Browsing Department of Economics (ECO) by Author "LUETKEPOHL, Helmut"

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Browsing Department of Economics (ECO) by Author "LUETKEPOHL, Helmut"

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    Title: Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocks  Author(s): HERWARTZ, Helmut; LUETKEPOHL, Helmut Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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    Title: Vector Autoregressive Models  Author(s): LUETKEPOHL, Helmut Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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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 ...
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    Title: Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?  Author(s): PROIETTI, Tommaso; LUETKEPOHL, Helmut Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured ...
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    Title: Structural Vector Autoregressions with Nonnormal Residuals  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2010 Type of Publication: Article Abstract: 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 ...
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    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LUETKEPOHL, Helmut; LANNE, Markku; MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Article 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 states. The model ...
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    Title: Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights  Author(s): LUETKEPOHL, Helmut Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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    Title: Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance  Author(s): ARGENTESI, Elena; LUETKEPOHL, Helmut; MOTTA, Massimo Date: 2010 Type of Publication: Article Abstract: This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, ...
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    Title: Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index  Author(s): LUETKEPOHL, Helmut; XU, Fang Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: 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 ...
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    Title: Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity  Author(s): HERWARTZ, Helmut; LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LANNE, Markku; LUETKEPOHL, Helmut; MACIEJOWSKA, Katarzyna Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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. ...
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    Title: Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term  Author(s): DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2009 Type of Publication: Article Abstract: 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 ...
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    Title: Forecasting Aggregated Time Series Variables: A Survey  Author(s): LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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    Title: The Role of log Transformation in Forecasting Economic Variables  Author(s): LUETKEPOHL, Helmut; XU, Fang Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: 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 ...
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    Title: Forecasting Levels of log Variables in Vector Autoregressions  Author(s): BARDSEN, Gunnar; LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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    Title: Variance Decomposition  Author(s): LUETKEPOHL, Helmut Date: 2008-01-01 Type of Publication: Contribution to book
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    Title: Impulse Response Function  Author(s): LUETKEPOHL, Helmut Date: 2008-01-01 Type of Publication: Contribution to book Abstract: 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, ...
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    Title: Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models  Author(s): LUETKEPOHL, Helmut Date: 2008 Type of Publication: Article
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    Title: Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term  Author(s): DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: When applying Johansen's procedure for determining the coin- tegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in ...
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    Title: A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Abstract. Different identification schemes for monetary policy shocks have been proposed in the literature. They typically specify just-identifying re- strictions in a standard structural vector autoregressive (SVAR) ...