Browsing ECO Working Papers by Author "LUETKEPOHL, Helmut"

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Browsing ECO Working Papers 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: 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: 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: 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: 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: 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) ...
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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: Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector ...
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    Title: Econometric Analysis with Vector Autoregressive Models  Author(s): LUETKEPOHL, Helmut Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Vector autoregressive (VAR) models for stationary and integrated variables are reviewed. Model specification and parameter estimation are discussed and various uses of these models for forecasting and economic analysis ...
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    Title: Identifying Monetary Policy Shocks via Changes in Volatility  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break  Author(s): TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, Helmut Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated ...
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    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 ...
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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: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO 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 ...
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    Title: Problems Related to Over-Identifying Restrictions for Structural Vector Error Correction Models  Author(s): LUETKEPOHL, Helmut Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO