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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
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Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Lütkepohl, Helmut - In: Economics letters 195 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012509991
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Acquisition of information and share prices : an empirical investigation of cognitive dissonance
Argentesi, Elena; Lütkepohl, Helmut; Motta, Massimo - 2006
Persistent link: https://www.econbiz.de/10003394735
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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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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
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Inference in partially identified heteroskedastic simultaneous equations models
Lütkepohl, Helmut; Milunovich, George; Yang, Minxian - In: Journal of econometrics 218 (2020) 2, pp. 317-345
Persistent link: https://www.econbiz.de/10012483004
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - In: Journal of economic dynamics & control 113 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012502522
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Structural vector autoregressive analysis
Kilian, Lutz; Lütkepohl, Helmut - 2017
Persistent link: https://www.econbiz.de/10011722600
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Choosing between different time-varying volatility models for structural vector autoregressive analysis
Lütkepohl, Helmut; Schlaak, Thore - In: Oxford bulletin of economics and statistics 80 (2018) 4, pp. 715-735
Persistent link: https://www.econbiz.de/10011969506
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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