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Residual autocorrelation testing for vector error correction models

Brüggemann, Ralf; Lütkepohl, Helmut; Saikkonen, Pentti - In: Journal of econometrics 134 (2006) 2, pp. 579-604

Persistent link: https://www.econbiz.de/10003374345

Prediction tests for structural stability

Lütkepohl, Helmut - In: Journal of econometrics 39 (1988) 3, pp. 267-296

Persistent link: https://www.econbiz.de/10003622419

Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks

Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116

Persistent link: https://www.econbiz.de/10010506080

General-to-specific or specific-to-general modelling? : an opinion on current econometric terminology

Lütkepohl, Helmut - In: Journal of econometrics 136 (2007) 1, pp. 319-324

Persistent link: https://www.econbiz.de/10003401661

Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: Journal of econometrics 113 (2003) 2, pp. 201-229

Persistent link: https://www.econbiz.de/10001738893

Testing for the cointegrating rank of a VAR process with a time trend

Lütkepohl, Helmut; Saikkonen, Pentti - In: Journal of econometrics 95 (2000) 1, pp. 177-198

Persistent link: https://www.econbiz.de/10001432560

Modified Wald tests under nonregular conditions

Lütkepohl, Helmut - In: Journal of econometrics 78 (1997) 2, pp. 315-332

Persistent link: https://www.econbiz.de/10001219971

Impulse response analysis in infinite order cointegrated vector autoregressive processes

Lütkepohl, Helmut - In: Journal of econometrics 81 (1997) 1, pp. 127-157

Persistent link: https://www.econbiz.de/10001336799

Nonparametric dynamic modelling

Lütkepohl, Helmut (contributor) - In: Journal of econometrics 81 (1997) 1

Persistent link: https://www.econbiz.de/10001229341

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14

We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...

Persistent link: https://www.econbiz.de/10011887655