Helmut Luetkepohl

European University Institute

Professor

Villa San Paulo

Via della Piazzola 43

I-50133 Firenze

Italy

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

SCHOLARLY PAPERS

17

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CITATIONS
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168

Scholarly Papers (17)

1.

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis

CESifo Working Paper Series No. 2407
Number of pages: 20 Posted: 03 Oct 2008
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Department of Political and Economic Studies and European University Institute
Downloads 202 (149,391)
Citation 1

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cointegration, Markov regime switching model, vector error correction model, structural vector autoregression, mixed normal distribution

2.

The Transmission of German Monetary Policy in the Pre-Euro Period

CESifo Working Paper Series No. 604
Number of pages: 25 Posted: 29 Nov 2001
Helmut Luetkepohl and Jürgen Wolters
European University Institute and Free University of Berlin (FUB)
Downloads 173 (172,032)

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Cointegration Analysis, Impulse Response Analysis,

3.

Structural Vector Autoregressions with Nonnormal Residuals

CESifo Working Paper Series No. 1651
Number of pages: 30 Posted: 23 Feb 2006
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Department of Political and Economic Studies and European University Institute
Downloads 143 (201,906)

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mixture normal distribution, cointegration, vector autoregressive process, vector error correction model, impulse responses

4.

The Role of the Log Transformation in Forecasting Economic Variables

CESifo Working Paper Series No. 2591
Number of pages: 32 Posted: 25 Mar 2009
Helmut Luetkepohl and Fang Xu
European University Institute and European University Institute
Downloads 140 (205,430)

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autoregressive moving average process, forecast mean squared error, instantaneous transformation, integrated process, heteroskedasticity

5.

Identifying Monetary Policy Shocks Via Changes in Volatility

CESifo Working Paper Series No. 1744
Number of pages: 26 Posted: 14 Jul 2006
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Department of Political and Economic Studies and European University Institute
Downloads 107 (251,437)
Citation 1

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monetary policy, structural vector autoregressive analysis, vector autoregressive

6.

Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels Versus Logs of the Underlying Price Index

EUI Max Weber Programme Working Paper No. 2009/37
Number of pages: 32 Posted: 14 Nov 2009
Helmut Luetkepohl and Fang Xu
European University Institute and European University Institute
Downloads 56 (366,611)

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Autoregressive moving average process, forecast mean squared error, log transformation, seasonally integrated process, seasonal dummy variables

7.

Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights

CESifo Working Paper Series No. 3031
Number of pages: 38 Posted: 02 May 2010
Helmut Luetkepohl
European University Institute
Downloads 50 (385,904)

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forecasting, stochastic aggregation, autoregression, moving average, vector autoregressive process

8.

The Role of Log Transformation in Forecasting Economic Variables

European University Institute Max Weber Programme Working Paper No. MWP 2009/6
Number of pages: 31 Posted: 14 Nov 2009
Helmut Luetkepohl and Fang Xu
European University Institute and European University Institute
Downloads 45 (403,252)

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For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the original

9.

Comparison of Unit Root Tests for Time Series with Level Shifts

Journal of Time Series Analysis, Vol. 23, pp. 667-685, 2002
Number of pages: 19 Posted: 14 Feb 2003
Markku Lanne, Helmut Luetkepohl and Pentti Saikkonen
University of Helsinki - Department of Political and Economic Studies, European University Institute and University of Helsinki - Department of Statistics
Downloads 24 (495,793)
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10.

Practical Problems with Reduced-Rank Ml Estimators for Cointegration Parameters and a Simple Alternative

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 5, pp. 673-690, October 2005
Number of pages: 18 Posted: 05 Nov 2005
Ralf Brüggemann and Helmut Luetkepohl
University of Konstanz - Department of Economics and European University Institute
Downloads 23 (501,275)
Citation 2
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11.

Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance

CEPR Discussion Paper No. 5912
Number of pages: 28 Posted: 29 Dec 2006
Elena Argentesi, Helmut Luetkepohl and Massimo Motta
University of Bologna - Department of Economics, European University Institute and Universitat Pompeu Fabra
Downloads 16 (541,897)
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Behavioural economics, time-series econometrics, empirical finance, newspapers

12.

Testing for the Co-integrating Rank of a VAR Process with Level Shift and Trend Break

Journal of Time Series Analysis, Vol. 29, Issue 2, pp. 331-358, March 2008
Number of pages: 28 Posted: 29 Feb 2008
Carsten Trenkler, Pentti Saikkonen and Helmut Luetkepohl
University of Mannheim, University of Helsinki - Department of Statistics and European University Institute
Downloads 13 (559,779)
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13.

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term

Econometrics Journal, Vol. 12, Issue 3, pp. 414-435, November 2009
Number of pages: 22 Posted: 01 Dec 2009
Matei Demetrescu, Helmut Luetkepohl and Pentti Saikkonen
Goethe University Frankfurt - Faculty of Economics and Business Administration, European University Institute and University of Helsinki - Department of Statistics
Downloads 2 (635,457)
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14.

A Review of Systems Cointegration Tests

Econometric Reviews, Vol. 20, No. 3, pp. 247-318, 2001
Posted: 09 Feb 2005
Kirstin Hubrich, Helmut Luetkepohl and Pentti Saikkonen
Board of Governors of the Federal Reserve System, European University Institute and University of Helsinki - Department of Statistics

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Systems cointegration tests, LR tests, nonparametric tests, asymptotic power, small sample simulations

Estimating the Kronecker Indices of Cointegrated Echelon‐Form Varma Models

The Econometrics Journal, Vol. 1, Issue 1, pp. 76-99, 1998
Number of pages: 24 Posted: 24 Sep 2014
Helmut Luetkepohl and Holger Bartel
European University Institute and Humboldt University of Berlin
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Cointegrations, Echelon form, Kronecker indices, VARMA models

Estimating the Kronecker Indices of Cointegrated Echelon-Form Varma Models

The Econometrics Journal, Vol. 1, 1998
Posted: 05 Apr 1999
Holger Bartel and Helmut Luetkepohl
Humboldt University of Berlin and European University Institute

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16.

A Money Demand System for German M3

Empirical Economics, Vol. 23, No. 3, 1998
Posted: 29 Sep 1998
Helmut Luetkepohl and Jürgen Wolters
European University Institute and Free University of Berlin (FUB)

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17.

Investigating Stability and Linearity of a German M1 Money Demand Function

WPS64-8/95
Posted: 22 Apr 1998
Helmut Luetkepohl, Timo Teräsvirta and Jürgen Wolters
European University Institute, Stockholm School of Economics - Department of Economics and Free University of Berlin (FUB)

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