Helmut Lütkepohl

Free University of Berlin (FUB)

Otto Suhr Institut for Political Science\

Ihnestrasse 21

Berlin

Germany

SCHOLARLY PAPERS

14

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239

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25

CROSSREF CITATIONS

12

Scholarly Papers (14)

1.

The Relation between Monetary Policy and the Stock Market in Europe

DIW Berlin Discussion Paper No. 1729
Number of pages: 18 Posted: 18 Apr 2018
Helmut Lütkepohl and Aleksei Netsunajev
Free University of Berlin (FUB) and Free University of Berlin (FUB)
Downloads 42 (489,295)
Citation 2

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Cointegrated vector autoregression, heteroskedasticity, Markov-switching model, monetary policy analysis

2.

Structural Vector Autoregressive Models with more Shocks than Variables Identified via Heteroskedasticity

DIW Berlin Discussion Paper No. 1871
Number of pages: 12 Posted: 29 May 2020
Helmut Lütkepohl
Free University of Berlin (FUB)
Downloads 30 (548,002)

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Structural vector autoregression, identification through heteroskedasticity, structural shocks

3.

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

DIW Berlin Discussion Paper No. 1672
Number of pages: 37 Posted: 11 Jul 2017
Helmut Lütkepohl and Thore Schlaak
Free University of Berlin (FUB) and German Institute for Economic Research (DIW Berlin)
Downloads 28 (559,359)
Citation 3

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Structural Vector Autoregression, Identification via Heteroskedasticity, Conditional Heteroskedasticity, Smooth Transition, Markov Switching, GARCH

4.

Estimation of Structural Impulse Responses: Short-Run Versus Long-Run Identifying Restrictions

DIW Berlin Discussion Paper No. 1642
Number of pages: 15 Posted: 20 Feb 2017
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker
Free University of Berlin (FUB), University of Lodz, Department of Economics and Sociology and University of Giessen - Department of Economics
Downloads 27 (565,224)
Citation 1

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Impulse responses, structural vector autoregressive model, longrun multipliers, short-run multipliers

5.

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

DIW Berlin Discussion Paper No. 1764
Number of pages: 28 Posted: 21 Oct 2018
Free University of Berlin (FUB), University of Helsinki - Department of Political and Economic Studies, Free University of Berlin (FUB) and University of Helsinki - Department of Statistics
Downloads 18 (624,122)
Citation 10

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Heteroskedasticity, structural identification, vector autoregressive process

6.

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity

DIW Berlin Discussion Paper No. 1707
Number of pages: 39 Posted: 19 Dec 2017
Helmut Lütkepohl and Tomasz Wozniak
Free University of Berlin (FUB) and University of Melbourne - Department of Economics
Downloads 18 (624,122)
Citation 3

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Identification through Heteroskedasticity, Markov-Switching Models, Savage-Dickey Density Ratio, Monetary Policy Shocks, Divisia Money

7.

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified Through GARCH

DIW Berlin Discussion Paper No. 1750
Number of pages: 44 Posted: 08 Aug 2018
Helmut Lütkepohl and Thore Schlaak
Free University of Berlin (FUB) and German Institute for Economic Research (DIW Berlin)
Downloads 14 (652,237)
Citation 3

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

8.

An Alternative Bootstrap for Proxy Vector Autoregressions

DIW Berlin Discussion Paper No. 1913
Number of pages: 27 Posted: 17 Nov 2020
Martin Bruns and Helmut Lütkepohl
University of East Anglia (UEA) and Free University of Berlin (FUB)
Downloads 12 (666,934)

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Bootstrap inference, structural vector autoregression, impulse responses, instrumental variable

9.

A Simple Instrument for Proxy Vector Autoregressive Analysis

DIW Berlin Discussion Paper No. 1905
Number of pages: 28 Posted: 16 Oct 2020
Lukas Boer and Helmut Lütkepohl
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 12 (666,934)
Citation 1

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GMM, heteroskedastic VAR, instrumental variable estimation, proxy VAR, structural vector autoregression

10.

Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review

DIW Berlin Discussion Paper No. 1762
Number of pages: 31 Posted: 21 Oct 2018
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker
Free University of Berlin (FUB), University of Lodz, Department of Economics and Sociology and University of Giessen - Department of Economics
Downloads 12 (666,934)
Citation 6

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Impulse responses, vector autoregressive model, joint confidence bands

11.

Heteroskedastic Proxy Vector Autoregressions

DIW Berlin Discussion Paper No. 1876
Number of pages: 35 Posted: 29 Jun 2020
Helmut Lütkepohl and Thore Schlaak
Free University of Berlin (FUB) and German Institute for Economic Research (DIW Berlin)
Downloads 11 (674,280)

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Structural vector autoregression, proxy VAR, identification through heteroskedasticity

12.

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

DIW Berlin Discussion Paper No. 1632
Number of pages: 49 Posted: 17 Jan 2017
Helmut Lütkepohl, George Milunovich and Minxian Yang
Free University of Berlin (FUB), Macquarie University - Department of Applied Finance and Actuarial Studies and University of New South Wales (UNSW)
Downloads 10 (681,541)

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Heteroskedasticity, simultaneous equations models, testing for identification, Davies' problem

13.

Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis

DIW Berlin Discussion Paper No. 1940
Number of pages: 46 Posted: 09 Apr 2021
Lukas Boer and Helmut Lütkepohl
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Downloads 5 (719,068)

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GMM, heteroskedastic VAR, instrumental variable estimation, proxy VAR, structural vector autoregression

14.

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

Journal of Economic Surveys, Vol. 30, Issue 2, pp. 377-392, 2016
Number of pages: 16 Posted: 03 Mar 2016
Helmut Lütkepohl and Anton Velinov
Free University of Berlin (FUB) and German Institute for Economic Research (DIW Berlin)
Downloads 0 (775,736)
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Abstract:

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