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Structural vector autoregressions with Markov switching
Lanne, Markku; Lütkepohl, Helmut; Maciejowska, Katarzyna - In: Journal of economic dynamics & control 34 (2010) 2, pp. 121-131
Persistent link: https://www.econbiz.de/10003947631
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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 autoregressions with smooth transition in variances
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Journal of economic dynamics & control 84 (2017), pp. 43-57
Persistent link: https://www.econbiz.de/10011916171
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Heteroskedastic proxy vector autoregressions : an identification-robust test for time-varying impulse responses in the presence of multiple proxies
Bruns, Martin; Lütkepohl, Helmut - In: Journal of economic dynamics & control 161 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015050043
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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
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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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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