Helmut Luetkepohl

German Institute for Economic Research (DIW Berlin)

Mohrenstraße 58

Berlin, 10117

Germany

  • German Institute for Economic Research (DIW Berlin)

SCHOLARLY PAPERS

17

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1,636

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36

Scholarly Papers (17)

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1.

Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models

Downloads 202 (300,964)
Citation 1

Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models

DIW Berlin Discussion Paper No. 1464
Number of pages: 35 Posted: 08 Apr 2015
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 126 (450,109)
Citation 1

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Structural vector autoregression, identification via heteroskedasticity, conditional heteroskedasticity, smooth transition, Markov switching, GARCH

Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models

CESifo Working Paper Series No. 5308
Number of pages: 34 Posted: 07 May 2015
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 76 (637,932)

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structural vector autoregression, identification via heteroskedasticity, conditional heteroskedasticity, smooth transition, Markov switching, GARCH

2.

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

DIW Berlin Discussion Paper No. 1388
Number of pages: 28 Posted: 19 Jun 2014
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 196 (309,410)
Citation 11

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Structural vector autoregressions, heteroskedasticity, smooth transition VAR models, identification via heteroskedasticity

3.

Confidence Bands for Impulse Responses: Bonferroni versus Wald

Downloads 169 (353,314)
Citation 7

Confidence Bands for Impulse Responses: Bonferroni versus Wald

DIW Berlin Discussion Paper No. 1354
Number of pages: 34 Posted: 31 Jan 2014
Helmut Luetkepohl, Anna Staszewska-Bystrova and Peter Winker
German Institute for Economic Research (DIW Berlin), University of Lodz, Department of Economics and Sociology and University of Giessen - Department of Economics
Downloads 106 (514,245)
Citation 5

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Impulse responses, Bayesian error bands, frequentist confidence bands, Wald statistic, vector autoregressive process

Confidence Bands for Impulse Responses: Bonferroni versus Wald

CESifo Working Paper Series No. 4634
Number of pages: 32 Posted: 06 Mar 2014
Helmut Luetkepohl, Anna Staszewska-Bystrova and Peter Winker
German Institute for Economic Research (DIW Berlin), University of Lodz, Department of Economics and Sociology and University of Giessen - Department of Economics
Downloads 63 (705,563)
Citation 2

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impulse responses, Bayesian error bands, frequentist confidence bands, Wald statistic, vector autoregressive process

4.

Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates

DIW Berlin Discussion Paper No. 1455
Number of pages: 30 Posted: 12 Mar 2015
Helmut Luetkepohl and George Milunovich
German Institute for Economic Research (DIW Berlin) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 161 (368,373)
Citation 4

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Structural vector autoregression, conditional heteroskedasticity, GARCH, identification via heteroskedasticity

5.

Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey

DIW Berlin Discussion Paper No. 1351
Number of pages: 50 Posted: 30 Jan 2014
Helmut Luetkepohl
German Institute for Economic Research (DIW Berlin)
Downloads 148 (395,052)
Citation 5

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factor models, structural vector autoregressive model, global vector autoregression, panel data, Bayesian vector autoregression

6.

Comparison of Local Projection Estimators for Proxy Vector Autoregressions

Downloads 64 (456,682)

Comparison of Local Projection Estimators for Proxy Vector Autoregressions

Number of pages: 56 Posted: 28 May 2021 Last Revised: 02 Aug 2022
Martin Bruns and Helmut Luetkepohl
University of East Anglia (UEA) - School of Economics and German Institute for Economic Research (DIW Berlin)
Downloads 64 (699,855)

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Structural vector autoregression, local projection, impulse responses, instrumental variable

7.

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

Downloads 120 (465,441)

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

DIW Berlin Discussion Paper No. 1356
Number of pages: 31 Posted: 31 Jan 2014
Helmut Luetkepohl and Anton Velinov
German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 67 (683,421)

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Vector autoregression, heteroskedasticity, vector GARCH, conditional heteroskedasticity, Markov switching model

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

CESifo Working Paper Series No. 4651
Number of pages: 30 Posted: 13 Mar 2014
Helmut Luetkepohl and Anton Velinov
German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 53 (766,842)

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vector autoregression, heteroskedasticity, vector GARCH, conditional heteroskedasticity, Markov switching model

8.

Identifying Structural Vector Autoregressions Via Changes in Volatility

DIW Berlin Discussion Paper No. 1259
Number of pages: 37 Posted: 12 Dec 2012
Helmut Luetkepohl
German Institute for Economic Research (DIW Berlin)
Downloads 103 (521,156)
Citation 2

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Markov switching model, vector autoregression, heteroskedasticity, vector GARCH, conditional heteroskedasticity

9.

Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs

DIW Berlin Discussion Paper No. 1195
Number of pages: 29 Posted: 15 Mar 2012
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 94 (553,878)
Citation 3

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Markov switching model, vector autoregression, heteroskedasticity, crude oil market

10.

Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

DIW Berlin Discussion Paper No. 2005, 2022
Number of pages: 42 Posted: 18 May 2022
Martin Bruns and Helmut Luetkepohl
University of East Anglia (UEA) - School of Economics and German Institute for Economic Research (DIW Berlin)
Downloads 81 (606,410)

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Structural vector autoregression, proxy VAR, heteroskedasticity, productivity shocks

11.

Fundamental Problems with Nonfundamental Shocks

DIW Berlin Discussion Paper No. 1230
Number of pages: 21 Posted: 01 Aug 2012
Helmut Luetkepohl
German Institute for Economic Research (DIW Berlin)
Downloads 75 (632,934)
Citation 1

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structural vector autoregression, moving average representation, vector autoregressive moving average process, impulse response analysis, factor augmented VAR, Bayesian VAR J

12.

Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions

DIW Berlin Discussion Paper No. 1292
Number of pages: 31 Posted: 18 Apr 2013
Helmut Luetkepohl, Anna Staszewska-Bystrova and Peter Winker
German Institute for Economic Research (DIW Berlin), University of Lodz, Department of Economics and Sociology and University of Giessen - Department of Economics
Downloads 60 (708,599)
Citation 2

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Vector autoregressive process, impulse responses, bootstrap, confidence band

13.

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

UNSW Business School Research Paper No. 2016-19
Number of pages: 48 Posted: 02 Feb 2017
Helmut Luetkepohl, George Milunovich and Minxian Yang
German Institute for Economic Research (DIW Berlin), Macquarie University - Department of Actuarial Studies and Business Analytics and UNSW Australia Business School, School of Economics
Downloads 52 (756,320)

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Heteroskedasticity, Simultaneous Equations Models, Testing for Identification, Davies' Problem

14.

Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions

DIW Berlin Discussion Paper No. 1564
Number of pages: 41 Posted: 29 Mar 2016
Helmut Luetkepohl, Anna Staszewska-Bystrova and Peter Winker
German Institute for Economic Research (DIW Berlin), University of Lodz, Department of Economics and Sociology and University of Giessen - Department of Economics
Downloads 52 (756,320)

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Impulse responses, joint confidence bands, highest density region, vector autoregressive process

15.

Reducing Confidence Bands for Simulated Impulse Responses

DIW Berlin Discussion Paper No. 1235
Number of pages: 19 Posted: 22 Aug 2012
Helmut Luetkepohl
German Institute for Economic Research (DIW Berlin)
Downloads 34 (890,693)

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Vector autoregressive process, impulse responses, bootstrap, Bayesian estimation

16.

Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis

Number of pages: 39 Posted: 16 Aug 2024
Martin Bruns, Helmut Luetkepohl and James McNeil
University of East Anglia (UEA) - School of Economics, German Institute for Economic Research (DIW Berlin) and Dalhousie University
Downloads 16 (1,087,215)

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Structural vector autoregression, proxy VAR, external instruments, correlated shocks, Generalized Method of Moments

17.

Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions

DIW Berlin Discussion Paper No. 2103
Number of pages: 26 Posted: 09 Dec 2024
Martin Bruns and Helmut Luetkepohl
University of East Anglia (UEA) - School of Economics and German Institute for Economic Research (DIW Berlin)
Downloads 9 (1,158,595)

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Structural vector autoregression, heteroskedasticity, cointegration, structural vector error correction model