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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 ...
; LANNE, Markku; MACIEJOWSKA, KatarzynaDate:2010Citation:
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 ...
Date:2010Citation:
Title:A Note on Testing Restrictions for the Cointegration Parameters of a VAR with I(2)
Variables Author(s):JOHANSEN, Soren; LUETKEPOHL, HelmutDate:2005Citation:
- Econometric Theory, 2005, 21, 3, 653-658.
Type:ArticleAbstract:We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio ...
Date:2005Citation:
Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time Author(s):LUETKEPOHL, Helmut; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2004Citation:
- Econometrica, 2004, 72, 2, 647-662
Type:Article
; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2004Citation:
Title:On Unit Root Tests in the Presence of Transitional Growth Author(s):LUCKE, Bernd; LUETKEPOHL, HelmutDate:2004Citation:
- Economics Letters, 2004, 84, 3, 323-327.
Type:Article
Date:2004Citation:
Title:Transmission of German Monetary Policy in the Pre-Euro Period Author(s):LUETKEPOHL, Helmut; WOLTERS, JürgenDate:2003Citation:
- Macroeconomic Dynamics, 2003, 7, 5, 711-733
Type:ArticleAbstract:A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose, quarterly, seasonally unadjusted data ...
; WOLTERS, JürgenDate:2003Citation:
Title:Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time Author(s):LANNE, Markku; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2003Citation:
- Oxford Bulletin of Economics and Statistics, 2003, 65, 1, 91-115.
Type:ArticleAbstract:Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests ...
; SAIKKONEN, PenttiDate:2003Citation:
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 ...
Date:2005Citation:
Title:Comparison of Unit Root Tests for Time Series with Level Shifts Author(s):LANNE, Markku; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2002Citation:
- Journal of Time Series Analysis, 2003, 23, 6, 667-685.
Type:ArticleAbstract:Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for. Prior ...
; SAIKKONEN, PenttiDate:2002Citation:
Title:Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift Author(s):LUETKEPOHL, Helmut; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2003Citation:
- Journal of Econometrics, 2003, 113, 2, 201-229.
Type:ArticleAbstract:Two different types of tests for the cointegrating rank of vector autoregressive processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the likelihood ratio ...
; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2003Citation: