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 0 16 549
A Simple Instrument for Proxy Vector Autoregressive Analysis 0 0 1 52 0 0 12 94
A Small Monetary System for the Euro Area Based on German Data 0 0 0 138 0 0 5 408
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 1 1 159 0 2 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 11 670
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 0 0 0 35 0 2 8 223
Acquisition of information and share prices: An empirical investigation of cognitive dissonance 0 0 0 59 0 1 8 259
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 58 0 0 11 88
An Alternative Bootstrap for Proxy Vector Autoregressions 0 0 0 9 0 0 17 58
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes 0 0 0 25 1 1 9 197
Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis 0 0 0 9 0 2 16 35
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 4 32 0 1 18 68
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 4 0 1 8 33
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity 0 0 0 105 0 1 17 174
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH 0 1 1 68 0 1 23 160
Bootstrapping impulse responses in VAR analyses 0 1 4 300 2 3 19 766
Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift 0 1 1 332 0 1 9 757
Calculating Joint Bands for Impulse Response Functions using Highest Density Regions 0 0 0 14 0 0 7 28
Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions 0 0 0 38 0 2 24 73
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions 0 0 0 12 0 0 10 44
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 26 0 3 10 68
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 93 0 0 17 147
Comparing External and Internal Instruments for Vector Autoregressions 0 1 3 23 2 4 29 72
Comparing External and Internal Instruments for Vector Autoregressions 0 0 1 17 2 3 16 35
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems 0 0 0 408 0 0 9 1,124
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 22 0 1 14 70
Comparison of Local Projection Estimators for Proxy Vector Autoregressions 0 0 0 42 0 1 18 87
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 1 1 63 0 1 14 157
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions 0 0 1 89 1 2 12 174
Comparison of Model Reduction Methods for VAR Processes 0 0 0 340 0 1 10 928
Comparison of Model Reduction Methods for VAR Processes 0 0 0 196 1 1 12 412
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift 0 0 0 203 2 3 17 563
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 0 2 18 88
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems 0 0 0 16 2 4 22 400
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 37 0 2 9 72
Comparison of model reduction methods for VAR processes 0 0 0 13 1 2 15 91
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 49 0 0 7 267
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 1 16 701
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 17 0 1 15 88
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 54 2 3 19 155
Confidence Bands for Impulse Responses: Bonferroni versus Wald 0 0 0 22 0 0 8 99
Confidence bands for impulse responses: Bonferroni versus Wald 0 0 0 58 0 1 5 87
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model 0 0 0 40 0 1 14 215
Consistent Specification of Cointegrated Autoregressive Moving-Average Systems 0 0 0 10 0 0 1 162
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review 0 0 0 50 0 1 7 68
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review 0 0 0 30 0 1 16 82
Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs 0 0 1 197 0 0 18 402
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 0 47 0 1 14 149
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 0 2 13 216
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 1 1 11 114
Econometric Analysis with Vector Autoregressive Models 0 2 12 2,948 0 4 43 6,483
Estimating the Kronecker indices of cointegrated echelon form VARMA models 0 0 0 19 0 1 15 282
Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions 0 0 0 152 0 1 18 292
Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions 0 0 0 22 1 2 18 44
Forecasting Aggregated Time Series Variables: A Survey 0 1 3 345 0 5 22 636
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 165 2 5 16 223
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 0 0 0 40 0 0 3 144
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 0 0 5 306
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 84 0 1 17 168
Forecasting Levels of log Variables in Vector Autoregressions 0 0 0 110 0 0 8 256
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 55 0 0 8 170
Forecasting cointegrated VARMA processes 0 0 0 120 0 0 4 357
Forecasting euro-area variables with German pre-EMU data 1 1 1 56 3 3 13 209
Forecasting with VARMA Models 0 0 0 780 0 1 25 1,704
Fundamental Problems with Nonfundamental Shocks 0 0 0 128 0 1 20 332
Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity 0 0 0 129 0 1 13 342
Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 1 26 0 0 29 57
Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions 0 0 0 17 0 0 12 38
Heteroskedastic Proxy Vector Autoregressions 0 1 1 6 0 1 7 20
Heteroskedastic Proxy Vector Autoregressions 0 0 0 61 0 1 19 134
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 0 46 0 1 17 51
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies 0 0 1 19 0 0 8 104
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 2 13 2 2 15 49
Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions 0 0 0 37 0 2 23 73
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 198 0 0 22 450
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 190 1 2 22 396
Identifying Structural Vector Autoregressions via Changes in Volatility 0 0 4 257 1 1 12 392
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes 0 0 0 111 0 0 8 576
Impulse Response Analysis of Vector Autoregressive Processes 0 0 0 522 0 0 10 3,404
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 24 0 1 21 54
Inference in Partially Identified Heteroskedastic Simultaneous Equations Models 0 0 0 50 0 0 14 91
Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference 0 0 0 40 0 0 7 262
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 69 0 0 8 408
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 0 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 0 5 175
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System 0 0 1 460 0 2 17 866
Lag selection in subset VAR models with an application to a US monetary system 0 0 1 114 0 0 18 410
Local power of likelihood ratio tests for the cointegrating rank of a VAR process 0 0 0 5 0 0 14 157
Lutkepohl 0 0 1 741 0 3 40 2,749
Making Wald Tests Work for Cointegrated VAR Systems 0 0 0 0 0 2 16 76
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 106 0 2 19 646
Making Wald Tests Work for Cointegrated Var Systems 0 0 0 1 0 2 9 968
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 3 4 5 767 4 6 25 3,728
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 0 0 13 346
Modelling the Demand for M3 in the unified Germany 0 0 0 0 0 0 13 1,072
Multivariate Volatility Analysis of VW Stock Prices 0 0 0 0 2 2 8 402
Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate 0 0 0 22 1 1 6 157
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 14 341
Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference 0 0 1 7 0 0 18 39
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference 0 0 3 19 0 0 27 37
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility 0 0 2 23 0 4 17 38
Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 144 0 1 22 430
Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models 0 0 2 266 0 1 13 943
Problems Related to Testing for Granger-Causality in VARMA Processes 0 0 0 0 1 1 10 266
Problems related to bootstrapping impulse responses of autoregressive processes 0 1 1 26 0 1 10 225
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis 0 0 0 35 0 0 9 94
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 1 1 6 6 3 5 10 10
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 1 1 8 8 2 6 13 13
Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US, and the UK 0 0 19 19 4 8 38 38
Recent Advances in Cointegration Analysis 0 0 0 569 1 2 11 736
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 1 1 14 1,826
Review of Proxy Vector Autoregressive Analysis 0 1 27 27 0 3 30 30
Review of Proxy Vector and Autoregressive Analysis 0 0 16 16 0 2 11 11
Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions 0 0 22 22 2 7 44 44
Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten 0 0 0 18 0 0 12 368
Statistische Modellierung von Volatilitäten 0 0 0 7 0 0 8 206
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 0 15 406
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 1 1 14 383
Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models 0 0 0 67 0 1 14 174
Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models 0 0 2 82 3 5 30 209
Structural Vector Autoregressions with Markov Switching 0 1 3 305 1 5 18 578
Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks 0 0 0 212 1 1 19 413
Structural Vector Autoregressions with Nonnormal Residuals 1 1 3 245 2 3 23 676
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 0 15 412
Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market 0 0 2 141 2 3 33 284
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 86 1 2 24 179
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity 0 0 0 19 0 4 17 108
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 2 857 2 3 18 1,626
Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey 0 0 0 233 0 2 24 406
Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity 0 0 0 45 1 3 20 96
Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models 0 0 1 154 0 2 20 180
Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market 0 0 0 90 1 1 24 192
Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity 0 0 0 26 0 2 17 123
Structural vector autoregressive analysis in a data rich environment: A survey 0 0 1 80 0 1 26 182
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 1 16 578
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models 0 0 0 90 1 2 25 158
Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates 0 0 1 109 1 3 61 235
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 2 14 824
Testing for a unit root in a time series with a level shift at unknown time 0 0 0 74 0 1 8 355
Testing for identification in SVAR-GARCH models 0 0 2 68 1 1 20 138
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 139 0 1 14 424
Testing for the Cointegrating Rank of a VAR Process with a Time Trend 0 0 0 0 2 2 14 275
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 0 13 265
Testing for the cointegrating rank of a VAR process with level shift and trend break 0 0 0 136 0 1 23 318
Testing for the cointegrating rank of a VAR process with level shift at unknown time 0 0 0 123 0 0 8 542
Testing for the cointegrating rank of a VAR process with structural shifts 0 0 0 48 0 0 13 340
Testing for unit roots in time series with level shifts 0 0 0 12 1 1 6 391
The Relation between Monetary Policy and the Stock Market in Europe 0 0 1 108 1 2 17 222
The Role of the Log Transformation in Forecasting Economic Variables 0 0 4 2,127 3 8 50 10,166
The Transmission of German Monetary Policy in the Pre-Euro Period 0 0 0 257 2 2 11 1,240
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 1 1 3 50 1 1 26 68
Trend adjustment prior to testing for the cointegrating rank of a VAR process 0 0 0 14 0 0 9 227
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe 0 0 0 320 0 0 6 1,102
Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe 0 0 0 259 0 0 11 669
Unit root tests for time series with a structural break: When the break point is known 0 0 0 288 0 1 14 1,052
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 0 10 478
Unit root tests in the presence of innovational outliers 0 0 1 60 0 0 15 320
Vector Autoregressive Models 1 8 65 1,857 8 31 236 4,729
Vector autoregressions 0 0 0 61 0 0 17 599
Vector autoregressive analysis 0 0 0 57 0 0 18 551
Was there a regime change in the German monetary transmission mechanism in 1983? 0 0 0 23 0 1 6 177
Total Working Papers 9 30 251 25,759 84 262 2,831 86,255

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES 0 0 0 21 0 0 6 71
A REVIEW OF SYSTEMS COINTEGRATION TESTS 0 0 2 347 0 0 16 875
A Review of Nonparametric Time Series Analysis 0 0 2 10 0 0 9 40
A lag augmentation test for the cointegrating rank of a VAR process 0 0 2 41 0 1 23 167
A model for non-negative and non-positive distributed lag functions 0 0 1 40 1 1 10 133
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 2 15 200
A small monetary system for the euro area based on German data 0 0 0 139 1 4 15 432
A small monetary system for the euro area based on German data 0 0 0 0 0 1 5 15
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance 1 1 1 1 1 1 4 13
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 1 1 12 15
Analysis of cointegrated VARMA processes 0 0 0 84 0 2 13 245
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process 0 0 0 32 0 0 13 101
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models 1 1 6 734 1 5 33 1,691
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis 0 0 0 0 3 5 8 8
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 4 29 1 3 19 105
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen 0 0 0 7 0 0 7 100
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen 0 0 0 7 0 0 2 64
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R 0 1 1 193 0 2 8 505
Book reviews 0 0 0 2 0 1 5 24
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH 0 0 2 17 0 0 18 77
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS 0 0 0 63 1 3 12 178
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS 0 1 4 52 0 2 26 119
Calculating joint confidence bands for impulse response functions using highest density regions 0 0 0 12 0 1 11 48
Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 0 0 1 14 22
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis 0 0 0 19 1 1 6 73
Comment on essays on current state and future challenges of econometrics 0 0 0 23 0 1 6 145
Comparing external and internal instruments for vector autoregressions 0 0 2 2 1 4 20 26
Comparison of local projection estimators for proxy vector autoregressions 1 1 4 10 1 2 15 48
Comparison of methods for constructing joint confidence bands for impulse response functions 0 0 0 30 0 1 18 116
Comparison of tests for the cointegrating rank of a VAR process with a structural shift 0 0 0 98 0 2 14 284
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 2 17 45
Confidence Bands for Impulse Responses: Bonferroni vs. Wald 0 0 0 11 1 2 13 74
Constructing joint confidence bands for impulse response functions of VAR models – A review 0 0 1 5 0 1 12 41
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA 0 0 0 3 0 1 5 15
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS 0 0 2 91 0 3 27 256
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 0 53 0 2 19 271
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models 1 2 3 189 1 2 24 375
Estimating the Kronecker indices of cointegrated echelon-form VARMA models 0 0 0 1 0 1 14 509
Estimation of structural impulse responses: short-run versus long-run identifying restrictions 0 0 0 10 0 0 9 51
Forecasting Aggregated Time Series Variables: A Survey 0 0 2 174 2 6 46 587
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index 0 0 0 59 1 3 14 178
Forecasting Contemporaneously Aggregated Vector ARMA Processes 0 0 0 0 0 2 10 552
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights 0 0 0 31 0 0 2 116
Forecasting Vector ARMA Processes with Systematically Missing Observations 0 0 0 0 1 2 4 203
Forecasting contemporaneous aggregates with stochastic aggregation weights 0 0 0 18 0 0 11 66
Forecasting euro area variables with German pre-EMU data 0 0 0 44 0 2 16 166
Forecasting levels of log variables in vector autoregressions 1 1 3 34 1 1 19 124
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology 0 0 1 264 0 2 15 815
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity 0 0 0 0 0 0 7 112
Granger-causality in cointegrated VAR processes The case of the term structure 0 0 3 461 0 0 10 928
Have the effects of shocks to oil price expectations changed? 0 0 0 1 0 0 26 30
Heteroscedastic Proxy Vector Autoregressions 0 1 2 10 0 1 11 30
Heteroskedastic Structural Vector Autoregressions Identified via Long‐Run Restrictions 0 0 0 0 0 3 3 3
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies 0 1 2 4 1 3 20 29
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews 0 0 3 300 1 2 17 748
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 0 2 15 61
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 4 4 24 574
Impulse response analysis in infinite order cointegrated vector autoregressive processes 0 1 1 320 0 1 8 692
Impulse response analysis of cointegrated systems 0 0 4 925 1 1 21 1,621
Inference in partially identified heteroskedastic simultaneous equations models 0 0 0 3 0 1 19 35
Infinite-Order Cointegrated Vector Autoregressive Processes 0 0 0 31 0 1 7 81
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 1 322 1 4 26 918
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS 0 0 0 22 0 1 9 80
Linear aggregation of vector autoregressive moving average processes 0 0 1 55 3 3 16 149
Linear transformations of vector ARMA processes 0 1 1 296 0 2 14 524
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process 0 0 0 20 0 2 17 2,495
Michael Leserer - Grundlagen der Ökonometrie 0 0 0 1 1 1 13 21
Modeling The Demand For M3 In The Unified Germany 0 0 0 143 0 0 11 431
Modified Wald tests under nonregular conditions 0 2 4 115 0 3 22 342
Money demand in Europe: Editors' preface 0 0 0 59 0 1 5 325
Mulaik, S. A.: Foundations of factor analysis 0 0 1 29 0 1 13 77
Multivariate volatility analysis of VW stock prices 0 0 0 3 0 2 13 20
Non-causality due to omitted variables 0 0 2 287 1 1 8 790
Non-linear least squares estimation under non-linear equality constraints 0 0 0 66 0 0 1 168
Nonparametric dynamic modelling 0 0 0 18 0 0 5 65
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models 0 0 0 197 1 2 26 505
On unit root tests in the presence of transitional growth 0 0 1 26 0 0 17 181
Partial identification of structural vector autoregressions with non-centred stochastic volatility 0 1 1 1 1 5 5 5
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative 0 0 0 43 0 0 18 205
Prediction Tests for Structural Stability of Multiple Time Series 0 0 0 0 0 0 5 165
Prediction tests for structural stability 0 0 0 22 0 1 7 67
Problems related to over-identifying restrictions for structural vector error correction models 0 0 3 67 0 0 18 223
Qualitative versus quantitative external information for proxy vector autoregressive analysis 0 0 2 18 0 3 11 62
Reducing confidence bands for simulated impulse responses 0 0 1 13 0 0 15 51
Residual autocorrelation testing for vector error correction models 0 0 7 218 1 3 29 957
Review of Proxy Vector Autoregressive Analysis 0 0 5 5 0 0 8 8
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY 0 0 0 26 0 3 9 102
Specification of Echelon-Form VARMA Models 0 0 0 0 0 0 9 494
Specification of varying coefficient time series models via generalized flexible least squares 0 0 0 129 0 0 6 296
Structural Vector Autoregressions With Nonnormal Residuals 0 0 2 77 0 1 16 249
Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity 0 0 0 3 0 1 11 40
Structural vector autoregressions with Markov switching 0 2 9 413 1 14 62 996
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 0 0 5 164 1 1 28 420
Structural vector autoregressions with heteroskedasticity: A review of different volatility models 0 0 4 106 0 1 28 273
Structural vector autoregressions with smooth transition in variances 0 0 4 81 0 2 20 257
Structural vector autoregressive analysis for cointegrated variables 1 3 8 210 2 6 69 640
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity 0 0 0 5 0 0 10 46
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME 0 0 0 47 2 2 18 192
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT 0 0 0 51 0 0 16 159
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 3 21 1 2 14 92
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD 0 0 0 3 0 1 11 16
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 0 0 14 569
Testing for Causation Using Infinite Order Vector Autoregressive Processes 0 0 0 48 0 0 22 176
Testing for identification in SVAR-GARCH models 0 0 1 54 1 3 33 217
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break 0 0 0 59 0 0 5 184
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time 0 0 0 425 0 1 13 1,280
Testing for the Cointegrating Rank of a VAR Process with Structural Shifts 0 0 0 0 0 2 10 521
Testing for the cointegrating rank of a VAR process with a time trend 0 1 3 155 0 1 12 418
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 1 9 201
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 1 0 1 12 21
Testing identification via heteroskedasticity in structural vector autoregressive models 0 0 0 2 1 2 17 32
The 0 0 0 0 0 1 11 139
The Optimality of Rational Distributed Lags: A Comment 0 0 0 26 0 0 4 209
The Relation between Monetary Policy and the Stock Market in Europe 0 0 2 29 0 1 9 104
The Stability Assumption in Tests of Causality between Money and Income 0 0 0 0 1 2 12 257
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions 0 0 0 15 0 0 7 63
The role of the log transformation in forecasting economic variables 0 1 7 136 2 7 41 445
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process 0 0 0 1 1 2 8 16
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 1 17 334
Total Journal Articles 7 24 138 10,385 50 192 1,795 35,046
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 0 9 67 35 82 491 2,463
Structural Vector Autoregressive Analysis 0 0 0 0 11 26 130 1,676
Structural Vector Autoregressive Analysis 0 0 0 0 7 28 186 984
Total Books 0 0 9 67 53 136 807 5,123

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Software for Teaching Multivariate Time Series Analysis 0 0 0 0 0 0 5 5
Cointegrated VARMA Processes 0 0 1 3 0 1 8 26
Estimation of VARMA Models 0 0 0 1 0 1 17 48
Estimation of Vector Autoregressive Processes 0 0 0 8 1 1 16 139
Estimation of Vector Error Correction Models 0 1 1 5 1 4 17 80
Fitting Finite Order VAR Models to Infinite Order Processes 0 0 0 0 0 2 8 20
Forecasting with VARMA Models 0 0 1 827 0 0 54 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 0 10 0 1 10 173
Multivariate ARCH and GARCH Models 0 0 0 0 1 1 7 32
Periodic VAR Processes and Intervention Models 0 0 0 0 0 1 9 18
Recent Advances in Cointegration Analysis 0 0 0 3 0 1 8 16
Specification and Checking the Adequacy of VARMA Models 0 0 0 0 0 0 7 18
Specification of VECMs 0 0 0 1 2 4 12 49
Stable Vector Autoregressive Processes 0 0 2 16 2 4 24 190
State Space Models 0 0 0 1 0 0 3 28
Structural VARs and VECMs 0 0 0 12 0 2 16 95
Structural Vector Autoregressive Analysis for Cointegrated Variables 0 0 0 1 1 1 15 39
Systems of Dynamic Simultaneous Equations 0 0 0 3 1 1 8 36
VAR Order Selection and Checking the Model Adequacy 0 0 0 8 0 1 24 114
VAR Processes with Parameter Constraints 0 0 0 6 0 1 13 70
Vector Autoregressive Moving Average Processes 0 0 0 0 0 1 8 43
Vector Error Correction Models 0 1 3 9 1 3 15 105
Vector autoregressive models 1 4 18 179 3 8 70 499
Total Chapters 1 6 28 1,095 13 39 385 5,640

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

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

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

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 2026-10-11