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Hodges-Lehmann detection of structural shocks : an analysis of macroeconomic dynamics in the Euro Area
Herwartz, Helmut - In: Oxford bulletin of economics and statistics 80 (2018) 4, pp. 736-754
Persistent link: https://www.econbiz.de/10011969509
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Simulation evidence on theory-based and statistical identification under volatility breaks
Herwartz, Helmut; Plödt, Martin - In: Oxford bulletin of economics and statistics 78 (2016) 1, pp. 94-112
Persistent link: https://www.econbiz.de/10011494636
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Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models
Fengler, Matthias; Herwartz, Helmut - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 135-159
Persistent link: https://www.econbiz.de/10011969544
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Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative link rid="fn1">*
Brüggemann, Ralf; Lütkepohl, Helmut - In: Oxford bulletin of economics and statistics 67 (2005) 5, pp. 673-690
Persistent link: https://www.econbiz.de/10006424273
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Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative
Brüggemann, Ralf; Lütkepohl, Helmut - In: Oxford bulletin of economics and statistics 67 (2005) 5, pp. 673-690
Persistent link: https://www.econbiz.de/10007291115
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Test procedures for unit roots in time series with level shifts at unknown time
Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - In: Oxford bulletin of economics and statistics 65 (2003) 1, pp. 91-115
Persistent link: https://www.econbiz.de/10001741975
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Practical problems with reduced-rank ML estimators for cointegration parameters and a simple alternative
Brüggemann, Ralf; Lütkepohl, Helmut - In: Oxford bulletin of economics and statistics 67 (2005) 5, pp. 673-690
Persistent link: https://www.econbiz.de/10003142844
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Confidence bands for impulse responses : Bonferroni vs. Wald
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - In: Oxford bulletin of economics and statistics 77 (2015) 6, pp. 800-821
Persistent link: https://www.econbiz.de/10011396542
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Choosing between different time-varying volatility models for structural vector autoregressive analysis
Lütkepohl, Helmut; Schlaak, Thore - In: Oxford bulletin of economics and statistics 80 (2018) 4, pp. 715-735
Persistent link: https://www.econbiz.de/10011969506