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Introduction to multiple time series analysis
Lütkepohl, Helmut - 1993 - 2. edition
Persistent link: https://www.econbiz.de/10000346751
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Multivariate volatility analysis of VW stock prices
Herwartz, Helmut; Lütkepohl, Helmut - 1998
Persistent link: https://www.econbiz.de/10000992357
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Prediction tests for structural stability of multiple time series
Lütkepohl, Helmut - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 129-135
Persistent link: https://www.econbiz.de/10001090220
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Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
Lütkepohl, Helmut - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 1, pp. 107-133
aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed … theoretical setup and the forecasting results.  …
Persistent link: https://www.econbiz.de/10014609330
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Forecasting euro-area variables with German pre-EMU data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2006
period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …
Persistent link: https://www.econbiz.de/10010263654
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Forecasting Euro-Area Variables with German Pre-EMU Data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2008
period 1970Q1-2003Q4 for 10 macroeconomic variables. The years 2000-2003 are used as forecasting period. A range of different … univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some nonlinear … forecasting variables which need considerable adjustments in their levels when joining German and European Monetary Union (EMU …
Persistent link: https://www.econbiz.de/10009471761
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Vector autoregressive analysis
Lütkepohl, Helmut - 1999
An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other restrictions are discussed. Possibilities for model validation are also...
Persistent link: https://www.econbiz.de/10010310005
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Forecasting Euro-Area Variables with German Pre-EMU Data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …
Persistent link: https://www.econbiz.de/10005677971
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Vector autoregressive analysis
Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1999
An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other restrictions are discussed. Possibilities for model validation are also...
Persistent link: https://www.econbiz.de/10010983603
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Structural vector autoregressive analysis
Kilian, Lutz; Lütkepohl, Helmut - 2017 - First published
Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It...
Persistent link: https://www.econbiz.de/10013285146