 4 924 1 6 21 1,619
Inference in partially identified heteroskedastic simultaneous equations models 0 0 0 3 3 4 17 33
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 1 31 2 2 6 79
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 2 322 1 11 21 911
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 1 2 10 77
Linear aggregation of vector autoregressive moving average processes 0 1 2 55 1 5 15 145
Linear transformations of vector ARMA processes 0 0 1 295 1 4 12 519
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 5 8 16 2,493
Michael Leserer - Grundlagen der Ökonometrie 0 0 0 1 1 2 12 19
Modeling The Demand For M3 In The Unified Germany 0 0 1 143 2 7 11 430
Modified Wald tests under nonregular conditions 1 1 2 113 6 8 20 338
Money demand in Europe: Editors' preface 0 0 0 59 0 1 4 324
Mulaik, S. A.: Foundations of factor analysis 0 1 1 29 0 1 11 75
Multivariate volatility analysis of VW stock prices 0 0 0 3 2 3 11 17
Non-causality due to omitted variables 0 1 4 287 0 1 13 788
Non-linear least squares estimation under non-linear equality constraints 0 0 0 66 0 0 0 167
Nonparametric dynamic modelling 0 0 0 18 2 4 5 65
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models 0 0 0 197 4 7 29 502
On unit root tests in the presence of transitional growth 0 0 1 26 2 4 23 181
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 43 5 7 19 205
Prediction Tests for Structural Stability of Multiple Time Series 0 0 0 0 0 3 5 165
Prediction tests for structural stability 0 0 0 22 4 4 6 66
Problems related to over-identifying restrictions for structural vector error correction models 0 0 4 66 3 7 19 220
Qualitative versus quantitative external information for proxy vector autoregressive analysis 0 0 2 17 0 2 8 58
Reducing confidence bands for simulated impulse responses 0 0 1 13 5 8 17 50
Residual autocorrelation testing for vector error correction models 0 0 5 216 3 7 28 952
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY 0 0 1 26 2 4 12 98
Specification of Echelon-Form VARMA Models 0 0 0 0 2 3 8 493
Specification of varying coefficient time series models via generalized flexible least squares 0 0 1 129 0 0 11 295
Structural Vector Autoregressions With Nonnormal Residuals 0 0 1 76 1 5 15 247
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 3 2 3 12 39
Structural vector autoregressions with Markov switching 1 2 7 410 5 14 54 978
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 1 2 9 163 6 13 36 416
Structural vector autoregressions with heteroskedasticity: A review of different volatility models 0 3 8 106 3 14 32 271
Structural vector autoregressions with smooth transition in variances 0 3 7 81 3 8 25 255
Structural vector autoregressive analysis for cointegrated variables 0 0 5 206 4 44 74 630
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity 0 0 1 5 1 2 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 3 9 17 158
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 3 0 1 9 14
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 3 3 21 3 6 12 90
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 3 16 568
Testing for Causation Using Infinite Order Vector Autoregressive Processes 0 0 0 48 2 4 23 176
Testing for identification in SVAR-GARCH models 0 0 2 54 8 17 33 210
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 1 1 7 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 2 3 11 1,277
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 3 4 7 518
Testing for the cointegrating rank of a VAR process with a time trend 0 1 4 154 2 4 14 416
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 3 4 8 199
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 3 5 14 29
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 4 5 10 19
The 0 0 0 0 3 6 9 137
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 1 1 8 103
The Stability Assumption in Tests of Causality between Money and Income 0 0 0 0 0 2 11 255
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions 0 0 0 15 3 4 9 62
The role of the log transformation in forecasting economic variables 1 3 11 134 2 10 37 429
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 1 4 12
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 4 15 332
Total Journal Articles 9 31 154 10,334 242 561 1,737 34,704
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 11 65 41 143 597 2,301
Structural Vector Autoregressive Analysis 0 0 0 0 8 24 160 1,631
Structural Vector Autoregressive Analysis 0 0 0 0 18 58 171 925
Total Books 0 2 11 65 67 225 928 4,857

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 2 3 3 3
Cointegrated VARMA Processes 0 1 1 3 0 4 9 25
Estimation of VARMA Models 0 0 0 1 1 4 16 44
Estimation of Vector Autoregressive Processes 0 0 0 8 1 3 28 136
Estimation of Vector Error Correction Models 0 0 0 4 0 6 19 76
Fitting Finite Order VAR Models to Infinite Order Processes 0 0 0 0 2 2 8 18
Forecasting with VARMA Models 0 1 4 827 10 21 58 3,781
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 3 11 13
Introduction 0 0 2 10 0 2 24 172
Multivariate ARCH and GARCH Models 0 0 0 0 0 2 12 31
Periodic VAR Processes and Intervention Models 0 0 0 0 0 0 11 17
Recent Advances in Cointegration Analysis 0 0 0 3 2 3 8 15
Specification and Checking the Adequacy of VARMA Models 0 0 0 0 0 0 6 15
Specification of VECMs 0 0 0 1 1 2 10 45
Stable Vector Autoregressive Processes 0 0 2 15 1 6 30 183
State Space Models 0 0 1 1 0 0 7 28
Structural VARs and VECMs 0 0 1 12 2 8 24 93
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 1 2 4 17 38
Systems of Dynamic Simultaneous Equations 0 0 1 3 0 0 8 34
VAR Order Selection and Checking the Model Adequacy 0 0 0 8 3 10 35 110
VAR Processes with Parameter Constraints 0 0 0 6 1 4 18 68
Vector Autoregressive Moving Average Processes 0 0 0 0 0 4 15 41
Vector Error Correction Models 0 0 3 8 1 3 18 101
Vector autoregressive models 2 5 21 174 5 19 80 484
Total Chapters 2 7 38 1,087 34 113 475 5,571

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LogEc provides access and usage statistics for services based on the RePEc data set.

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Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06