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Unit root and cointegration testing

Lütkepohl, Helmut (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003894166

Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity

Herwartz, Helmut; Lütkepohl, Helmut - 2009

Persistent link: https://www.econbiz.de/10003957277

Structural vector autoregressions with nonnormal residuals

Lanne, Markku; Lütkepohl, Helmut - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 159-168

Persistent link: https://www.econbiz.de/10003992825

Acquisition of information and share prices : an empirical investigation of cognitive dissonance

Argentesi, Elena; Lütkepohl, Helmut; Motta, Massimo - In: German economic review 11 (2010) 3, pp. 381-396

Persistent link: https://www.econbiz.de/10003994233

Forecasting contemporaneous aggregates with stochastic aggregation weights

Brüggemann, Ralf; Lütkepohl, Helmut - 2011

Persistent link: https://www.econbiz.de/10009238569

Forecasting levels of log variables in vector autoregressions

Bårdsen, Gunnar; Lütkepohl, Helmut - In: International journal of forecasting 27 (2011) 4, pp. 1108-1115

Persistent link: https://www.econbiz.de/10009316847

Does the Box-Cox transformation help in forecasting macroeconomic time series?

Proietti, Tommaso; Lütkepohl, Helmut - 2011

Persistent link: https://www.econbiz.de/10009405401

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

Herwartz, Helmut; Lütkepohl, Helmut - 2011

Persistent link: https://www.econbiz.de/10009008157

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...

Persistent link: https://www.econbiz.de/10010233639

Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Persistent link: https://www.econbiz.de/10010233991