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~accessRights:"free"
~person:"Lutkepohl, Helmut"
~person:"Meitz, Mika"
~person:"Proietti, Tommaso"
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Lutkepohl, Helmut
Meitz, Mika
Proietti, Tommaso
Lütkepohl, Helmut
261
Luetkepohl, Helmut
66
Saikkonen, Pentti
59
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1
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Nets̆unajev, Aleksei
; …
-
2018
Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the unrestricted model including the covariance...
Persistent link: https://www.econbiz.de/10011916918
Saved in:
2
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The Econometrics Journal
24
(
2021
)
1
,
pp. 1-22
Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald-type tests for which only the unrestricted model, including the covariance...
Persistent link: https://www.econbiz.de/10012509003
Saved in:
3
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
-
2018
Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the unrestricted model including the covariance...
Persistent link: https://www.econbiz.de/10011919912
Saved in:
4
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models
Lütkepohl, Helmut
-
2018
Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the unrestricted model including the covariance...
Persistent link: https://www.econbiz.de/10012909293
Saved in:
5
Does the Box-Cox transformation help in forecasting macroeconomic time series?
Proietti, Tommaso
;
Lütkepohl, Helmut
-
2011
Persistent link: https://www.econbiz.de/10009405401
Saved in:
6
Does the Box-Cox transformation help in forecasting macroeconomic time series?
Lütkepohl, Helmut
;
Proietti, Tommaso
-
Business School, University of Sydney
-
2011
The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating...
Persistent link: https://www.econbiz.de/10011005057
Saved in:
7
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?
Proietti, Tommaso
;
Luetkepohl, Helmut
-
Department of Economics, European University Institute
-
2011
The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating...
Persistent link: https://www.econbiz.de/10009653948
Saved in:
8
Investigating Stability and Linearity of a German M1 Money Demand Function.
Lutkepohl, Helmut
;
Terasvirta, Timo
;
Wolters, Jurgen
- In:
Journal of Applied Econometrics
14
(
1999
)
5
,
pp. 511-25
Starting from a linear error correction model (ECM) the stability and linearity of a German M1 money demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted quarterly data from 1961(1) to 1990(2) it is found that the money demand equation...
Persistent link: https://www.econbiz.de/10005764783
Saved in:
9
Lutkepohl
Lutkepohl, Helmut
-
Department of Economics, Boston College
Data from Introduction to Multiple Time Series Analysis, Springer-Verlag, 1993. Quarterly data on West German economy, 1960q1-1982q4.
Persistent link: https://www.econbiz.de/10005027904
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