Access Statistics for Helmut Lütkepohl

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Review of Nonparametric Time Series Analysis 0 0 0 111 0 1 4 533
A Simple Instrument for Proxy Vector Autoregressive Analysis 0 1 2 51 0 1 5 82
A Small Monetary System for the Euro Area Based on German Data 0 0 1 138 0 0 2 403
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 0 1 2 319
A money demand system for M3 in the unified Germany 0 0 0 11 0 1 2 426
A review of systemscointegration tests 0 0 0 35 0 0 2 659
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 35 0 0 0 215
Acquisition of information and share prices: An empirical investigation of cognitive dissonance 0 0 0 59 0 0 0 251
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 1 9 1 1 2 41
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 1 58 1 1 5 77
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 0 2 5 188
Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis 0 0 9 9 1 1 13 16
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 1 22 27 1 3 34 48
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 1 4 0 0 2 25
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 105 0 1 2 155
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH 0 0 0 67 1 1 3 137
Bootstrapping impulse responses in VAR analyses 1 1 2 296 4 4 7 747
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 0 0 331 1 1 1 748
Calculating Joint Bands for Impulse Response Functions using Highest Density Regions 0 0 0 14 0 0 0 21
Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions 0 0 0 38 0 0 1 49
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions 0 0 0 12 1 1 3 34
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 26 0 1 2 58
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 93 0 0 2 130
Comparing External and Internal Instruments for Vector Autoregressions 0 1 15 15 0 4 16 16
Comparing External and Internal Instruments for Vector Autoregressions 1 1 20 20 2 4 41 41
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems 0 0 1 408 2 2 5 1,115
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 42 1 2 5 69
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 3 22 1 2 15 56
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 0 62 0 0 0 143
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 1 88 0 0 3 162
Comparison of Model Reduction Methods for VAR Processes 0 0 0 196 0 1 1 400
Comparison of Model Reduction Methods for VAR Processes 0 0 0 340 0 1 4 918
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 1 1 2 546
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 0 2 9 70
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems 0 0 1 16 0 1 2 378
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 37 0 1 3 63
Comparison of model reduction methods for VAR processes 0 0 0 13 1 1 4 76
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 1 3 5 260
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 1 3 685
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 17 0 0 0 73
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 54 1 1 2 136
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 1 22 0 0 1 91
Confidence bands for impulse responses: Bonferroni versus Wald 0 0 0 58 0 0 0 82
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model 0 0 0 40 0 0 0 201
Consistent Specification of Cointegrated Autoregressive Moving-Average Systems 0 0 0 10 0 0 0 160
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review 0 0 0 50 0 0 2 60
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review 0 0 1 29 0 2 4 65
Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs 0 0 0 196 0 1 3 384
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 1 47 2 3 5 135
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 1 2 5 203
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 1 1 1 102
Econometric Analysis with Vector Autoregressive Models 1 1 13 2,936 4 6 35 6,440
Estimating the Kronecker indices of cointegrated echelon form VARMA models 0 0 0 19 0 0 1 267
Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions 0 0 0 152 0 0 5 274
Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions 0 0 0 22 0 0 1 26
Forecasting Aggregated Time Series Variables: A Survey 0 1 2 342 0 2 3 614
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 40 0 0 0 141
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 165 0 0 3 207
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 1 1 1 301
Forecasting Levels of log Variables in Vector Autoregressions 0 0 1 110 2 3 6 248
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 84 0 0 2 151
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 55 1 2 3 162
Forecasting cointegrated VARMA processes 0 0 0 120 0 0 0 352
Forecasting euro-area variables with German pre-EMU data 0 0 0 55 0 0 2 195
Forecasting with VARMA Models 0 0 1 779 1 3 6 1,676
Fundamental Problems with Nonfundamental Shocks 0 0 0 128 0 0 2 312
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity 0 0 0 129 1 2 3 329
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 0 25 1 1 2 28
Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions 1 1 2 16 1 2 5 24
Heteroskedastic Proxy Vector Autoregressions 0 0 2 61 0 1 4 115
Heteroskedastic Proxy Vector Autoregressions 0 0 0 5 0 0 3 12
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 46 0 0 1 34
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 18 1 1 3 96
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 37 37 2 3 48 48
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 11 11 1 1 34 34
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 198 0 0 4 428
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 189 0 0 4 373
Identifying Structural Vector Autoregressions via Changes in Volatility 0 0 0 253 0 1 1 380
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 1 1 3 568
Impulse Response Analysis of Vector Autoregressive Processes 0 0 0 522 1 1 7 3,394
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 50 0 2 3 77
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 24 1 3 8 33
Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference 0 0 0 40 0 0 0 255
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 69 0 0 1 400
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 0 0 3 1,686
Kointegration und gemeinsame Trends 0 0 0 128 0 0 2 441
Konjunkturanalyse mit Markov-Regimewechselmodellen 0 0 0 0 0 0 2 169
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System 0 0 0 459 0 0 2 849
Lag selection in subset VAR models with an application to a US monetary system 0 0 0 113 0 1 1 392
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 0 1 143
Lutkepohl 0 0 1 740 0 0 3 2,709
Making Wald Tests Work for Cointegrated VAR Systems 0 0 0 0 0 0 2 59
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 106 0 0 4 627
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 1 0 1 3 959
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 1 5 762 2 5 21 3,701
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 0 0 3 333
Modelling the Demand for M3 in the unified Germany 0 0 0 0 0 0 2 1,059
Multivariate Volatility Analysis of VW Stock Prices 0 0 0 0 0 0 3 394
Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate 0 0 0 22 0 0 0 150
On the reliability of chow type test for parameter constancy in multivariate dynamic models 0 0 0 118 0 2 4 644
Order selection in testing for the cointegrating rank of a VAR process 0 0 1 40 0 1 3 326
Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference 0 2 2 6 0 4 6 20
Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference 0 0 2 21 0 1 8 21
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference 0 10 16 16 0 2 8 8
Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 144 0 0 0 408
Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models 1 1 2 264 1 1 3 928
Problems Related to Testing for Granger-Causality in VARMA Processes 0 0 0 0 0 0 0 256
Problems related to bootstrapping impulse responses of autoregressive processes 0 0 1 25 0 0 1 215
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis 0 0 0 35 1 2 3 85
Recent Advances in Cointegration Analysis 0 0 2 569 1 2 5 725
Reducing Confidence Bands for Simulated Impulse Responses 0 0 0 89 0 0 1 148
Residual Autocorrelation Testing for Vector Error Correction Models 0 0 0 570 0 0 3 1,812
Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten 0 0 0 18 0 0 0 356
Statistische Modellierung von Volatilitäten 0 0 0 7 0 1 1 198
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 0 1 369
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 1 1 3 390
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models 1 1 1 67 1 1 1 160
Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models 0 0 7 80 2 3 17 179
Structural Vector Autoregressions with Markov Switching 1 1 1 302 1 2 3 560
Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks 0 0 1 212 0 1 3 394
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 0 3 397
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 242 1 2 4 653
Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market 0 0 3 139 0 2 7 250
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 86 0 0 0 155
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity 0 0 0 19 0 3 6 91
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 855 3 3 7 1,607
Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey 0 1 6 231 2 5 19 380
Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity 0 0 2 45 0 0 6 76
Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models 0 0 0 153 0 0 4 160
Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market 0 0 0 90 0 0 2 168
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity 0 0 0 26 0 0 1 106
Structural vector autoregressive analysis in a data rich environment: A survey 0 0 0 79 0 0 2 156
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 0 2 562
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 0 0 2 132
Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates 0 0 0 108 0 0 0 173
Testing for Multi-Step Causality in Time Series 0 0 0 64 0 1 4 469
Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time 0 0 0 410 0 1 2 810
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 0 0 347
Testing for identification in SVAR-GARCH models 0 0 0 66 0 0 1 118
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 1 1 2 410
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 2 5 260
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 1 3 319
Testing for the cointegrating rank of a VAR process with an intercept 0 0 1 24 0 0 2 252
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 1 136 0 0 1 295
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 1 123 0 0 3 534
Testing for the cointegrating rank of a VAR process with structural shifts 0 1 2 48 1 2 5 327
Testing for unit roots in time series with level shifts 0 0 0 12 1 1 2 384
The Relation between Monetary Policy and the Stock Market in Europe 0 0 1 107 0 0 4 205
The Role of the Log Transformation in Forecasting Economic Variables 1 3 8 2,123 4 9 38 10,113
The Transmission of German Monetary Policy in the Pre-Euro Period 0 0 0 257 1 1 2 1,228
The transmission of German monetary policy in the pre-Euro period 0 0 0 76 0 1 3 713
Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions 0 1 47 47 0 2 41 41
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 0 1 218
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe 0 0 1 320 1 1 4 1,096
Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe 0 0 2 259 0 1 4 658
Unit root tests for time series with a structural break: When the break point is known 1 1 1 288 1 1 2 1,038
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 3 4 5 468
Unit root tests in the presence of innovational outliers 0 1 1 59 0 2 5 305
Vector Autoregressive Models 0 9 56 1,788 7 34 153 4,484
Vector autoregressions 0 0 2 61 2 2 8 582
Vector autoregressive analysis 0 0 2 57 1 2 10 533
Was there a regime change in the German monetary transmission mechanism in 1983? 0 0 0 23 1 1 1 171
Total Working Papers 9 41 334 25,497 87 209 946 83,363

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES 0 0 0 21 0 0 0 65
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 0 345 0 0 3 859
A Review of Nonparametric Time Series Analysis 0 0 0 8 0 0 4 31
A lag augmentation test for the cointegrating rank of a VAR process 0 0 0 39 0 2 5 144
A model for non-negative and non-positive distributed lag functions 0 1 1 39 0 1 2 123
A money demand system for German M3 0 0 0 263 0 0 2 1,297
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals 0 1 4 98 0 2 7 185
A small monetary system for the euro area based on German data 0 0 0 0 0 0 2 9
A small monetary system for the euro area based on German data 0 0 0 139 0 1 4 417
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 2 0 0 2 14
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 0 0 1 2 9
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 0 1 1 2 3
Analysis of cointegrated VARMA processes 0 0 0 84 0 1 3 232
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process 0 0 1 32 1 2 4 88
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models 0 0 7 728 5 9 23 1,658
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 0 0 0 19 0 0 0 83
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity 0 0 3 25 2 4 8 85
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen 0 0 0 7 0 0 0 93
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen 0 0 0 7 0 0 0 62
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R 0 0 5 192 0 0 7 497
Book reviews 0 0 0 2 0 0 0 18
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH 0 0 0 15 1 3 5 58
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS 2 2 5 63 2 2 7 166
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS 0 2 9 48 0 3 11 91
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 12 0 2 2 37
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 0 0 0 0 8
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 19 0 1 3 67
Comment on essays on current state and future challenges of econometrics 0 0 0 23 0 0 0 139
Comparison of local projection estimators for proxy vector autoregressions 1 1 2 6 1 3 7 33
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 30 0 0 2 98
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 1 98 0 0 1 270
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 0 2 28
Confidence Bands for Impulse Responses: Bonferroni vs. Wald 0 0 1 11 3 4 6 58
Constructing joint confidence bands for impulse response functions of VAR models – A review 0 0 0 4 0 0 5 27
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA 0 0 0 3 0 0 4 10
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS 0 0 0 89 0 2 4 229
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 1 6 53 1 3 14 252
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models 0 1 2 186 1 2 3 351
Estimating the Kronecker indices of cointegrated echelon-form VARMA models 0 0 0 1 0 0 1 495
Estimation of structural impulse responses: short-run versus long-run identifying restrictions 0 0 0 10 0 0 3 42
Forecasting Aggregated Time Series Variables: A Survey 0 3 9 171 2 9 19 539
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index 0 0 1 59 0 1 4 164
Forecasting Contemporaneously Aggregated Vector ARMA Processes 0 0 0 0 0 0 4 542
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 31 0 0 0 114
Forecasting Vector ARMA Processes with Systematically Missing Observations 0 0 0 0 0 1 2 199
Forecasting contemporaneous aggregates with stochastic aggregation weights 0 0 0 18 0 0 0 54
Forecasting euro area variables with German pre-EMU data 0 0 0 44 0 0 3 150
Forecasting levels of log variables in vector autoregressions 0 0 0 31 0 0 1 105
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology 0 0 1 263 1 2 5 800
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity 0 0 0 0 0 0 4 105
Granger-causality in cointegrated VAR processes The case of the term structure 0 0 2 456 0 3 10 916
Have the effects of shocks to oil price expectations changed? 0 1 1 1 0 3 3 4
Heteroscedastic Proxy Vector Autoregressions 0 0 1 8 0 1 6 19
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies 0 0 1 2 0 0 5 9
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews 0 1 10 297 0 1 13 730
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 18 1 2 7 46
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 0 1 14 550
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 0 2 319 0 1 6 684
Impulse response analysis of cointegrated systems 1 1 5 921 1 1 5 1,599
Inference in partially identified heteroskedastic simultaneous equations models 0 0 0 3 0 0 2 16
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 30 0 0 2 73
Investigating Stability and Linearity of a German M1 Money Demand Function 0 1 2 321 0 1 10 892
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 1 2 5 71
Linear aggregation of vector autoregressive moving average processes 1 1 2 54 1 3 5 133
Linear transformations of vector ARMA processes 0 1 6 295 1 3 12 510
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 0 7 2,478
Michael Leserer - Grundlagen der Ökonometrie 0 0 0 1 0 0 1 8
Modeling The Demand For M3 In The Unified Germany 0 0 1 143 0 0 1 420
Modified Wald tests under nonregular conditions 0 0 1 111 0 1 5 319
Money demand in Europe: Editors' preface 0 0 0 59 0 0 0 320
Mulaik, S. A.: Foundations of factor analysis 0 0 1 28 0 0 2 64
Multivariate volatility analysis of VW stock prices 0 0 0 3 1 1 1 7
Non-causality due to omitted variables 0 1 4 285 1 3 10 782
Non-linear least squares estimation under non-linear equality constraints 0 0 0 66 0 0 1 167
Nonparametric dynamic modelling 0 0 0 18 0 0 0 60
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models 0 0 0 197 0 3 17 476
On unit root tests in the presence of transitional growth 0 0 0 25 1 4 17 163
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 43 1 1 1 187
Prediction Tests for Structural Stability of Multiple Time Series 0 0 0 0 0 0 0 160
Prediction tests for structural stability 0 0 0 22 0 0 0 60
Problems related to over-identifying restrictions for structural vector error correction models 1 1 3 64 2 3 9 205
Qualitative versus quantitative external information for proxy vector autoregressive analysis 0 0 1 15 0 0 5 50
Reducing confidence bands for simulated impulse responses 0 0 0 12 2 3 3 36
Residual autocorrelation testing for vector error correction models 0 0 1 211 3 3 8 927
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY 0 1 2 26 1 3 9 92
Specification of Echelon-Form VARMA Models 0 0 0 0 0 0 1 485
Specification of varying coefficient time series models via generalized flexible least squares 1 1 1 129 2 4 4 288
Structural Vector Autoregressions With Nonnormal Residuals 0 0 0 75 0 1 2 233
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 3 1 2 3 29
Structural vector autoregressions with Markov switching 0 1 6 404 2 5 34 934
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 0 4 9 158 1 9 20 390
Structural vector autoregressions with heteroskedasticity: A review of different volatility models 2 4 10 102 2 4 14 245
Structural vector autoregressions with smooth transition in variances 0 1 7 77 0 2 22 237
Structural vector autoregressive analysis for cointegrated variables 0 1 8 202 4 11 46 571
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity 1 1 1 5 1 3 6 36
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 0 0 2 174
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 1 3 143
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 3 0 0 0 5
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 18 0 0 1 78
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 2 204 0 0 6 555
Testing for Causation Using Infinite Order Vector Autoregressive Processes 0 0 2 48 1 1 8 154
Testing for identification in SVAR-GARCH models 0 0 2 53 1 2 15 180
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 1 2 4 179
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 0 0 1 1,266
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 0 2 511
Testing for the cointegrating rank of a VAR process with a time trend 0 1 2 151 1 3 8 405
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 1 1 4 192
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 0 0 2 15
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 0 0 1 9
The 0 0 0 0 0 0 0 128
The Optimality of Rational Distributed Lags: A Comment 0 0 0 26 0 1 1 204
The Relation between Monetary Policy and the Stock Market in Europe 0 0 0 27 0 0 5 95
The Stability Assumption in Tests of Causality between Money and Income 0 0 0 0 0 1 2 245
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions 0 0 0 15 0 2 3 56
The role of the log transformation in forecasting economic variables 1 4 9 128 3 7 26 401
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 0 0 1 8
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 0 1 317
Total Journal Articles 11 39 164 10,239 59 171 652 33,204
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 16 58 54 176 589 1,930
Structural Vector Autoregressive Analysis 0 0 0 0 12 39 189 1,530
Structural Vector Autoregressive Analysis 0 0 0 0 10 23 119 786
Total Books 1 2 16 58 76 238 897 4,246

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Cointegrated VARMA Processes 0 0 1 2 0 2 6 18
Estimation of VARMA Models 0 0 0 1 0 2 7 31
Estimation of Vector Autoregressive Processes 0 0 1 8 2 11 35 120
Estimation of Vector Error Correction Models 0 0 0 4 2 5 15 62
Fitting Finite Order VAR Models to Infinite Order Processes 0 0 0 0 0 2 4 12
Forecasting with VARMA Models 0 2 11 825 2 6 25 3,729
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 0 0 0 0 1 2
Introduction 0 1 4 9 3 13 46 162
Multivariate ARCH and GARCH Models 0 0 0 0 0 5 8 25
Periodic VAR Processes and Intervention Models 0 0 0 0 0 2 5 9
Recent Advances in Cointegration Analysis 0 0 0 3 1 1 3 8
Specification and Checking the Adequacy of VARMA Models 0 0 0 0 0 1 2 10
Specification of VECMs 0 0 1 1 0 1 11 37
Stable Vector Autoregressive Processes 0 0 2 14 5 8 38 165
State Space Models 0 0 1 1 0 3 6 25
Structural VARs and VECMs 0 1 1 12 4 8 20 79
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 1 0 1 5 23
Systems of Dynamic Simultaneous Equations 0 1 2 3 0 2 6 28
VAR Order Selection and Checking the Model Adequacy 0 0 1 8 2 7 28 88
VAR Processes with Parameter Constraints 0 0 1 6 2 4 18 57
Vector Autoregressive Moving Average Processes 0 0 0 0 2 4 10 32
Vector Error Correction Models 1 1 1 6 1 6 22 89
Vector autoregressive models 0 4 17 159 3 15 69 425
Total Chapters 1 10 44 1,063 29 109 390 5,236

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