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Title:Vector autoregressive models Author(s):LUETKEPOHL, Helmut
Date: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 ...
Date: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:Forecasting Nonlinear Aggregates and Aggregates with Time-varying 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 ...
Date: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: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 ...
Date: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:A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract: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) ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract: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) ...
Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/24Abstract: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 ...
; SAIKKONEN, PenttiDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/24Abstract: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 ...
Title:Econometric Analysis with Vector Autoregressive Models Author(s):LUETKEPOHL, HelmutDate:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract: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 ...
Date:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract: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 ...
Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break Author(s):TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, HelmutDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/29Abstract: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 ...
Date:2006Type:Working PaperSeries/Number:EUI ECO; 2006/29Abstract: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 ...
Title:Problems Related to Over-Identifying Restrictions for Structural Vector Error Correction Models Author(s):LUETKEPOHL, HelmutDate:2005Type:Working PaperSeries/Number:EUI ECO; 2005/15
Date:2005Type:Working PaperSeries/Number:EUI ECO; 2005/15