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Practical problems with reduced rank ML estimators for cointegration parameters and a simple alternative

Brüggemann, Ralf (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002113163

Forecasting vector ARMA processes with systematically missing observations

Lütkepohl, Helmut - In: Journal of business & economic statistics : JBES ; a … 4 (1986) 3, pp. 375-390

Persistent link: https://www.econbiz.de/10001009797

Asymptotic distribution of the moving average coefficients of an estimated vector autoregressive process

Lütkepohl, Helmut - In: Econometric theory 4 (1988) 1, pp. 77-85

Persistent link: https://www.econbiz.de/10001049386

Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models

Lütkepohl, Helmut - In: The review of economics and statistics 72 (1990) 1, pp. 116-125

Persistent link: https://www.econbiz.de/10001085596

Vector autoregressions

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009579182

Reducing confidence bands for simulated impulse responses

Lütkepohl, Helmut - 2012

It is emphasized that the shocks in structural vector autoregressions are only identified up to sign and it is pointed out that this feature can result in very misleading confidence intervals for impulse responses if simulation methods such as Bayesian or bootstrap methods are used. The...

Persistent link: https://www.econbiz.de/10009579404