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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

Forecasting aggregated vector ARMA processes

Lütkepohl, Helmut - 1987

Persistent link: https://www.econbiz.de/10013277996

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

Vector autoregressive models

Lütkepohl, Helmut - In: Handbook of research methods and applications in …, (pp. 139-164). 2013

Persistent link: https://www.econbiz.de/10010206841

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Lütkepohl, Helmut - 2020

In conventional structural vector autoregressive (VAR) models it is assumed that there are at most as many structural shocks as there are variables in the model. It is pointed out that heteroskedasticity can be used to identify more shocks than variables. However, even if there is...

Persistent link: https://www.econbiz.de/10012223488