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Helmut Lütkepohl
(Helmut Luetkepohl)

Personal Details

First Name:Helmut
Middle Name:
Last Name:Luetkepohl
Suffix:
RePEc Short-ID:plt2
[This author has chosen not to make the email address public]
http://www.wiwiss.fu-berlin.de/fachbereich/vwl/luetkepohl/index.html
DIW Berlin Mohrenstr. 58 10117 Berlin Germany
Terminal Degree:1981 Fakultät für Wirtschaftswissenschaften; Universität Bielefeld (from RePEc Genealogy)

Affiliation

(50%) DIW Berlin (Deutsches Institut für Wirtschaftsforschung)

Berlin, Germany
http://www.diw.de/
RePEc:edi:diwbede (more details at EDIRC)

(10%) CESifo

München, Germany
https://www.cesifo.org/
RePEc:edi:cesifde (more details at EDIRC)

(40%) Abteilung Volkswirtschaftslehre
Fachbereich Wirtschaftswissenschaft
Freie Universität Berlin

Berlin, Germany
http://www.wiwiss.fu-berlin.de/fachbereich/vwl/
RePEc:edi:iofubde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Martin Bruns & Helmut Lütkepohl, 2024. "Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions," Discussion Papers of DIW Berlin 2103, DIW Berlin, German Institute for Economic Research.
  2. Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Papers 2404.11057, arXiv.org.
  3. Martin Bruns & Helmut Lütkepohl & James McNeil, 2024. "Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 2095, DIW Berlin, German Institute for Economic Research.
  4. Martin Bruns & Helmut Lütkepohl, 2023. "Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 2036, DIW Berlin, German Institute for Economic Research.
  5. Martin Bruns & Helmut Lütkepohl, 2022. "Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies," Discussion Papers of DIW Berlin 2005, DIW Berlin, German Institute for Economic Research.
  6. Lukas Boer & Helmut Lütkepohl, 2021. "Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1940, DIW Berlin, German Institute for Economic Research.
  7. Martin Bruns & Helmut Lütkepohl, 2021. "Comparison of Local Projection Estimators for Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1949, DIW Berlin, German Institute for Economic Research.
  8. Helmut Lütkepohl & Thore Schlaak, 2020. "Heteroskedastic Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1876, DIW Berlin, German Institute for Economic Research.
  9. Martin Bruns & Helmut Lütkepohl, 2020. "An Alternative Bootstrap for Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1913, DIW Berlin, German Institute for Economic Research.
  10. Helmut Lütkepohl, 2020. "Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity," Discussion Papers of DIW Berlin 1871, DIW Berlin, German Institute for Economic Research.
  11. Lukas Boer & Helmut Lütkepohl, 2020. "A Simple Instrument for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1905, DIW Berlin, German Institute for Economic Research.
  12. Helmut Lütkepohl & Aleksei Netsunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Discussion Papers of DIW Berlin 1729, DIW Berlin, German Institute for Economic Research.
  13. Helmut Lutkepohl & Tomasz Wo'zniak, 2018. "Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity," Papers 1811.08167, arXiv.org.
  14. Helmut Lütkepohl & Mika Meitz & Aleksei NetŠunajev & Pentti Saikkonen, 2018. "Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models," Discussion Papers of DIW Berlin 1764, DIW Berlin, German Institute for Economic Research.
  15. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
  16. Helmut Lütkepohl & Thore Schlaak, 2018. "Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH," Discussion Papers of DIW Berlin 1750, DIW Berlin, German Institute for Economic Research.
  17. Helmut Lütkepohl & Thore Schlaak, 2017. "Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1672, DIW Berlin, German Institute for Economic Research.
  18. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
  19. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions," Discussion Papers of DIW Berlin 1564, DIW Berlin, German Institute for Economic Research.
  20. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2016. "Calculating joint confidence bands for impulse response functions using highest density regions," SFB 649 Discussion Papers 2016-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  21. Helmut Lütkepohl & George Milunivich & Minxian Yang, 2016. "Inference in Partially Identified Heteroskedastic Simultaneous Equations Models," Discussion Papers of DIW Berlin 1632, DIW Berlin, German Institute for Economic Research.
  22. Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna, 2016. "Calculating Joint Bands for Impulse Response Functions using Highest Density Regions," VfS Annual Conference 2016 (Augsburg): Demographic Change 145537, Verein für Socialpolitik / German Economic Association.
  23. Helmut Lütkepohl & George Milunovich, 2015. "Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates," Discussion Papers of DIW Berlin 1455, DIW Berlin, German Institute for Economic Research.
  24. Luetkepohl, Helmut & Milunovich, George, 2015. "Testing for identification in SVAR-GARCH models," SFB 649 Discussion Papers 2015-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  25. Lütkepohl, Helmut & Netšunajev, Aleksei, 2015. "Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models," SFB 649 Discussion Papers 2015-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  26. Helmut Lütkepohl & Aleksei Netšunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models," CESifo Working Paper Series 5308, CESifo.
  27. Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  28. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
  29. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin 1388, DIW Berlin, German Institute for Economic Research.
  30. Lütkepohl, Helmut & Netésunajev, Aleksei, 2014. "Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market," SFB 649 Discussion Papers 2014-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  31. Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," CESifo Working Paper Series 4651, CESifo.
  32. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," CESifo Working Paper Series 4634, CESifo.
  33. Lütkepohl, Helmut, 2014. "Structural vector autoregressive analysis in a data rich environment: A survey," SFB 649 Discussion Papers 2014-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  34. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
  35. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Comparison of methods for constructing joint confidence bands for impulse response functions," SFB 649 Discussion Papers 2013-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  36. Helmut Lütkepohl, 2012. "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin 1235, DIW Berlin, German Institute for Economic Research.
  37. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
  38. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
  39. Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
  40. Helmut Herwartz & Helmut Luetkepohl, 2011. "Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks," Economics Working Papers ECO2011/11, European University Institute.
  41. Tommaso Proietti & Helmut Luetkepohl, 2011. "Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?," Economics Working Papers ECO2011/29, European University Institute.
  42. Ralf Brueggemann & Helmut Luetkepohl, 2011. "Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights," Economics Working Papers ECO2011/17, European University Institute.
  43. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
  44. Helmut Lütkepohl, 2010. "Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights," CESifo Working Paper Series 3031, CESifo.
  45. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute.
  46. Gunnar Bardsen & Helmut Luetkepohl, 2009. "Forecasting Levels of log Variables in Vector Autoregressions," Economics Working Papers ECO2009/24, European University Institute.
  47. Helmut Herwartz & Helmut Luetkepohl, 2009. "Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity," Economics Working Papers ECO2009/42, European University Institute.
  48. Helmut Lütkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series 2591, CESifo.
  49. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
  50. Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen, 2008. "Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term," Economics Working Papers ECO2008/24, European University Institute.
  51. Markku Lanne & Helmut Luetkepohl, 2008. "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks," Economics Working Papers ECO2008/23, European University Institute.
  52. Markku Lanne & Helmut Lütkepohl, 2008. "Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis," CESifo Working Paper Series 2407, CESifo.
  53. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  54. Carsten Trenkler & Pentti Saikkonen & Helmut Luetkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Economics Working Papers ECO2006/29, European University Institute.
  55. Brüggemann, Ralf & Lütkepohl, Helmut & Marcellino, Massimiliano, 2006. "Forecasting euro-area variables with German pre-EMU data," SFB 649 Discussion Papers 2006-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  56. Markku Lanne & Helmut Lütkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," CESifo Working Paper Series 1744, CESifo.
  57. Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," Economics Working Papers ECO2006/30, European University Institute.
  58. Motta, Massimo & , & Argentesi, Elena, 2006. "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," CEPR Discussion Papers 5912, C.E.P.R. Discussion Papers.
  59. Markku Lanne & Helmut Lütkepohl, 2006. "Structural Vector Autoregressions with Nonnormal Residuals," CESifo Working Paper Series 1651, CESifo.
  60. Trenkler, Carsten & Saikkonen, Pentti & Lütkepohl, Helmut, 2006. "Testing for the cointegrating rank of a VAR process with level shift and trend break," SFB 649 Discussion Papers 2006-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  61. Ralf Brueggemann & Helmut Luetkepohl, 2005. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," Economics Working Papers ECO2005/08, European University Institute.
  62. Helmut Luetkepohl, 2005. "Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models," Economics Working Papers ECO2005/15, European University Institute.
  63. Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute.
  64. Ralf BRUEGGEMANN & Helmut LUETKEPOHL, 2004. "Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative," Economics Working Papers ECO2004/20, European University Institute.
  65. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute.
  66. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute.
  67. Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004. "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers ECO2004/21, European University Institute.
  68. Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN, 2004. "Residual Autocorrelation Testing for Vector Error Correction Models," Economics Working Papers ECO2004/08, European University Institute.
  69. Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute.
  70. Ralf BRUEGGEMANN & Hans-Martin KROLZIG & Helmut LUETKEPOHL, 2002. "Comparison of Model Reduction Methods for VAR Processes," Economics Working Papers ECO2002/19, European University Institute.
  71. Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2002. "Comparison of Unit Root Tests for Time Series with Level Shifts," MPRA Paper 76035, University Library of Munich, Germany.
  72. Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001. "Test procedures for unit roots in time series with level shifts at unknown time," SFB 373 Discussion Papers 2001,39, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  73. Lanne, Markku & Lütkepohl, Helmut, 2001. "Unit root tests for time series with level shifts: A comparison of different proposals," SFB 373 Discussion Papers 2001,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  74. Saikkonen, Pentti & Lütkepohl, Helmut, 2001. "Testing for the cointegrating rank of a VAR process with structural shifts," SFB 373 Discussion Papers 1998,82, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  75. Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2001. "Testing for the cointegrating rank of a VAR process with level shift at unknown time," SFB 373 Discussion Papers 2001,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  76. Helmut Lütkepohl & Jürgen Wolters, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series 604, CESifo.
  77. Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001. "Unit root tests in the presence of innovational outliers," SFB 373 Discussion Papers 2001,82, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  78. Helmut Luetkepohl & Pentti Saikkonen, 2000. "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Econometric Society World Congress 2000 Contributed Papers 0342, Econometric Society.
  79. Candelon, Bertrand & Lütkepohl, Helmut, 2000. "Was there a regime change in the German monetary transmission mechanism in 1983?," SFB 373 Discussion Papers 2000,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  80. Candelon, Bertrand & Lütkepohl, Helmut, 2000. "On the reliability of chow type test for parameter constancy in multivariate dynamic models," SFB 373 Discussion Papers 2000,95, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  81. Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2000. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 2000,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  82. Lütkepohl, Helmut, 2000. "Bootstrapping impulse responses in VAR analyses," SFB 373 Discussion Papers 2000,22, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  83. Helmut Luetkepohl & Pentti Saikkonen & Carsten Trenkler, 2000. "Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift," Econometric Society World Congress 2000 Contributed Papers 0364, Econometric Society.
  84. Ralf Brueggemann & Helmut Leutkepohl, 2000. "Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System," Econometric Society World Congress 2000 Contributed Papers 0821, Econometric Society.
  85. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers.
  86. Lütkepohl, Helmut, 1999. "Vector autoregressive analysis," SFB 373 Discussion Papers 1999,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  87. Lütkepohl, Helmut, 1999. "Forecasting cointegrated VARMA processes," SFB 373 Discussion Papers 1999,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  88. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  89. Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Testing for unit roots in time series with level shifts," SFB 373 Discussion Papers 1999,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  90. Lütkepohl, Helmut & Müller, Christian & Saikkonen, Pentti, 1999. "Unit root tests for time series with a structural break: When the break point is known," SFB 373 Discussion Papers 1999,33, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  91. Herwartz, H. & Lütkepohl, H., 1998. "Multivariate Volatility Analysis of VW Stock Prices," SFB 373 Discussion Papers 1998,32, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  92. Saikkonen, Pentti & Lütkepohl, Helmut, 1998. "Testing for the cointegrating rank of a VAR process with an intercept," SFB 373 Discussion Papers 1998,51, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  93. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  94. Saikkonen, Pentti & Lütkepohl, Helmut, 1997. "Trend adjustment prior to testing for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,84, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  95. Bartel, Holger & Lütkepohl, Helmut, 1997. "Estimating the Kronecker indices of cointegrated echelon form VARMA models," SFB 373 Discussion Papers 1997,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  96. Saikkonen, Pentti & Lütkepohl, Helmut, 1997. "Local power of likelihood ratio tests for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  97. Lütkepohl, Helmut & Wolters, Jürgen, 1997. "A money demand system for M3 in the unified Germany," SFB 373 Discussion Papers 1997,92, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  98. Lütkepohl, H. & Saikkonen, P., 1997. "Testing for the Cointegrating Rank of a VAR Process with a Time Trend," SFB 373 Discussion Papers 1997,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  99. Lütkepohl, Helmut & Saikkonen, Pentti, 1997. "Order selection in testing for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,93, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  100. Benkwitz, Alexander & Lütkepohl, Helmut & Neumann, Michael H., 1997. "Problems related to bootstrapping impulse responses of autoregressive processes," SFB 373 Discussion Papers 1997,85, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  101. Härdle, Wolfgang & Lütkepohl, H. & Chen, R., 1996. "A Review of Nonparametric Time Series Analysis," SFB 373 Discussion Papers 1996,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  102. Lütkepohl, H., 1996. "Statistische Modellierung von Volatilitäten," SFB 373 Discussion Papers 1996,70, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  103. Lütkepohl, H. & Breitung, J., 1996. "Impulse Response Analysis of Vector Autoregressive Processes," SFB 373 Discussion Papers 1996,86, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  104. Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut, 1996. "Modelling the Demand for M3 in the unified Germany," SSE/EFI Working Paper Series in Economics and Finance 113, Stockholm School of Economics.
  105. Lütkepohl, H. & Poskitt, D. S., 1996. "Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model," SFB 373 Discussion Papers 1996,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  106. Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," SSE/EFI Working Paper Series in Economics and Finance 64, Stockholm School of Economics.
  107. Lütkepohl, H. & Tschernig, R., 1995. "Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate," SFB 373 Discussion Papers 1995,51, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  108. Saikkonen, P. & Lütkepohl, H., 1995. "Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes," SFB 373 Discussion Papers 1995,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  109. Poskitt, D. & Lütkepohl, H., 1995. "Consistent Specification of Cointegrated Autoregressive Moving-Average Systems," SFB 373 Discussion Papers 1995,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  110. Krolzig, H.-M. & Lütkepohl, H., 1995. "Konjunkturanalyse mit Markov-Regimewechselmodellen," SFB 373 Discussion Papers 1995,19, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  111. Lütkepohl, H. & Saikkonen, P., 1995. "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," SFB 373 Discussion Papers 1995,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  112. Lütkepohl, Helmut, 1994. "Kointegration und gemeinsame Trends," SFB 373 Discussion Papers 1994,28, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  113. Juan J. Dolado & Helmut Lütkepohl, 1994. "Making Wald Tests Work for Cointegrated VAR Systems," Working Papers wp1994_9424, CEMFI.
  114. Lütkepohl, Helmut & Müller, Maike, 1994. "Testing for Multi-Step Causality in Time Series," SFB 373 Discussion Papers 1994,3, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  115. Lütkepohl, Helmut & Saikkonon, Petti, 1994. "Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference," SFB 373 Discussion Papers 1994,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  116. Lütkepohl, Helmut & Moryson, Martin & Wolters, Jürgen, 1994. "Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten," SFB 373 Discussion Papers 1994,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  117. Luetkepohl, Helmut, 1994. "Problems Related to Testing for Granger-Causality in VARMA Processes," SFB 373 Discussion Papers 1994,9, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    repec:hum:wpaper:sfb649dp2014-007 is not listed on IDEAS
  118. Lutkepohl, Helmut, "undated". "Lutkepohl," Instructional Stata datasets for econometrics lutkepohl, Boston College Department of Economics.
    repec:hum:wpaper:sfb649dp2005-035 is not listed on IDEAS
    repec:hum:wpaper:sfb649dp2015-030 is not listed on IDEAS

Articles

  1. Bruns, Martin & Lütkepohl, Helmut, 2024. "Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies," Journal of Economic Dynamics and Control, Elsevier, vol. 161(C).
  2. Martin Bruns & Helmut Lütkepohl, 2023. "An Alternative Bootstrap for Proxy Vector Autoregressions," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
  3. Bruns, Martin & Lütkepohl, Helmut, 2023. "Have the effects of shocks to oil price expectations changed?," Economics Letters, Elsevier, vol. 233(C).
  4. Bruns, Martin & Lütkepohl, Helmut, 2022. "Comparison of local projection estimators for proxy vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  5. Helmut Lütkepohl & Thore Schlaak, 2022. "Heteroscedastic Proxy Vector Autoregressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1268-1281, June.
  6. Boer, Lukas & Lütkepohl, Helmut, 2021. "Qualitative versus quantitative external information for proxy vector autoregressive analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  7. Helmut Lütkepohl & Mika Meitz & Aleksei Netšunajev & Pentti Saikkonen, 2021. "Testing identification via heteroskedasticity in structural vector autoregressive models," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 1-22.
  8. Lütkepohl, Helmut & Woźniak, Tomasz, 2020. "Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  9. Lütkepohl, Helmut, 2020. "Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity," Economics Letters, Elsevier, vol. 195(C).
  10. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
  11. Lütkepohl, Helmut & Milunovich, George & Yang, Minxian, 2020. "Inference in partially identified heteroskedastic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 218(2), pages 317-345.
  12. Lütkepohl, Helmut & Schlaak, Thore, 2019. "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
  13. Helmut Lütkepohl & Aleksei Netšunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Econometrics, MDPI, vol. 6(3), pages 1-14, August.
  14. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Estimation of structural impulse responses: short-run versus long-run identifying restrictions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
  15. Helmut Lütkepohl & Thore Schlaak, 2018. "Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 715-735, August.
  16. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Calculating joint confidence bands for impulse response functions using highest density regions," Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
  17. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
  18. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with smooth transition in variances," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 43-57.
  19. Lütkepohl, Helmut & Milunovich, George, 2016. "Testing for identification in SVAR-GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 241-258.
  20. Helmut Lütkepohl & Anton Velinov, 2016. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions Via Heteroskedasticity," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 377-392, April.
  21. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2015. "Confidence Bands for Impulse Responses: Bonferroni vs. Wald," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(6), pages 800-821, December.
  22. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015. "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
  23. Helmut Lütkepohl, 2014. "Mulaik, S. A.: Foundations of factor analysis," Statistical Papers, Springer, vol. 55(4), pages 1229-1230, November.
  24. Herwartz, Helmut & Lütkepohl, Helmut, 2014. "Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks," Journal of Econometrics, Elsevier, vol. 183(1), pages 104-116.
  25. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, April.
  26. Brüggemann, Ralf & Lütkepohl, Helmut, 2013. "Forecasting contemporaneous aggregates with stochastic aggregation weights," International Journal of Forecasting, Elsevier, vol. 29(1), pages 60-68.
  27. Helmut Lütkepohl, 2013. "Reducing confidence bands for simulated impulse responses," Statistical Papers, Springer, vol. 54(4), pages 1131-1145, November.
  28. Proietti, Tommaso & Lütkepohl, Helmut, 2013. "Does the Box–Cox transformation help in forecasting macroeconomic time series?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 88-99.
  29. Helmut Lütkepohl & Fang Xu, 2012. "The role of the log transformation in forecasting economic variables," Empirical Economics, Springer, vol. 42(3), pages 619-638, June.
  30. Lütkepohl Helmut, 2011. "Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 107-133, February.
  31. Helmut Lütkepohl, 2011. "Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R," Statistical Papers, Springer, vol. 52(2), pages 495-496, May.
  32. Helmut Herwartz & Helmut Lütkepohl, 2011. "Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 281-291, May.
  33. Bårdsen, Gunnar & Lütkepohl, Helmut, 2011. "Forecasting levels of log variables in vector autoregressions," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1108-1115, October.
  34. Helmut Lütkepohl, 2011. "I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews," Statistical Papers, Springer, vol. 52(2), pages 497-499, May.
  35. Luetkepohl Helmut & Xu Fang, 2011. "Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-23, February.
  36. Lanne, Markku & Lütkepohl, Helmut, 2010. "Structural Vector Autoregressions With Nonnormal Residuals," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 159-168.
  37. Lanne, Markku & Lütkepohl, Helmut & Maciejowska, Katarzyna, 2010. "Structural vector autoregressions with Markov switching," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 121-131, February.
  38. Elena Argentesi & Helmut Lütkepohl & Massimo Motta, 2010. "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," German Economic Review, Verein für Socialpolitik, vol. 11(3), pages 381-396, August.
  39. Helmut Lütkepohl, 2010. "Forecasting Aggregated Time Series Variables: A Survey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-26.
  40. Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009. "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
  41. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 331-358, March.
  42. Markku Lanne & Helmut L‹Tkepohl, 2008. "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, September.
  43. Lütkepohl, Helmut, 2008. "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, vol. 99(3), pages 512-515, June.
  44. Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2008. "Forecasting euro area variables with German pre-EMU data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 465-481.
  45. Lutkepohl, Helmut, 2007. "General-to-specific or specific-to-general modelling? An opinion on current econometric terminology," Journal of Econometrics, Elsevier, vol. 136(1), pages 319-324, January.
  46. Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006. "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, vol. 134(2), pages 579-604, October.
  47. Helmut Lütkepohl & Ralf Brüggemann, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702.
  48. Saikkonen, Pentti & Lütkepohl, Helmut & Trenkler, Carsten, 2006. "Break Date Estimation For Var Processes With Level Shift With An Application To Cointegration Testing," Econometric Theory, Cambridge University Press, vol. 22(1), pages 15-68, February.
  49. Helmut Lütkepohl, 2006. "Structural vector autoregressive analysis for cointegrated variables," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 75-88, March.
  50. Ralf Brüggemann & Helmut Lütkepohl, 2005. "Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 673-690, October.
  51. Johansen, Søren & Lütkepohl, Helmut, 2005. "A Note On Testing Restrictions For The Cointegration Parameters Of A Var With I(2) Variables," Econometric Theory, Cambridge University Press, vol. 21(3), pages 653-658, June.
  52. Lucke, Bernd & Lutkepohl, Helmut, 2004. "On unit root tests in the presence of transitional growth," Economics Letters, Elsevier, vol. 84(3), pages 323-327, September.
  53. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2004. "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Econometrica, Econometric Society, vol. 72(2), pages 647-662, March.
  54. Lütkepohl, Helmut & Wolters, Jürgen, 2003. "Transmission Of German Monetary Policy In The Pre-Euro Period," Macroeconomic Dynamics, Cambridge University Press, vol. 7(5), pages 711-733, November.
  55. Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2003. "Comparison of tests for the cointegrating rank of a VAR process with a structural shift," Journal of Econometrics, Elsevier, vol. 113(2), pages 201-229, April.
  56. Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2003. "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 91-115, February.
  57. Saikkonen, Pentti & Lütkepohl, Helmut, 2002. "Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time," Econometric Theory, Cambridge University Press, vol. 18(2), pages 313-348, April.
  58. Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2002. "Comparison of unit root tests for time series with level shifts," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(6), pages 667-685, November.
  59. Lanne, Markku & Lutkepohl, Helmut, 2002. "Unit root tests for time series with level shifts: a comparison of different proposals," Economics Letters, Elsevier, vol. 75(1), pages 109-114, March.
  60. Candelon, Bertrand & Lutkepohl, Helmut, 2001. "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Economics Letters, Elsevier, vol. 73(2), pages 155-160, November.
  61. Helmut Lütkepohl, 2001. "Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 2(3), pages 343-345, August.
  62. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  63. Helmut Lütkepohl, 2001. "Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 2(1), pages 105-108, February.
  64. Lutkepohl, Helmut, 2001. "Comment on essays on current state and future challenges of econometrics," Journal of Econometrics, Elsevier, vol. 100(1), pages 81-82, January.
  65. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 2001. "Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems," Macroeconomic Dynamics, Cambridge University Press, vol. 5(1), pages 81-100, February.
  66. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-8.
  67. Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-464, October.
  68. Helmut Herwartz & Helmut Lütkepohl, 2000. "Multivariate volatility analysis of VW stock prices," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 9(1), pages 35-54, March.
  69. Lutkepohl, Helmut & Saikkonen, Pentti, 2000. "Testing for the cointegrating rank of a VAR process with a time trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 177-198, March.
  70. Pentti Saikkonen & Helmut Lutkepohl, 2000. "Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(4), pages 435-456, July.
  71. Saikkonen, Pentti & Lütkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(3), pages 373-406, June.
  72. Lutkepohl, Helmut & Saikkonen, Pentti, 1999. "A lag augmentation test for the cointegrating rank of a VAR process," Economics Letters, Elsevier, vol. 63(1), pages 23-27, April.
  73. Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999. "Investigating Stability and Linearity of a German M1 Money Demand Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 511-525, Sept.-Oct.
  74. Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process," Econometric Theory, Cambridge University Press, vol. 15(1), pages 50-78, February.
  75. JØrgen Wolters & Helmut LØtkepohl, 1998. "Money demand in Europe: Editors' preface," Empirical Economics, Springer, vol. 23(3), pages 263-266.
  76. Holger Bartel & Helmut Lutkepohl, 1998. "Estimating the Kronecker indices of cointegrated echelon-form VARMA models," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 76-99.
  77. JØrgen Wolters & Helmut LØtkepohl, 1998. "A money demand system for German M3," Empirical Economics, Springer, vol. 23(3), pages 371-386.
  78. Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl, 1998. "Modeling The Demand For M3 In The Unified Germany," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 399-409, August.
  79. Lutkepohl, Helmut, 1997. "Nonparametric dynamic modelling," Journal of Econometrics, Elsevier, vol. 81(1), pages 1-5, November.
  80. Lutkepohl, Helmut & Burda, Maike M., 1997. "Modified Wald tests under nonregular conditions," Journal of Econometrics, Elsevier, vol. 78(2), pages 315-332, June.
  81. Lutkepohl, Helmut & Claessen, Holger, 1997. "Analysis of cointegrated VARMA processes," Journal of Econometrics, Elsevier, vol. 80(2), pages 223-239, October.
  82. Wolfgang Härdle & Helmut Lütkepohl & Rong Chen, 1997. "A Review of Nonparametric Time Series Analysis," International Statistical Review, International Statistical Institute, vol. 65(1), pages 49-72, April.
  83. Lutkepohl, Helmut & Saikkonen, Pentti, 1997. "Impulse response analysis in infinite order cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 127-157, November.
  84. Lütkepohl, Helmut & POSKITT, D.S., 1996. "Testing for Causation Using Infinite Order Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(1), pages 61-87, March.
  85. Saikkonen, Pentti & Lütkepohl, HELMUT, 1996. "Infinite-Order Cointegrated Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(5), pages 814-844, December.
  86. Lutkepohl, Helmut & Herwartz, Helmut, 1996. "Specification of varying coefficient time series models via generalized flexible least squares," Journal of Econometrics, Elsevier, vol. 70(1), pages 261-290, January.
  87. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
  88. H. Heyer & K. Elworthy & N. Cressie & R. Williams & H. Büning & R. Schassberger & H. Lütkepohl, 1995. "Book reviews," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 42(1), pages 139-148, December.
  89. Lutkepohl, Helmut, 1993. "The," Empirical Economics, Springer, vol. 18(4), pages 729-743.
  90. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Granger-causality in cointegrated VAR processes The case of the term structure," Economics Letters, Elsevier, vol. 40(3), pages 263-268, November.
  91. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January.
  92. Lütkepohl, Helmut & Poskitt, D.S., 1991. "Estimating Orthogonal Impulse Responses via Vector Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 7(4), pages 487-496, December.
  93. Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-125, February.
  94. Lutkepohl, H, 1989. "The Stability Assumption in Tests of Causality between Money and Income," Empirical Economics, Springer, vol. 14(2), pages 139-150.
  95. Lutkepohl, Helmut, 1989. "Prediction Tests for Structural Stability of Multiple Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 129-135, January.
  96. Lutkepohl, Helmut, 1989. "A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals," Journal of Econometrics, Elsevier, vol. 42(3), pages 371-376, November.
  97. Lütkepohl, Helmut, 1988. "Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process," Econometric Theory, Cambridge University Press, vol. 4(1), pages 77-85, April.
  98. Lutkepohl, Helmut, 1988. "Prediction tests for structural stability," Journal of Econometrics, Elsevier, vol. 39(3), pages 267-296, November.
  99. Lutkepohl, Helmut, 1986. "Forecasting Vector ARMA Processes with Systematically Missing Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(3), pages 375-390, July.
  100. Helmut Lütkepohl, 1985. "Comparison Of Criteria For Estimating The Order Of A Vector Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(1), pages 35-52, January.
  101. Lutkepohl, Helmut, 1985. "The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions," Economics Letters, Elsevier, vol. 17(1-2), pages 103-106.
  102. Lutkepohl, Helmut, 1984. "Forecasting Contemporaneously Aggregated Vector ARMA Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 201-214, July.
  103. Lutkepohl, Helmut, 1984. "The Optimality of Rational Distributed Lags: A Comment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 503-506, June.
  104. Lutkepohl, Helmut, 1984. "Linear aggregation of vector autoregressive moving average processes," Economics Letters, Elsevier, vol. 14(4), pages 345-350.
  105. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
  106. Lutkepohl, Helmut, 1983. "Non-linear least squares estimation under non-linear equality constraints," Economics Letters, Elsevier, vol. 13(2-3), pages 191-196.
  107. Helmut Lütkepohl, 1982. "Differencing Multiple Time Series: Another Look At Canadian Money And Income Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(4), pages 235-243, July.
  108. Lutkepohl, Helmut, 1982. "Non-causality due to omitted variables," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 367-378, August.
  109. Lutkepohl, Helmut, 1981. "A model for non-negative and non-positive distributed lag functions," Journal of Econometrics, Elsevier, vol. 16(2), pages 211-219, June.
  110. Lütkepohl, H, 1981. "Michael Leserer - Grundlagen der Ökonometrie," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 30(09).
    RePEc:bla:germec:v:11:y:2010:i::p:381-396 is not listed on IDEAS
    RePEc:bpj:pewipo:v:2:y:2001:i:1:p:105-108:n:9 is not listed on IDEAS

Chapters

  1. Helmut Lütkepohl, 2013. "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 ," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 169-203, Emerald Group Publishing Limited.
  2. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
  3. Helmut Lütkepohl, 2006. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 6, pages 73-86, Springer.
  4. Lutkepohl, Helmut, 2006. "Forecasting with VARMA Models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 6, pages 287-325, Elsevier.
  5. Helmut Lütkepohl, 2005. "Specification and Checking the Adequacy of VARMA Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 13, pages 493-514, Springer.
  6. Helmut Lütkepohl, 2005. "Estimation of VARMA Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 12, pages 447-492, Springer.
  7. Helmut Lütkepohl, 2005. "Cointegrated VARMA Processes," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 14, pages 515-529, Springer.
  8. Helmut Lütkepohl, 2005. "Vector Error Correction Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 6, pages 237-267, Springer.
  9. Helmut Lütkepohl, 2005. "Vector Autoregressive Moving Average Processes," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 11, pages 419-446, Springer.
  10. Helmut Lütkepohl, 2005. "Estimation of Vector Autoregressive Processes," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 3, pages 69-133, Springer.
  11. Helmut Lütkepohl, 2005. "VAR Processes with Parameter Constraints," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 5, pages 193-231, Springer.
  12. Helmut Lütkepohl, 2005. "Specification of VECMs," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 8, pages 325-352, Springer.
  13. Helmut Lütkepohl, 2005. "Systems of Dynamic Simultaneous Equations," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 10, pages 387-413, Springer.
  14. Helmut Lütkepohl, 2005. "State Space Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 18, pages 611-642, Springer.
  15. Helmut Lütkepohl, 2005. "Periodic VAR Processes and Intervention Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 17, pages 585-610, Springer.
  16. Helmut Lütkepohl, 2005. "Structural VARs and VECMs," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 9, pages 357-386, Springer.
  17. Helmut Lütkepohl, 2005. "Stable Vector Autoregressive Processes," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 2, pages 13-68, Springer.
  18. Helmut Lütkepohl, 2005. "Introduction," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 1, pages 1-7, Springer.
  19. Helmut Lütkepohl, 2005. "Multivariate ARCH and GARCH Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 16, pages 557-584, Springer.
  20. Helmut Lütkepohl, 2005. "Fitting Finite Order VAR Models to Infinite Order Processes," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 15, pages 531-553, Springer.
  21. Helmut Lütkepohl, 2005. "VAR Order Selection and Checking the Model Adequacy," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 4, pages 135-192, Springer.
  22. Helmut Lutkepohl, 2004. "Recent Advances in Cointegration Analysis," Contributions to Economic Analysis, in: New Directions in Macromodelling, pages 107-146, Emerald Group Publishing Limited.

Books

  1. Kilian,Lutz & Lütkepohl,Helmut, 2018. "Structural Vector Autoregressive Analysis," Cambridge Books, Cambridge University Press, number 9781107196575, January.
  2. Helmut Lütkepohl, 2005. "New Introduction to Multiple Time Series Analysis," Springer Books, Springer, number 978-3-540-27752-1, December.
  3. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521839198, January.
  4. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, January.

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  9. Number of Citations
  10. Number of Citations, Discounted by Citation Age
  11. Number of Citations, Weighted by Simple Impact Factor
  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
  14. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors
  16. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h-index
  22. Number of Registered Citing Authors
  23. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  24. Number of Journal Pages
  25. Number of Journal Pages, Weighted by Simple Impact Factor
  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  29. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  30. Number of Abstract Views in RePEc Services over the past 12 months
  31. Number of Downloads through RePEc Services over the past 12 months
  32. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  33. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  34. Euclidian citation score
  35. Closeness measure in co-authorship network
  36. Betweenness measure in co-authorship network
  37. Breadth of citations across fields
  38. Wu-Index
  39. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 85 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (59) 2001-09-10 2001-10-09 2003-03-03 2003-04-27 2004-02-08 2004-04-11 2004-06-27 2004-06-27 2005-08-13 2005-08-13 2006-02-12 2006-04-08 2006-09-11 2006-09-23 2006-11-18 2007-07-07 2008-06-13 2009-01-17 2009-02-28 2009-07-03 2009-07-03 2010-01-10 2011-07-02 2011-07-27 2012-03-21 2012-03-21 2012-09-03 2012-12-15 2013-04-27 2013-06-09 2014-01-17 2014-01-24 2014-06-22 2014-07-05 2015-02-22 2015-03-05 2015-04-11 2015-06-20 2016-04-09 2016-04-23 2016-09-11 2017-02-19 2017-07-09 2017-10-29 2018-01-01 2018-08-13 2018-10-22 2018-10-22 2020-06-15 2020-07-20 2020-10-19 2020-11-23 2021-04-05 2021-05-31 2022-06-27 2023-05-15 2024-05-20 2024-06-24 2024-08-19. Author is listed
  2. NEP-ECM: Econometrics (54) 2001-09-10 2003-03-11 2003-05-15 2004-02-08 2004-04-11 2004-06-27 2004-06-27 2005-08-13 2005-08-13 2006-02-12 2006-09-23 2006-11-18 2007-07-07 2008-06-13 2008-06-13 2009-01-17 2009-02-28 2009-07-03 2009-07-03 2009-07-11 2010-01-10 2011-07-02 2011-07-27 2012-03-14 2012-03-21 2012-09-03 2012-12-15 2013-04-27 2014-01-17 2014-01-24 2014-02-02 2014-06-22 2015-03-05 2015-03-27 2015-04-11 2016-04-09 2017-01-22 2017-02-19 2017-03-05 2017-07-09 2018-01-01 2018-08-13 2018-10-22 2018-10-22 2020-06-15 2020-07-20 2020-10-19 2020-11-23 2021-04-05 2021-05-31 2022-06-27 2024-05-20 2024-08-19 2024-08-26. Author is listed
  3. NEP-ORE: Operations Research (22) 2009-02-28 2010-01-10 2011-07-02 2014-02-02 2014-06-22 2015-03-27 2015-04-11 2015-06-20 2017-01-22 2017-04-16 2017-07-09 2018-01-01 2018-08-13 2018-10-22 2020-06-15 2020-07-20 2020-11-23 2020-11-30 2021-04-05 2021-05-31 2021-06-14 2021-11-15. Author is listed
  4. NEP-FOR: Forecasting (13) 2005-08-13 2006-09-23 2006-11-18 2007-07-07 2009-07-03 2009-07-03 2009-07-11 2011-07-02 2011-07-27 2012-03-21 2012-03-21 2014-01-24 2014-02-02. Author is listed
  5. NEP-MON: Monetary Economics (11) 2005-08-13 2005-08-13 2005-10-29 2006-08-05 2006-09-11 2008-06-13 2014-06-22 2014-07-05 2015-03-05 2015-06-20 2018-04-02. Author is listed
  6. NEP-CBA: Central Banking (10) 2006-08-05 2006-09-11 2008-06-13 2009-01-17 2009-02-28 2009-07-11 2011-07-02 2011-07-27 2015-03-05 2018-04-02. Author is listed
  7. NEP-MAC: Macroeconomics (9) 2005-08-13 2005-10-29 2006-02-12 2006-08-05 2006-09-11 2008-06-13 2018-01-01 2022-06-27 2022-06-27. Author is listed
  8. NEP-EEC: European Economics (4) 2005-08-13 2005-10-29 2006-11-18 2018-04-02
  9. NEP-FMK: Financial Markets (4) 2005-08-13 2005-08-13 2005-10-29 2018-04-02
  10. NEP-BEC: Business Economics (3) 2006-02-12 2009-01-17 2012-03-14
  11. NEP-ENE: Energy Economics (3) 2012-03-14 2023-05-15 2023-05-29
  12. NEP-CBE: Cognitive and Behavioural Economics (1) 2007-01-28
  13. NEP-COM: Industrial Competition (1) 2006-02-12
  14. NEP-DES: Economic Design (1) 2023-05-29
  15. NEP-IFN: International Finance (1) 2005-10-29
  16. NEP-MFD: Microfinance (1) 2015-03-05
  17. NEP-PKE: Post Keynesian Economics (1) 2016-05-08

Corrections

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