← All authors Helmut Lütkepohl Freie Universität Berlin (from arXiv:2404.11057, 2024) · OpenAlex
125 papers in scope · 125 published · 1 on the econ.EM arXiv · 12,732 citations · h-index 49 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Tomasz Woźniak Fei Shang Sylvia Frühwirth-Schnatter Annalisa Cadonna Peter Knaus Annika Camehl Gregor Kastner Xuewen Yu Luis Uzeda Joshua C. C. Chan Gary Koop Florian Huber Darjus Hosszejni Hedibert F. Lopes Martin Feldkircher Yong Song Niko Hauzenberger Luis Gruber David J. Kohns Rubén Loaiza-Maya Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 125)
Review of Proxy Vector Autoregressive Analysis
published 2026 · Reviews of Economic Literature
with Martin Bruns
published 2025 · Journal of Econometrics · first circulated 2024
Comparing external and internal instruments for vector autoregressions
published 2025 · Journal of Economic Dynamics and Control · 1 citations
with Martin Bruns
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis
published 2025 · Journal of Business and Economic Statistics · 1 citations
with Martin Bruns, James McNeil
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies
published 2024 · Journal of Economic Dynamics and Control · 3 citations · first circulated 2020
with Martin Bruns, Thore Schlaak
Have the effects of shocks to oil price expectations changed?
published 2023 · Economics Letters · 10 citations
with Martin Bruns
An Alternative Bootstrap for Proxy Vector Autoregressions
published 2022 · Computational Economics · 9 citations · first circulated 2020
with Martin Bruns
Comparison of local projection estimators for proxy vector autoregressions
published 2021 · Journal of Economic Dynamics and Control · 22 citations
with Martin Bruns
Heteroscedastic Proxy Vector Autoregressions
published 2021 · Journal of Business and Economic Statistics · 19 citations
with Thore Schlaak
Qualitative versus quantitative external information for proxy vector autoregressive analysis
published 2021 · Journal of Economic Dynamics and Control · 11 citations
with Lukas Boer
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
published 2020 · Economics Letters · 1 citations
Inference in partially identified heteroskedastic simultaneous equations models
published 2020 · Journal of Econometrics · 8 citations
with George Milunovich, Minxian Yang
Testing identification via heteroskedasticity in structural vector autoregressive models
published 2020 · Econometrics Journal · 30 citations · first circulated 2018
published 2020 · Journal of Economic Dynamics and Control · 5 citations · first circulated 2017
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
published 2019 · Journal of Economic Dynamics and Control · 15 citations · first circulated 2018
with Thore Schlaak
Constructing joint confidence bands for impulse response functions of VAR models – A review
published 2018 · Econometrics and Statistics · 16 citations
with Anna Staszewska-Bystrova, Peter Winker
The Relation between Monetary Policy and the Stock Market in Europe
published 2018 · Econometrics · 25 citations
with Aleksei Netšunajev
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis
published 2018 · Oxford Bulletin of Economics and Statistics · 28 citations · first circulated 2017
with Thore Schlaak
Estimation of structural vector autoregressive models
published 2017 · Communications for Statistical Applications and Methods · 26 citations
Structural vector autoregressions with smooth transition in variances
published 2017 · Journal of Economic Dynamics and Control · 51 citations · first circulated 2014
with Aleksei Netšunajev
Calculating joint confidence bands for impulse response functions using highest density regions
published 2017 · Empirical Economics · 18 citations · first circulated 2016
Estimation of structural impulse responses: short-run versus long-run identifying restrictions
published 2017 · AStA Advances in Statistical Analysis · 10 citations
with Anna Staszewska-Bystrova, Peter Winker
Structural vector autoregressions with heteroskedasticity: A review of different volatility models
published 2016 · Econometrics and Statistics · 52 citations · first circulated 2015
with Aleksei Netšunajev
Testing for identification in SVAR-GARCH models
published 2016 · Journal of Economic Dynamics and Control · 36 citations · first circulated 2015
with George Milunovich
Confidence Bands for Impulse Responses: Bonferroni vs. Wald
published 2015 · Oxford Bulletin of Economics and Statistics · 39 citations
with Anna Staszewska-Bystrova, Peter Winker
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG‐RUN RESTRICTIONS VIA HETEROSKEDASTICITY
published 2014 · Journal of Economic Surveys · 30 citations
with Anton Velinov
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
published 2014 · Journal of Econometrics · 117 citations
with Helmut Herwartz
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Comparison of methods for constructing joint confidence bands for impulse response functions
published 2013 · International Journal of Forecasting · 60 citations
with Anna Staszewska-Bystrova, Peter Winker
Mulaik, S. A.: Foundations of factor analysis
published 2013 · Statistical Papers · 1 citations
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS
published 2013 · Journal of Applied Econometrics · 115 citations · first circulated 2012
with Aleksei Netšunajev
Reducing confidence bands for simulated impulse responses
published 2013 · Statistical Papers · 7 citations · first circulated 2012
Forecasting contemporaneous aggregates with stochastic aggregation weights
published 2012 · International Journal of Forecasting · 9 citations
with Ralf Brüggemann
Forecasting levels of log variables in vector autoregressions
published 2011 · International Journal of Forecasting · 17 citations
with Gunnar Bårdsen
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
published 2011 · Jahrbücher für Nationalökonomie und Statistik · 16 citations
The role of the log transformation in forecasting economic variables
published 2010 · Empirical Economics · 221 citations
with Fang Xu
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
published 2010 · Journal of Time Series Analysis · 15 citations
with Helmut Herwartz
Forecasting Aggregated Time Series Variables
published 2010 · OECD Journal Journal of Business Cycle Measurement and Analysis · 30 citations
Structural Vector Autoregressions With Nonnormal Residuals
published 2009 · Journal of Business and Economic Statistics · 104 citations · first circulated 2006
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
published 2009 · German Economic Review · 12 citations
with Elena Argentesi, Massimo Motta
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
published 2009 · Econometrics Journal · 10 citations · first circulated 2008
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews
published 2009 · Statistical Papers · 2 citations
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R
published 2009 · Statistical Papers
Structural vector autoregressions with Markov switching
published 2009 · Journal of Economic Dynamics and Control · 225 citations
Identifying Monetary Policy Shocks via Changes in Volatility
published 2008 · Journal of money credit and banking · 166 citations · first circulated 2006
Forecasting euro area variables with German pre‐EMU data
published 2008 · Journal of Forecasting · 16 citations · first circulated 2006
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
published 2007 · Journal of Time Series Analysis · 44 citations · first circulated 2006
Problems related to over-identifying restrictions for structural vector error correction models
published 2007 · Economics Letters · 12 citations
UNIT ROOT AND COINTEGRATION TESTING: GUEST EDITORS' INTRODUCTION
published 2007 · Econometric Theory · 3 citations
A small monetary system for the euro area based on German data
published 2006 · Journal of Applied Econometrics · 50 citations · first circulated 2004
with Ralf Brüggemann
Structural vector autoregressive analysis for cointegrated variables
published 2006 · Allgemeines Statistisches Archiv · 200 citations
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
published 2006 · Journal of Econometrics · 86 citations
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
published 2005 · Econometric Theory · 25 citations · first circulated 2004
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative*
published 2005 · Oxford Bulletin of Economics and Statistics · 55 citations
with Ralf Brüggemann
Residual autocorrelation testing for vector error correction models
published 2005 · Journal of Econometrics · 56 citations · first circulated 2004
A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
published 2005 · Econometric Theory · 4 citations
On unit root tests in the presence of transitional growth
published 2004 · Economics Letters · 6 citations
with Bernd Lücke
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
published 2004 · Econometrica · 120 citations · first circulated 2001
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD
published 2003 · Macroeconomic Dynamics · 42 citations
with Jürgen Wolters
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
published 2003 · Journal of Econometrics · 54 citations · first circulated 2000
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time*
published 2003 · Oxford Bulletin of Economics and Statistics · 124 citations · first circulated 2001
Unit root tests for time series with level shifts: a comparison of different proposals
published 2002 · Journal of Time Series Analysis · 65 citations · first circulated 2001
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
published 2002 · Econometric Theory · 40 citations · first circulated 1999
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
published 2001 · Econometrics Journal · 232 citations · first circulated 2000
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
published 2001 · Economics Letters · 128 citations · first circulated 2000
with Bertrand Candelon
A REVIEW OF SYSTEMS COINTEGRATION TESTS
published 2001 · Econometric Reviews · 111 citations · first circulated 1998
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 14. bis 16. März 2001 im Schloss Rauischholzhausen
published 2001 · Perspektiven der Wirtschaftspolitik
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OFGERMAN MONETARY SYSTEMS
published 2001 · Macroeconomic Dynamics · 116 citations
with Alexander Benkwitz, Jürgen Wolters
Bericht über die Sitzung des Ausschusses für Ökonometrie vom 5.–7. April 2000 im Schloss Rauischholzhausen
published 2001 · Perspektiven der Wirtschaftspolitik
Comment on essays on current state and future challenges of econometrics
published 2001 · Journal of Econometrics · 1 citations
Testing for the Cointegrating Rank of a VAR Process With Structural Shifts
published 2000 · Journal of Business and Economic Statistics · 249 citations
Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
published 2000 · Journal of Time Series Analysis · 124 citations
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
published 2000 · Econometric Theory · 165 citations · first circulated 1998
Testing for the cointegrating rank of a VAR process with a time trend
published 2000 · Journal of Econometrics · 92 citations · first circulated 1997
Investigating stability and linearity of a German M1 money demand function
published 1999 · Journal of Applied Econometrics · 103 citations · first circulated 1995
A lag augmentation test for the cointegrating rank of a VAR process
published 1999 · Economics Letters · 8 citations
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
published 1999 · Econometric Theory · 53 citations · first circulated 1997
Modeling the Demand for M3 in the Unified Germany
published 1998 · The Review of Economics and Statistics · 87 citations · first circulated 1996
A money demand system for German M3
published 1998 · Empirical Economics · 41 citations
with Jürgen Wolters
Money demand in Europe: Editors' preface
published 1998 · Empirical Economics · 1 citations
with Jürgen Wolters
Estimating the Kronecker indices of cointegrated echelon‐form VARMA models
published 1998 · Econometrics Journal · 19 citations · first circulated 1997
with H.-G. Bartel
Impulse response analysis in infinite order cointegrated vector autoregressive processes
published 1997 · Journal of Econometrics · 79 citations · first circulated 1995
Nonparametric dynamic modelling
published 1997 · Journal of Econometrics
Analysis of cointegrated VARMA processes
published 1997 · Journal of Econometrics · 55 citations
with Holger Claessen
Modified Wald tests under nonregular conditions
published 1997 · Journal of Econometrics · 87 citations
with Maike M. Burda
A Review of Nonparametric Time Series Analysis
published 1997 · International Statistical Review · 151 citations · first circulated 1995
Infinite-Order Cointegrated Vector Autoregressive Processes
published 1996 · Econometric Theory · 65 citations · first circulated 1994
Testing for Causation Using Infinite Order Vector Autoregressive Processes
published 1996 · Econometric Theory · 54 citations
Testing for nonzero impulse responses in vector autoregressive processes
published 1996 · Journal of Statistical Planning and Inference · 6 citations
Specification of Echelon-Form VARMA Models
published 1996 · Journal of Business and Economic Statistics · 85 citations
Making wald tests work for cointegrated VAR systems
published 1996 · Econometric Reviews · 902 citations · first circulated 1994
with Juan J. Dolado
Specification of varying coefficient time series models via generalized flexible least squares
published 1996 · Journal of Econometrics · 28 citations
with Helmut Herwartz
Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten
published 1995 · Credit and Capital Markets – Kredit und Kapital · 1 citations
with Martin Moryson, Jürgen Wolters
Introduction to Multiple Time-Series Analysis.
published 1993 · Technometrics · 1957 citations · first circulated 1991
with Ian T. Jolliffe, Paul Newbold, David S. Stoffer, Gregory C. Reinsel, Eric R. Ziegel, Terence C. Mills
Granger-causality in cointegrated VAR processes The case of the term structure
published 1992 · Economics Letters · 101 citations
with Hans-Eggert Reimers
Impulse response analysis of cointegrated systems
published 1992 · Journal of Economic Dynamics and Control · 442 citations
with Hans-Eggert Reimers
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
published 1991 · Econometric Theory · 84 citations
Measures of multivariate skewness and kurtosis for tests of nonnormality
published 1991 · Statistical Papers · 19 citations
with Bernd Theilen
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models
published 1990 · The Review of Economics and Statistics · 266 citations
Prediction of temporally aggregated systems involving both stock and flow variables
published 1989 · Statistical Papers · 4 citations
Introduction to the Theory and Practice of Econometrics.
published 1989 · Technometrics · 2236 citations · first circulated 1983
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals
published 1989 · Journal of Econometrics · 40 citations
The stability assumption in tests of causality between money and income
published 1989 · Empirical Economics · 10 citations
Forecasting Aggregated Vector ARMA Processes.
published 1989 · Journal of the American Statistical Association · 166 citations · first circulated 1987
with E. P. Howrey
Prediction Tests for Structural Stability of Multiple Time Series
published 1989 · Journal of Business and Economic Statistics · 10 citations
Bemerkung zur Lösung der Yule-Walker-Gleichungen
published 1988 · Metrika · 1 citations
with E. O. Maschke
Prediction tests for structural stability
published 1988 · Journal of Econometrics · 15 citations
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process
published 1988 · Econometric Theory · 27 citations
The Theory and Practice of Econometrics (2nd ed.).
published 1986 · Journal of the American Statistical Association · 485 citations
with Terry G. Seaks, George G. Judge, We Griffiths, R. Carter Hill, Tsoung-Chao Lee
Forecasting Vector ARMA Processes With Systematically Missing Observations
published 1986 · Journal of Business and Economic Statistics · 9 citations
Forecasting temporally aggregated vector ARMA processes
published 1986 · Journal of Forecasting · 23 citations
Comparison of predictors for temporally and contemporaneously aggregated time series
published 1986 · International Journal of Forecasting · 30 citations
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS
published 1985 · Journal of Time Series Analysis · 300 citations
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions
published 1985 · Economics Letters · 11 citations
Linear transformations of vector ARMA processes
published 1984 · Journal of Econometrics · 106 citations
Forecasting Contemporaneously Aggregated Vector ARMA Processes
published 1984 · Journal of Business and Economic Statistics · 111 citations
The Optimality of Rational Distributed Lags: A Comment
published 1984 · International Economic Review · 4 citations
Linear aggregation of vector autoregressive moving average processes
published 1984 · Economics Letters · 20 citations
Einzelbesprechungen
published 1983 · Jahrbücher für Nationalökonomie und Statistik
with Harald Winkel, Adolf Wagner, Reiner Leidl, Siegfried Hauser, Nanny Wermuth
Non-linear least squares estimation under non-linear equality constraints
published 1983 · Economics Letters · 1 citations
Non-causality due to omitted variables
published 1982 · Journal of Econometrics · 550 citations
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA
published 1982 · Journal of Time Series Analysis · 29 citations
Discounted polynomials for multiple time series model building
published 1982 · Biometrika · 5 citations
A model for non-negative and non-positive distributed lag functions
published 1981 · Journal of Econometrics · 23 citations
Approximation of Arbitrary Distributed Lag Structures by a Modified Polynomial Lag: An Extension
published 1980 · Journal of the American Statistical Association · 9 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).