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subject:"Probability theory"
subject:"Time series analysis"
~person:"Lütkepohl, Helmut"
~person:"Robinson, Peter M."
~subject:"VAR-Modell"
~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
VAR-Modell
Estimation theory
74
Schätztheorie
74
Theorie
32
Theory
32
Zeitreihenanalyse
27
VAR model
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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Statistical theory
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Structural vector autoregression
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Räumliche Interaktion
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30
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42
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42
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31
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Lütkepohl, Helmut
Robinson, Peter M.
Phillips, Peter C. B.
29
Linton, Oliver
19
Harvey, Andrew C.
18
Leybourne, Stephen James
18
Teräsvirta, Timo
18
Johansen, Søren
17
Gao, Jiti
16
Taylor, Robert
16
Perron, Pierre
14
Chambers, Marcus J.
13
Hassler, Uwe
13
Xiao, Zhijie
13
Hendry, David F.
11
Koop, Gary
11
Tauchen, George Eugene
11
Baillie, Richard
10
Engle, Robert F.
10
Gouriéroux, Christian
10
Kilian, Lutz
10
McElroy, Tucker
10
Stock, James H.
10
Sun, Yixiao
10
Zakoïan, Jean-Michel
10
Zhu, Ke
10
Chan, Ngai Hang
9
Francq, Christian
9
Ghysels, Eric
9
Granger, C. W. J.
9
Harvey, David I.
9
Inoue, Atsushi
9
Kapetanios, George
9
Koopman, Siem Jan
9
Li, Jia
9
Li, Qi
9
Lucas, André
9
McAleer, Michael
9
Pesaran, M. Hashem
9
Sentana, Enrique
9
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Journal of econometrics
8
Econometric theory
5
Journal of economic dynamics & control
3
International journal of forecasting
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
The review of economic studies
2
Computational economics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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 economic surveys
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Macroeconomic dynamics
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Nonparametric dynamic modelling
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Oxford bulletin of economics and statistics
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The econometrics journal
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ECONIS (ZBW)
31
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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
Qualitative versus quantitative external information for proxy vector autoregressive analysis
Boer, Lukas
;
Lütkepohl, Helmut
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012668854
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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