Helmut Luetkepohl

German Institute for Economic Research (DIW Berlin)

Mohrenstraße 58

Berlin, 10117

Germany

SCHOLARLY PAPERS

15

DOWNLOADS

799

SSRN CITATIONS
Rank 28,089

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Top 28,089

in Total Papers Citations

2

CROSSREF CITATIONS

25

Scholarly Papers (15)

1.

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 132 (232,462)
Citation 11

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

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 69 (359,220)
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 54 (407,462)

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

3.

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 Economics
Downloads 96 (291,622)
Citation 1

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

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 46 (437,720)

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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 33 (496,543)

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

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 72 (346,828)
Citation 5

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

6.

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 60 (381,465)
Citation 2

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

7.

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 55 (397,760)
Citation 2

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

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 32 (501,828)

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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

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 21 (569,794)
Citation 5

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

9.

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 46 (429,686)
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

10.

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 24 (533,006)
Citation 2

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Vector autoregressive process, impulse responses, bootstrap, confidence band

11.

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 Economics and UNSW Australia Business School, School of Economics
Downloads 22 (545,164)

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

12.

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 21 (551,373)

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

13.

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 15 (589,230)

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Vector autoregressive process, impulse responses, bootstrap, Bayesian estimation

14.

Choosing between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 4, pp. 715-735, 2018
Number of pages: 21 Posted: 03 Jul 2018
Helmut Luetkepohl and Thore Schlaak
German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 1 (693,781)
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15.

Confidence Bands for Impulse Responses: Bonferroni vs. Wald

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 6, pp. 800-821, 2015
Number of pages: 22 Posted: 27 Oct 2015
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
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