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Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008

Persistent link: https://www.econbiz.de/10003787630

Practical problems with reduced rank ML estimators for cointegration parameters and a simple alternative

Brüggemann, Ralf (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002113163

Break date estimation and cointegration testing in VAR processes with level shift

Saikkonen, Pentti (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002113171

Structural vector autoregressive analysis for cointegrated variables

Lütkepohl, Helmut - In: Allgemeines statistisches Archiv : AStA ; journal of … 90 (2006) 1, pp. 75-88

Persistent link: https://www.econbiz.de/10003285319

Identifying monetary policy shocks via changes in volatility

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2006

Persistent link: https://www.econbiz.de/10003338299

The role of the log transformation in forecasting economic variables

Lütkepohl, Helmut; Fang, Xu - 2009

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...