Helmut Lütkepohl

The Theory and Practice of Econometrics (2nd ed.).

G. Judge, R. C. Hill, Tsoung-chao Lee, 1986 .

A Review of Nonparametric Time Series Analysis

W. Härdle, Rong Chen, Helmut Lütkepohl, 1997 .

Calculating joint confidence bands for impulse response functions using highest density regions

Helmut Lütkepohl, P. Winker, A. Staszewska-Bystrova, 2017, Empirical Economics.

Reducing confidence bands for simulated impulse responses

Helmut Lütkepohl, H. Lütkepohl, 2013, Statistical Papers.

Estimation of structural impulse responses: short-run versus long-run identifying restrictions

Helmut Lütkepohl, P. Winker, A. Staszewska-Bystrova, 2017, AStA Advances in Statistical Analysis.

Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions

Helmut Lütkepohl, Martin Bruns, H. Lütkepohl, 2023, SSRN Electronic Journal.

Heteroskedastic Proxy Vector Autoregressions: An Identification-Robust Test for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Helmut Lütkepohl, Martin Bruns, 2024, Journal of Economic Dynamics and Control.

Heteroscedastic Proxy Vector Autoregressions

Helmut Lütkepohl, Thore Schlaak, Helmut Lütkepohl, 2020, Journal of Business & Economic Statistics.