Helmut Lütkepohl

发表

Specification and Checking the Adequacy of VARMA Models

Helmut Lütkepohl, 1991 .

Stable Vector Autoregressive Processes

Helmut Lütkepohl, 1991 .

Multivariate volatility analysis of VW stock prices

Helmut Lütkepohl, Helmut Herwartz, H. Lütkepohl, 2000, Intell. Syst. Account. Finance Manag..

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity

Helmut Lütkepohl, Tomasz Wozniak, H. Lütkepohl, 2017, Journal of Economic Dynamics and Control.

An Alternative Bootstrap for Proxy Vector Autoregressions

Helmut Lütkepohl, Martin Bruns, H. Lütkepohl, 2020, Computational Economics.

Identification by Short-Run Restrictions

Helmut Lütkepohl, Lutz Kilian, 2017 .

Introduction to multiple time series analysis

Helmut Lütkepohl, H. Lütkepohl, 1991 .

Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey

Helmut Lütkepohl, H. Luetkepohl, 2014 .

Cointegrated VARMA Processes

Helmut Lütkepohl, 2005 .

Comparison of Model Reduction Methods for VAR Processes

Helmut Lütkepohl, Hans-Martin Krolzig, Ralf Brüggemann, 2002 .

Structural VARs and VECMs

Helmut Lütkepohl, 2005 .

General-to-Specific or Specific-to-General Modelling? An Opinion on Current Econometric Terminology

Helmut Lütkepohl, H. Lütkepohl, 2007 .

Estimation Subject to Short-Run Restrictions

Helmut Lütkepohl, Lutz Kilian, 2017 .

Identifying Structural Vector Autoregressions Via Changes in Volatility

Helmut Lütkepohl, H. Luetkepohl, 2012 .

Temporal Aggregation of Stock Variables — Systematically Missing Observations

Helmut Lütkepohl, 1987 .

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

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker, 2016 .

Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks

Helmut Lütkepohl, Helmut Herwartz, H. Lütkepohl, 2014 .

Vector Autoregressive Models

Helmut Lütkepohl, H. Lütkepohl, 2011, International Encyclopedia of Statistical Science.

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

Structural VAR Tools

Helmut Lütkepohl, Lutz Kilian, 2017 .

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

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker, 2017 .

Konjunkturanalyse mit Markov-Regimewechselmodellen

Helmut Lütkepohl, Hans-Martin Krolzig, H. Lütkepohl, 1995 .

Chapter 11 - Testing for Time Varying Parameters in Vector Autoregressive Models

Helmut Lütkepohl, H. Lütkepohl, 1992 .

Identification by Sign Restrictions

Helmut Lütkepohl, Lutz Kilian, 2017 .

Constructing joint confidence bands for impulse response functions of VAR models – A review

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker, 2020 .

Inference in Models Identified by Short-Run or Long-Run Restrictions

Helmut Lütkepohl, Lutz Kilian, 2017 .

Forecasting temporally aggregated vector ARMA processes

Helmut Lütkepohl, H. Lütkepohl, 1986 .

Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System

Helmut Lütkepohl, Ralf Brüggemann, H. Lütkepohl, 2000 .

Consistent Specification of Cointegrated Autoregressive Moving-Average Systems

Helmut Lütkepohl, Donald Poskitt, D. Poskitt, 1995 .

Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time

Helmut Lütkepohl, Pentti Saikkonen, Markku Lanne, 2003 .

Estimating Orthogonal Impulse Responses via Vector Autoregressive Models

Helmut Lütkepohl, Donald Poskitt, D. Poskitt, 1991, Econometric Theory.

Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Helmut Lütkepohl, Carsten Trenkler, Pentti Saikkonen, 2000 .

Introduction to Multiple Time Series Analysis.@@@Elements of Multivariate Time Series Analysis.

Helmut Lütkepohl, Gregory C. Reinsel, David S. Stoffer, 1994 .

Testing for Causation Between Two Variables in Higher-Dimensional VAR Models

Helmut Lütkepohl, H. Lütkepohl, 1993 .

Forecasting Cointegrated VARMA Processes

Helmut Lütkepohl, 1999 .

Testing for Causation Using Infinite Order Vector Autoregressive Processes

Helmut Lütkepohl, Donald Poskitt, D. Poskitt, 1996, Econometric Theory.

Residual autocorrelation testing for vector error correction models

Helmut Lütkepohl, Pentti Saikkonen, Ralf Brüggemann, 2006 .

TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 2000, Econometric Theory.

Specification of Echelon-Form VARMA Models

Helmut Lütkepohl, Donald Poskitt, D. Poskitt, 1996 .

Testing for unit roots in time series with level shifts

Helmut Lütkepohl, Pentti Saikkonen, 2001 .

Investigating Stability and Linearity of a German M1 Money Demand Function

Helmut Lütkepohl, Timo Teräsvirta, T. Teräsvirta, 1999 .

Linear transformations of vector ARMA processes

Helmut Lütkepohl, H. Lütkepohl, 1984 .

Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference

Helmut Lütkepohl, H. Lütkepohl, Petti Saikkonon, 1994 .

Forecasting Contemporaneously Aggregated Vector ARMA Processes

Helmut Lütkepohl, H. Lütkepohl, 1984 .

Vector Autoregressive and Vector Error Correction Models

Helmut Lütkepohl, H. Lütkepohl, 2004 .

COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS

Helmut Lütkepohl, Alexander Benkwitz, H. Lütkepohl, 2001, Macroeconomic Dynamics.

The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions

Helmut Lütkepohl, 1985 .

Practical Problems with Reduced-Rank Ml Estimators for Cointegration Parameters and a Simple Alternative

Helmut Lütkepohl, Ralf Brüggemann, H. Lütkepohl, 2005 .

Forecasting Aggregated Time Series Variables: A Survey

Helmut Lütkepohl, H. Lütkepohl, 2011 .

Econometric studies : a festschrift in honour of Joachim Frohn

Helmut Lütkepohl, Lothar Knüppel, H. Lütkepohl, 2001 .

Comparison of predictors for temporally and contemporaneously aggregated time series

Helmut Lütkepohl, H. Lütkepohl, 1986 .

Impulse response analysis of cointegrated systems

Helmut Lütkepohl, Hans-Eggert Reimers, H. Lütkepohl, 1992 .

DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA

Helmut Lütkepohl, H. Lütkepohl, 1982 .

Forecasting levels of log variables in vector autoregressions

Helmut Lütkepohl, Gunnar Bårdsen, H. Lütkepohl, 2011 .

Structural Vector Autoregressive Analysis for Cointegrated Variables

Helmut Lütkepohl, 2006 .

Modified wald tests under nonregular conditions

Helmut Lütkepohl, H. Lütkepohl, Maike M. Burda, 1997 .

Mulaik, S. A.: Foundations of factor analysis

Helmut Lütkepohl, 2014 .

Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process

Helmut Lütkepohl, Carsten Trenkler, Pentti Saikkonen, 2001 .

Vector autoregressive models

Helmut Lütkepohl, 2011 .

Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models

Helmut Lütkepohl, H. Lütkepohl, 1990 .

Testing for the Cointegrating Rank of a VAR Process With Structural Shifts

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 2000 .

Impulse response analysis in infinite order cointegrated vector autoregressive processes

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 1997 .

Analysis of cointegrated VARMA processes

Helmut Lütkepohl, H. Lütkepohl, H. Claessen, 1997 .

Order Selection in Testing for the Cointegrating Rank of a VAR Process

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 1997 .

Non-causality due to omitted variables

Helmut Lütkepohl, H. Lütkepohl, 1982 .

Recent Advances in Cointegration Analysis

Helmut Lütkepohl, H. Lütkepohl, 2004 .

Structural vector autoregressive analysis for cointegrated variables

Helmut Lütkepohl, H. Lütkepohl, 2006 .

Testing for the Cointegrating Rank of a VAR Process with a Time Trend

Helmut Lütkepohl, Pentti Saikkonen, H. Lütkepohl, 2000 .

Structural Vector Autoregressions: Checking Identifying Long‐Run Restrictions via Heteroskedasticity

Helmut Lütkepohl, Anton Velinov, H. Lütkepohl, 2014, SSRN Electronic Journal.

Granger-causality in cointegrated VAR processes The case of the term structure

Helmut Lütkepohl, Hans-Eggert Reimers, H. Lütkepohl, 1992 .

Structural Vector Autoregressive Modeling and Impulse Responses

Helmut Lütkepohl, Jörg Breitung, Ralf Brüggemann, 2004 .

Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process

Helmut Lütkepohl, Pentti Saikkonen, P. Saikkonen, 2000 .

Forecasting Vector ARMA Processes with Systematically Missing Observations

Helmut Lütkepohl, H. Lütkepohl, 1986 .

Helmut Lütkepohl, Michael H. Neumann, Alexander Benkwitz, 1997 .

Towards a new early warning system of financial crises

Helmut Lütkepohl, Anindya Banerjee, A. Banerjee, 2002 .

Unit root tests for time series with level shifts: a comparison of different proposals

Helmut Lütkepohl, Markku Lanne, 2002 .

Linear aggregation of vector autoregressive moving average processes

Helmut Lütkepohl, H. Lütkepohl, 1984 .

Forecasting aggregated vector ARMA processes

Helmut Lütkepohl, H. Lütkepohl, 1987 .

Unit root tests for time series with a structural break when the break point is known

Helmut Lütkepohl, Christian Müller, Pentti Saikkonen, 1999 .

Measures of multivariate skewness and kurtosis for tests of nonnormality

Helmut Lütkepohl, H. Lütkepohl, B. Theilen, 1991 .

Impulse Response Function

Helmut Lütkepohl, H. Lütkepohl, 2010 .

On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models

Helmut Lütkepohl, Bertrand Candelon, H. Lütkepohl, 2001 .

A REVIEW OF SYSTEMS COINTEGRATION TESTS

Helmut Lütkepohl, Pentti Saikkonen, Kirstin Hubrich, 2001 .

The role of the log transformation in forecasting economic variables

Helmut Lütkepohl, H. Lütkepohl, Fang Xu, 2009, SSRN Electronic Journal.

Chapter 6 Forecasting with VARMA Models

Helmut Lütkepohl, H. Lütkepohl, 2006 .

A review of systemscointegration tests

Helmut Lütkepohl, Pentti Saikkonen, Kirstin Hubrich, 1998 .