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subject:"Probability theory"
subject:"Time series analysis"
~person:"Lütkepohl, Helmut"
~person:"Robinson, Peter M."
~subject:"Theorie"
~type_genre:"Article in journal"
~type_genre:"Book section"
~type_genre:"Collection of articles of several authors"
~type_genre:"Sammelwerk"
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Search: subject_exact:"Estimation theory"
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Probability theory
Time series analysis
Theorie
Estimation theory
74
Schätztheorie
74
Theory
32
Zeitreihenanalyse
27
VAR model
12
VAR-Modell
12
Nichtparametrisches Verfahren
11
Nonparametric statistics
11
Estimation
8
Deutschland
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Germany
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Heteroscedasticity
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Schätzung
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Bootstrap approach
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Structural vector autoregression
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Maximum-Likelihood-Schätzung
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47
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Collection of articles of several authors
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45
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English
48
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Lütkepohl, Helmut
Robinson, Peter M.
Phillips, Peter C. B.
51
Baltagi, Badi H.
34
Li, Qi
31
Andrews, Donald W. K.
30
Gouriéroux, Christian
29
Linton, Oliver
29
Newey, Whitney K.
29
Pesaran, M. Hashem
27
McAleer, Michael
26
Ullah, Aman
25
Krämer, Walter
23
Ohtani, Kazuhiro
23
King, Maxwell L.
22
Leybourne, Stephen James
22
Perron, Pierre
22
Giles, David E. A.
21
Granger, C. W. J.
21
Horowitz, Joel
21
Harvey, Andrew C.
20
Johansen, Søren
20
Teräsvirta, Timo
20
Wooldridge, Jeffrey M.
20
Hendry, David F.
19
Lee, Lung-fei
18
Ghysels, Eric
17
Hassler, Uwe
17
Hsiao, Cheng
17
Maddala, Gangadharrao S.
17
Schmidt, Peter
17
Tauchen, George Eugene
17
Baillie, Richard
16
Bera, Anil K.
16
Chambers, Marcus J.
16
Gao, Jiti
16
Hahn, Jinyong
16
Hill, Rufus Carter
16
Srivastava, Virendra K.
16
Taylor, Robert
16
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Journal of econometrics
8
Econometric theory
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
7
Journal of economic dynamics & control
3
Econometric reviews
2
International journal of forecasting
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of economic surveys
2
Oxford bulletin of economics and statistics
2
The review of economic studies
2
Computational economics
1
Econometrics in theory and practice : Festschrift for Hans Schneeweiß ; with 33 tables
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of applied econometrics
1
Macroeconomic dynamics
1
Nonlinear statistical modeling : proceedings of the Thirteenth International Symposium in Economic Theory and Econometrics ; essays in honor of Takeshi Amemiya
1
Nonparametric dynamic modelling
1
Revista de econometria
1
Revista española de economía
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Robust inference
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The econometrics journal
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ECONIS (ZBW)
48
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48
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1
An alternative bootstrap for proxy vector autoregressions
Bruns, Martin
;
Lütkepohl, Helmut
- In:
Computational economics
62
(
2023
)
4
,
pp. 1857-1882
Persistent link: https://www.econbiz.de/10014442568
Saved in:
2
Heteroscedastic proxy vector autoregressions
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1268-1281
Persistent link: https://www.econbiz.de/10013539510
Saved in:
3
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
Saved in:
4
Asymptotic theory for time series with changing mean and variance
Dalla, Violetta
;
Giraitis, Liudas
;
Robinson, Peter M.
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10012483387
Saved in:
5
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 41-61
Persistent link: https://www.econbiz.de/10012131020
Saved in:
6
Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1389-1411
Persistent link: https://www.econbiz.de/10011950253
Saved in:
7
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut
;
Velinov, Anton
- In:
Journal of economic surveys
30
(
2016
)
2
,
pp. 377-392
Persistent link: https://www.econbiz.de/10011553496
Saved in:
8
Series estimation under cross-sectional dependence
Lee, Jungyoon
;
Robinson, Peter M.
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011591611
Saved in:
9
Testing for identification in SVAR-GARCH models
Lütkepohl, Helmut
;
Milunovich, George
- In:
Journal of economic dynamics & control
73
(
2016
),
pp. 241-258
Persistent link: https://www.econbiz.de/10011709107
Saved in:
10
Comparison of methods for constructing joint confidence bands for impulse response functions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 782-798
Persistent link: https://www.econbiz.de/10011474568
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