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. 619-638
Type: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: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. 479-496
Type: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:Structural Vector Autoregressions with Nonnormal Residuals Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2010Citation:
- Journal of Business & Economic Statistics, 2010, 28, 1, 159-168
Type: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, 121-131
Type: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: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, HelmutDate:2005Citation:
- Applied Economics Quarterly, 2005, 51, 2, 143-154.
Type:ArticleAbstract: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: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, 414-435
Type: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: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, 381-396
Type:ArticleAbstract: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, ...
Title:Structural Vector Autoregressive Analysis for Cointegrated Variables Author(s):LUETKEPOHL, HelmutDate:2006Citation:
- Allgemeines Statistisches Archiv, 2006, 90, 1, 75-88
Title:Residual Autocorrelation Testing for Vector Error Correction Models Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2006Citation:
- Journal of Econometrics, 2006, 134, 2, 579-604
Type:ArticleAbstract: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:A Small Monetary System for the Euro Area Based on German Data Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, HelmutDate:2006Citation:
- Journal of Applied Econometrics, 2006, 21, 6, 683-702.
Type:ArticleAbstract: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 ...