Browsing Department of Economics (ECO) by Author "LUETKEPOHL, Helmut"
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Title:Disentangling demand and supply shocks in the crude oil market : how to check sign restrictions in structural VARs Author(s):LUETKEPOHL, Helmut; NETŠUNAJEV, AlekseiDate:2014Citation:Journal of applied econometrics, 2014, Vol. 29, No. 3, pp. 479496Type:ArticleAbstract:Sign restrictions have become increasingly popular for identifying shocks in structural vector autoregressive (SVAR) models. So far there are no techniques for validating the shocks identified via such restrictions. Although ...

Title:The role of the log transformation in forecasting economic variables Author(s):LUETKEPOHL, Helmut; XU, FangDate:2012Citation:Empirical Economics, 2012, Vol. 42, No. 3, pp. 619638Type:ArticleAbstract: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 ...

Title:Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/17Abstract: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:Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocks Author(s):HERWARTZ, Helmut; LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/11Abstract:In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...

Title:Does the BoxCox Transformation Help in Forecasting Macroeconomic Time Series? Author(s):PROIETTI, Tommaso; LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/29Abstract:The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the BoxCox power transformation, which applies to series measured ...

Title:Vector Autoregressive Models Author(s):LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/30Abstract:Multivariate simultaneous equations models were used extensively for macroeconometric analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives. At that time longer and more frequently observed ...

Title:Structural Vector Autoregressions with Nonnormal Residuals Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2010Citation:Journal of Business & Economic Statistics, 2010, 28, 1, 159168Type:ArticleAbstract:In structural vector autoregressive (SVAR) modeling, sometimes the identifying restrictions are insufficient for a unique specification of all shocks. In this paper it is pointed out that specific distributional assumptions ...

Title:Structural Vector Autoregressions with Markov Switching Author(s):LUETKEPOHL, Helmut; LANNE, Markku; MACIEJOWSKA, KatarzynaDate:2010Citation:Journal of Economic Dynamics and Control, 2010, 34, 2, 121131Type:ArticleAbstract:It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across states. The model ...

Title:Forecasting Nonlinear Aggregates and Aggregates with Timevarying Weights Author(s):LUETKEPOHL, HelmutDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/11Abstract:Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are timevarying, much of the literature on forecasting aggregates considers the case of linear ...

Title:Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance Author(s):ARGENTESI, Elena; LUETKEPOHL, Helmut; MOTTA, MassimoDate:2010Citation:German Economic Review, 2010, 11, 3, 381396Type:ArticleAbstract:This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian shareprices and the series of Italy's financial newspaper sales are cointegrated, ...

Title:Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index Author(s):LUETKEPOHL, Helmut; XU, FangDate:2009Type:Working PaperSeries/Number:EUI MWP; 2009/37Abstract:This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number ...

Title:Forecasting Levels of log Variables in Vector Autoregressions Author(s):BARDSEN, Gunnar; LUETKEPOHL, HelmutDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/24Abstract:Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast ...

Title:Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity Author(s):HERWARTZ, Helmut; LUETKEPOHL, HelmutDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/42Abstract:In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...

Title:The Role of log Transformation in Forecasting Economic Variables Author(s):LUETKEPOHL, Helmut; XU, FangDate:2009Type:Working PaperSeries/Number:EUI MWP; 2009/06Abstract: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 ...

Title:Forecasting Aggregated Time Series Variables: A Survey Author(s):LUETKEPOHL, HelmutDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/17Abstract:Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained first and then these ...

Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2009Citation:Econometrics Journal, 2009, 12, 3, 414435Type:ArticleAbstract:P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration ...

Title:Structural Vector Autoregressions with Markov Switching Author(s):LANNE, Markku; LUETKEPOHL, Helmut; MACIEJOWSKA, KatarzynaDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/06Abstract:Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...

Title:Variance Decomposition Author(s):LUETKEPOHL, HelmutDate:20080101Citation:Steven N. DURLAUF and Lawrence E. BLUME (eds), The New Palgrave Dictionary of Economics, Second Edition, Palgrave Macmillan, 2008, online chapterType:Contribution to book

Title:Impulse Response Function Author(s):LUETKEPOHL, HelmutDate:20080101Citation:Steven N. DURLAUF and Lawrence E. BLUME (eds), The New Palgrave Dictionary of Economics, Second Edition, Palgrave Macmillan, 2008, online chapterType:Contribution to bookAbstract:Impulse response functions are useful for studying the interactions between variables in a vector autoregressive model. They represent the reactions of the variables to shocks hitting the system. It is often not clear, ...

Title:Unit Root and Cointegration Testing: Guest Editors' Introduction Author(s):LUETKEPOHL, Helmut; RODRIGUES, Paulo M. M.Date:2008Citation:Econometric Theory, 2008, 24, 1, 16Type:ArticleAbstract:By pointing out the spurious regression problem, Granger and Newbold (1974) have shown the importance of stochastic trends in time series data in the context of linear regression models. At the time, removing trends by ...