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Browsing Department of Economics (ECO) by Author "BRUEGGEMANN, Ralf"

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Title: Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Many contemporaneously aggregated variables have stochasticaggregation weights. We compare different forecasts for such variables including univariate forecasts of the aggregate, a multivariate forecast of the aggregate ...
Title: Forecasting Euro Area Variables with German Pre-EMU Data Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Article
Title: A Small Monetary System for the Euro Area Based on German Data Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2006 Type of Publication: Article Abstract: Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic ...
Title: Residual Autocorrelation Testing for Vector Error Correction Models Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2006 Type of Publication: Article Abstract: In applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case ...
Title: Forecasting Euro-Area Variables with German Pre-EMU Data Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; MARCELLINO, Massimiliano Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based ...
Title: Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2005 Type of Publication: Article Abstract: A system of U.S. and euro-area short and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure, the interest rate spreads should be stationary and according to the uncovered ...
Title: Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO 2005/08
Title: Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2005 Type of Publication: Article
Title: A Small Monetary System for the Euro Area Based on German Data Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO
Title: Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO
Title: Residual Autocorrelation Testing for Vector Error Correction Models Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO
Title: Structural Vector Autoregressive Modeling and Impulse Responses Author(s): BREITUNG, Jorg; BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2004 Type of Publication: Contribution to book
Title: Comparison of Model Reduction Methods for VAR Processes Author(s): BRUEGGEMANN, Ralf; KROLZIG, Hans-Martin; LUETKEPOHL, Helmut Date: 2002 Type of Publication: Working Paper Series/Report no.: EUI ECO

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