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New Introduction to Multiple Time Series Analysis

Lutkepohl, Helmut

1st ed. 2005. Corr. 2nd printing 2007., 2005

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Heteroscedastic Proxy Vector Autoregressions

Journal of business & economic statistics, 2022-07, Vol.40 (3), p.1268-1281

2022

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Have the effects of shocks to oil price expectations changed?

Economics letters, 2023-12, Vol.233, p.111416, Article 111416

2023

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

Journal of econometrics, 2014-11, Vol.183 (1), p.104-116

2014

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Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies

Journal of economic dynamics & control, 2024-04, Vol.161, p.104837, Article 104837

2024

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DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS

Journal of applied econometrics (Chichester, England), 2014-04, Vol.29 (3), p.479-496

2014

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Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Economics letters, 2020-10, Vol.195, p.109458, Article 109458

Lütkepohl, Helmut

2020

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Comparison of local projection estimators for proxy vector autoregressions

Journal of economic dynamics & control, 2022-01, Vol.134, p.104277, Article 104277

2022

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Inference in partially identified heteroskedastic simultaneous equations models

Journal of econometrics, 2020-10, Vol.218 (2), p.317-345

2020

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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Journal of economic dynamics & control, 2020-04, Vol.113, p.103862, Article 103862

2020

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Interview mit Helmut Lütkepohl

Wirtschafts- und Sozialstatistisches Archiv, 2019-01, Vol.13 (1), p.87-94

Krämer, Walter

2019

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An Alternative Bootstrap for Proxy Vector Autoregressions

Computational economics, 2023-12, Vol.62 (4), p.1857-1882

2023

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Testing for identification in SVAR-GARCH models

Journal of economic dynamics & control, 2016-12, Vol.73, p.241-258

2016

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Qualitative versus quantitative external information for proxy vector autoregressive analysis

Journal of economic dynamics & control, 2021-06, Vol.127, p.104118, Article 104118

2021

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Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis

Oxford bulletin of economics and statistics, 2018-08, Vol.80 (4), p.715-735

2018

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The role of the log transformation in forecasting economic variables

Empirical economics, 2012-06, Vol.42 (3), p.619-638

2012

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Structural vector autoregressions with smooth transition in variances

Journal of economic dynamics & control, 2017-11, Vol.84, p.43-57

2017

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Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Journal of economic dynamics & control, 2019-04, Vol.101, p.41-61

2019

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Forecasting Aggregated Time Series Variables: A Survey

OECD journal: Journal of business cycle measurement and analysis, 2010-12, Vol.2010 (2), p.1-26

Helmut Lütkepohl

2010

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Identifying Monetary Policy Shocks via Changes in Volatility

Journal of money, credit and banking, 2008-09, Vol.40 (6), p.1131-1149

2008

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Testing identification via heteroskedasticity in structural vector autoregressive models

The econometrics journal, 2021-01, Vol.24 (1), p.1-22

2021

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Comparison of methods for constructing joint confidence bands for impulse response functions

International journal of forecasting, 2015-07, Vol.31 (3), p.782-798

2015

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Structural vector autoregressions with Markov switching

Journal of economic dynamics & control, 2010-02, Vol.34 (2), p.121-131

2010

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

Journal of economic surveys, 2016-04, Vol.30 (2), p.377-392

2016

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Confidence Bands for Impulse Responses: Bonferroni vs. Wald

Oxford bulletin of economics and statistics, 2015-12, Vol.77 (6), p.800-821

2015

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New Introduction to Multiple Time Series Analysis

Heteroscedastic Proxy Vector Autoregressions

Have the effects of shocks to oil price expectations changed?

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

Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies

DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Comparison of local projection estimators for proxy vector autoregressions

Inference in partially identified heteroskedastic simultaneous equations models

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Interview mit Helmut Lütkepohl

An Alternative Bootstrap for Proxy Vector Autoregressions

Testing for identification in SVAR-GARCH models

Qualitative versus quantitative external information for proxy vector autoregressive analysis

Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis

The role of the log transformation in forecasting economic variables

Structural vector autoregressions with smooth transition in variances

Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Forecasting Aggregated Time Series Variables: A Survey

Identifying Monetary Policy Shocks via Changes in Volatility

Testing identification via heteroskedasticity in structural vector autoregressive models

Comparison of methods for constructing joint confidence bands for impulse response functions

Structural vector autoregressions with Markov switching

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

Confidence Bands for Impulse Responses: Bonferroni vs. Wald

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