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Citations of
Helmut Lütkepohl

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Working papers

  1. Markku Lanne & Helmut Lütkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Helmut Luetkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    2. Alexander Kriwoluzky, 2009. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers ECO2009/29, European University Institute. [Downloadable!]
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    3. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute. [Downloadable!]

  2. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," SFB 649 Discussion Papers SFB649DP2006-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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    Published as:

    Cited by:

    1. Christian Stoltenberg, 2006. "Real Balance Effects, Timing and Equilibrium Determination," SFB 649 Discussion Papers SFB649DP2006-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    2. Dirk Temme & Henning Kreis & Lutz Hildebrandt, 2006. "PLS Path Modeling – A Software Review," SFB 649 Discussion Papers SFB649DP2006-084, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    3. Matthias Paustian & Christian Stoltenberg, 2006. "Optimal Interest Rate Stabilization in a Basic Sticky-Price Model," SFB 649 Discussion Papers SFB649DP2006-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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    4. Zdenek Hlavka & Michal Pesta, 2006. "Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing," SFB 649 Discussion Papers SFB649DP2006-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    5. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    6. Jenny Kragl & Julia Schmid, 2006. "Relational Contracts and Inequity Aversion," SFB 649 Discussion Papers SFB649DP2006-085, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    7. Tim Grebe & Julia Schmid & Andreas Stiehler, 2006. "Do Individuals Recognize Cascade Behavior of Others? - An Experimental Study -," SFB 649 Discussion Papers SFB649DP2006-079, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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    8. Dirk Temme & Lutz Hildebrandt, 2006. "Formative Measurement Models in Covariance Structure Analysis: Specification and Identification," SFB 649 Discussion Papers SFB649DP2006-083, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    9. Enzo Giacomini & Wolfgang Härdle & Ekaterina Ignatieva & Vladimir Spokoiny, 2006. "Inhomogeneous Dependency Modelling with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2006-075, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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    10. Deniz Dilan Karaman Örsal, 2008. "Comparison of Panel Cointegration Tests," Economics Bulletin, Economics Bulletin, vol. 3(6), pages 1-20. [Downloadable!]
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    11. Minoas Koukouritakis & Nikolaos Giannellis, . "Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate," Working Papers 0901, University of Crete, Department of Economics. [Downloadable!]
    12. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2006. "GHICA - Risk Analysis with GH Distributions and Independent Components," SFB 649 Discussion Papers SFB649DP2006-078, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    13. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," SFB 649 Discussion Papers SFB649DP2006-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:

  3. Elena Argentese & Helmut Luetkepohl & Massimo Motta, 2006. "Acquisition of information and share prices: An empirical investigation of cognitive dissonance," Economics Working Papers ECO2006/32, European University Institute. [Downloadable!]
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    Cited by:

    1. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
    2. Menno Middeldorp & Stephanie Rosenkranz, 2008. "Information acquisition in an experimental asset market," Working Papers 08-25, Utrecht School of Economics. [Downloadable!]

  4. Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," SFB 649 Discussion Papers SFB649DP2006-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Christian Stoltenberg, 2006. "Real Balance Effects, Timing and Equilibrium Determination," SFB 649 Discussion Papers SFB649DP2006-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    2. Dirk Temme & Henning Kreis & Lutz Hildebrandt, 2006. "PLS Path Modeling – A Software Review," SFB 649 Discussion Papers SFB649DP2006-084, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    3. Matthias Paustian & Christian Stoltenberg, 2006. "Optimal Interest Rate Stabilization in a Basic Sticky-Price Model," SFB 649 Discussion Papers SFB649DP2006-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    4. Heather Anderson & Mardi Dungey & Denise R. Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," CAMA Working Papers 2007-18, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    5. Zdenek Hlavka & Michal Pesta, 2006. "Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing," SFB 649 Discussion Papers SFB649DP2006-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    6. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    7. Jenny Kragl & Julia Schmid, 2006. "Relational Contracts and Inequity Aversion," SFB 649 Discussion Papers SFB649DP2006-085, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    8. Tim Grebe & Julia Schmid & Andreas Stiehler, 2006. "Do Individuals Recognize Cascade Behavior of Others? - An Experimental Study -," SFB 649 Discussion Papers SFB649DP2006-079, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    9. Dirk Temme & Lutz Hildebrandt, 2006. "Formative Measurement Models in Covariance Structure Analysis: Specification and Identification," SFB 649 Discussion Papers SFB649DP2006-083, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    10. Enzo Giacomini & Wolfgang Härdle & Ekaterina Ignatieva & Vladimir Spokoiny, 2006. "Inhomogeneous Dependency Modelling with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2006-075, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    11. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2006. "GHICA - Risk Analysis with GH Distributions and Independent Components," SFB 649 Discussion Papers SFB649DP2006-078, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    12. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," SFB 649 Discussion Papers SFB649DP2006-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    13. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]

  5. Markku Lanne & Helmut Luetkepohl, 2005. "Structural Vector Autoregressions with Nonnormal Residuals," Economics Working Papers ECO2005/25, European University Institute. [Downloadable!]
    Other versions:

    Cited by:

    1. Markku Lanne & Helmut Luetkepohl, 2008. "Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis," Economics Working Papers ECO2008/29, European University Institute. [Downloadable!]
      Other versions:
    2. Markku Lanne & Helmut Luetkepohl, 2008. "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks," Economics Working Papers ECO2008/23, European University Institute. [Downloadable!]
    3. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus. [Downloadable!]
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  6. Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute. [Downloadable!]
    Published as:

    Cited by:

    1. Rita Duarte & Carlos Robalo Marques, 2009. "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Working Paper Series 1067, European Central Bank. [Downloadable!]
    2. Uwe Hassler & Jürgen Wolters, 2006. "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 59-74, March. [Downloadable!] (restricted)

  7. Ralf Brueggemann & Helmut Luetkepohl, 2005. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," Economics Working Papers ECO2005/08, European University Institute. [Downloadable!]
    Other versions:

    Cited by:

    1. Heather Anderson & Mardi Dungey & Denise Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," Money Macro and Finance (MMF) Research Group Conference 2006 99, Money Macro and Finance Research Group. [Downloadable!]
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    2. Simone Casellina & Mariacristina Uberti, 2008. "Optimal Monetary Policy and Long-term Interest Rate Dynamics: Taylor Rule Extensions," Computational Economics, Springer, vol. 32(1), pages 183-198, September. [Downloadable!] (restricted)
    3. Edda Claus & Mardi Dungey & Renee Fry, 2006. "Monetary Policy In Illiquid Markets: Options For A Small Open Economy," CAMA Working Papers 2006-17, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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  8. Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute. [Downloadable!]
    Published as:

    Cited by:

    1. Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP," Economics Working Papers ECO2009/13, European University Institute. [Downloadable!]
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    2. Edda Claus & Mardi Dungey & Renée Fry, 2008. "Monetary Policy in Illiquid Markets: Options for a Small Open Economy," Open Economies Review, Springer, vol. 19(3), pages 305-336, July. [Downloadable!] (restricted)
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    3. Christian Dreger & Jürgen Wolters, 2008. "M3 Money Demand and Excess Liquidity in the Euro Area," Working Paper / FINESS 7.1a, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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    4. Marcellino, Massimiliano & Schumacher, Christian, 2008. "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers 6708, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    5. Christian Dreger & Jürgen Wolters, 2008. "Money Velocity and Asset Prices in the Euro Area," Working Paper / FINESS 7.1b, DIW Berlin, German Institute for Economic Research. [Downloadable!]
      Other versions:
    6. Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," SFB 649 Discussion Papers SFB649DP2006-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    7. Sinchan Mitra & Tara M. Sinclair, . "Output Fluctuations in the G-7: An Unobserved Components Approach," MRG Discussion Paper Series 2509, School of Economics, University of Queensland, Australia. [Downloadable!]
    8. Katrin Assenmacher-Wesche, 2008. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 197-246, June. [Downloadable!]
    9. Elena Angelini & Massimiliano Marcellino, 2007. "Econometric analyses with backdated data - unified Germany and the euro area," Working Paper Series 752, European Central Bank. [Downloadable!]
    10. Heather Anderson & Mardi Dungey & Denise Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," Money Macro and Finance (MMF) Research Group Conference 2006 99, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    11. Aaron Mehrotra, 2008. "Demand for Money in Transition: Evidence from China’s Disinflation," International Advances in Economic Research, Springer, vol. 14(1), pages 36-47, February. [Downloadable!] (restricted)
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    12. Ralf Brueggemann & Helmut Luetkepohl, 2005. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," Economics Working Papers ECO2005/08, European University Institute. [Downloadable!]
      Other versions:
    13. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]

  9. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]

    Cited by:

    1. Leitão, João & Ferreira, João, 2007. "Liberalization of European Telecommunications and Entrepreneurship: Why German and Portuguese Experiences are so Equal and so Different?," MPRA Paper 5728, University Library of Munich, Germany. [Downloadable!]

  10. Ralf BRUEGGEMANN & Helmut LUETKEPOHL, 2004. "Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative," Economics Working Papers ECO2004/20, European University Institute. [Downloadable!]
    Published as:

    Cited by:

    1. Mehrotra, Aaron, 2006. "Demand for money in transition: Evidence from China's disinflation," BOFIT Discussion Papers 10/2006, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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    2. Christian Dreger & Jürgen Wolters, 2008. "M3 Money Demand and Excess Liquidity in the Euro Area," Working Paper / FINESS 7.1a, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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    3. Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge. [Downloadable!]
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    4. Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute. [Downloadable!]
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    5. Badi H. Baltagi & Zijun Wang, 2006. "Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets," Center for Policy Research Working Papers 83, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
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    6. Korhonen, Iikka & Mehrotra, Aaron, 2007. "Money demand in post-crisis Russia: De-dollarisation and re-monetisation," BOFIT Discussion Papers 14/2007, Bank of Finland, Institute for Economies in Transition. [Downloadable!]

  11. Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN, 2004. "Residual Autocorrelation Testing for Vector Error Correction Models," Economics Working Papers ECO2004/08, European University Institute. [Downloadable!]
    Published as:

    Cited by:

    1. Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute. [Downloadable!]
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    2. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics. [Downloadable!]

  12. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
    Published as:

    Cited by:

    1. Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]. [Downloadable!]
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  13. Ralf BRUEGGEMANN & Hans-Martin KROLZIG & Helmut LUETKEPOHL, 2002. "Comparison of Model Reduction Methods for VAR Processes," Economics Working Papers ECO2002/19, European University Institute. [Downloadable!]
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    Cited by:

    1. David F. Hendry & Hans-Martin Krolzig, 2003. "Sub-sample Model Selection Procedures in Gets Modelling," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    2. Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics. [Downloadable!]
    3. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  14. Ralf Brueggemann & Helmut Leutkepohl, 2000. "Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System," Econometric Society World Congress 2000 Contributed Papers 0821, Econometric Society. [Downloadable!]
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    Cited by:

    1. Soo Khoon Goh, 2005. "New empirical evidence on the effects of capital controls on composition of capital flows in Malaysia," Applied Economics, Taylor and Francis Journals, vol. 37(13), pages 1491-1503, July. [Downloadable!] (restricted)
    2. Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, EconWPA. [Downloadable!]

  15. Helmut Luetkepohl & Pentti Saikkonen & Carsten Trenkler, 2000. "Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift," Econometric Society World Congress 2000 Contributed Papers 0364, Econometric Society. [Downloadable!]
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    Published as:

    Cited by:

    1. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Computing in Economics and Finance 2006 47, Society for Computational Economics. [Downloadable!]
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    2. Karine Gente & Miguel Leon-Ledesma, 2004. "Does the World Real Interest Rate Affect the Real Exchange Rate? The South East Asian Experience," Studies in Economics 0405, Department of Economics, University of Kent. [Downloadable!]
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    3. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Sonderforschungsbereich 373 2001-63, Humboldt Universitaet Berlin.
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    4. Yoichi Arai & Eiji Kurozumi, 2005. "Testing for the Null Hypothesis of Cointegration with Structural Breaks," CIRJE F-Series CIRJE-F-319, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    5. C. Trenkler, . "The Polish Crawling Peg System: A Cointegration Analysis," Sonderforschungsbereich 373 2000-71, Humboldt Universitaet Berlin.

  16. Helmut Luetkepohl & Pentti Saikkonen, 2000. "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Econometric Society World Congress 2000 Contributed Papers 0342, Econometric Society. [Downloadable!]
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    Cited by:

    1. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall. [Downloadable!] (restricted)

  17. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    Cited by:

    1. Martin Schneider & Gerhard Fenz, 2008. "Transmission of business cycle shocks between the US and the euro area," Working Papers 145, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    2. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    3. Markku Lanne, Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," Economics Working Papers ECO2006/23, European University Institute. [Downloadable!]
      Other versions:
    4. A. Benkwitz, . "Multiple Time Series Analysis," Sonderforschungsbereich 373 2000-54, Humboldt Universitaet Berlin.
    5. Helmut Luetkepohl, 2005. "Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models," Economics Working Papers ECO2005/15, European University Institute. [Downloadable!]
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    6. Mehrotra, Aaron, 2005. "Exchange and interest rate channels during a deflationary era - Evidence from Japan, Hong Kong and China," BOFIT Discussion Papers 17/2005, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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    7. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000. [Downloadable!]
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    8. Helmut Lütkepohl & Ralf Brüggemann, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702. [Downloadable!]
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    9. Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute. [Downloadable!]
      Other versions:
    10. Luetkepohl, Helmut & Wolters, Juergen, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    11. Tuck Cheong Tang, 2006. "The influences of economic openness on Japan's balancing item: an empirical note," Applied Economics Letters, Taylor and Francis Journals, vol. 13(1), pages 7-10, January. [Downloadable!] (restricted)
    12. Soo Khoon Goh, 2005. "New empirical evidence on the effects of capital controls on composition of capital flows in Malaysia," Applied Economics, Taylor and Francis Journals, vol. 37(13), pages 1491-1503, July. [Downloadable!] (restricted)
    13. R. Brüggemann, . "Sources of German Unemployment: A Structural Vector Error Correction Analysis," Sonderforschungsbereich 373 2001-19, Humboldt Universitaet Berlin.
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    14. O. Holtemöller, . "Structural Vector Autoregressive Models and Monetary Policy Analysis," Sonderforschungsbereich 373 2002-7, Humboldt Universitaet Berlin.
    15. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    16. Ralf Brueggemann & Helmut Leutkepohl, 2000. "Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System," Econometric Society World Congress 2000 Contributed Papers 0821, Econometric Society. [Downloadable!]
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    17. Arthur Grimes & David C. Maré & Melanie Morten, 2007. "Adjustment in Local Labour and Housing Markets," Working Papers 07_10, Motu Economic and Public Policy Research. [Downloadable!]
    18. Markku Lanne & Helmut Luetkepohl, 2005. "Structural Vector Autoregressions with Nonnormal Residuals," Economics Working Papers ECO2005/25, European University Institute. [Downloadable!]
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    19. Gernot J. Mueller, 2004. "Understanding the Dynamic Effects of Government Spending on Foreign Trade," Economics Working Papers ECO2004/27, European University Institute. [Downloadable!]
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    20. Tuck Cheong Tang, 2006. "Japan's balancing item: do timing errors matter?," Applied Economics Letters, Taylor and Francis Journals, vol. 13(2), pages 81-87, February. [Downloadable!] (restricted)
    21. H. Lütkepohl, . "Bootstrapping Impulse Responses in VAR Analyses," Sonderforschungsbereich 373 2000-22, Humboldt Universitaet Berlin.

  18. Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut, 1996. "Modelling the Demand for M3 in the unified Germany," Working Paper Series in Economics and Finance 113, Stockholm School of Economics.
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    Published as:

    Cited by:

    1. Ivo Arnold, 2003. "A Regional Analysis of German Money Demand Around Reunification with Implications for EMU," Empirica, Springer, vol. 30(1), pages 63-80, March. [Downloadable!] (restricted)
    2. Volker Wieland, 1999. "Monetary policy, parameter uncertainty and optimal learning," Finance and Economics Discussion Series 1999-48, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Fractional Cointegration And Aggregate Money Demand Functions," Economics and Finance Discussion Papers 05-01, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    4. Christian Dreger & Jürgen Wolters, 2008. "M3 Money Demand and Excess Liquidity in the Euro Area," Working Paper / FINESS 7.1a, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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    5. D. Nautz, . "Die empirische Relevanz des Monetären Modells für die Erklärung des DM/Dollar Wechselkurses," Sonderforschungsbereich 373 1999-63, Humboldt Universitaet Berlin.
    6. Christian Dreger & Jürgen Wolters, 2008. "Money Velocity and Asset Prices in the Euro Area," Working Paper / FINESS 7.1b, DIW Berlin, German Institute for Economic Research. [Downloadable!]
      Other versions:
    7. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000. [Downloadable!]
      Other versions:
    8. Julian Ramajo & Miguel A. Marquez, 1998. "Structural change in regional economies: A varying coefficients econometric modeling approach," ERSA conference papers ersa98p189, European Regional Science Association. [Downloadable!]
    9. Caner, Mehmet & Kilian, Lutz, 2000. "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate," CEPR Discussion Papers 2425, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    10. Heimonen, Kari, 2001. "Substituting a Substitute Currency – The Case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    11. H. Lütkepohl & J. Wolters, . "The Transmission of German Monetary Policy in the Pre-Euro Period," Sonderforschungsbereich 373 2001-87, Humboldt Universitaet Berlin.
      Other versions:
    12. O. Holtemöller, . "Money and Banks: Some Theory and Empirical Evidence for Germany," Sonderforschungsbereich 373 2002-17, Humboldt Universitaet Berlin.
    13. Christian Dreger & Jürgen Wolters, 2006. "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin 561, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    14. H. Herwartz & H. E. Reimers, . "Seasonal Cointegration Analysis for German M3 Money Demand," Sonderforschungsbereich 373 1996-78, Humboldt Universitaet Berlin.
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    15. Imke Brüggemann & Dieter Nautz, 1997. "Money growth volatility and the demand for money in Germany: Friedman’s volatility hypothesis revisited," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(3), pages 523-537, September. [Downloadable!] (restricted)
    16. Svensson, Lars, 1999. "Monetary Policy Issues for the Eurosystem," Seminar Papers 667, Stockholm University, Institute for International Economic Studies. [Downloadable!]
      Other versions:
    17. Gerberding, Christina & Seitz, Franz & Worms, Andreas, 2007. "Money-based interest rate rules: lessons from German data," Discussion Paper Series 1: Economic Studies 2007,06, Deutsche Bundesbank, Research Centre. [Downloadable!]
    18. Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Discussion Paper 2007-35, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    19. C. Müller, . "On the Effects of Aggregating Cointegrated Variables over Time," Sonderforschungsbereich 373 2002-9, Humboldt Universitaet Berlin.
    20. Philip Arestis & Malcolm Sawyer, 2001. "Will the Euro Bring Economic Crisis to Europe?," Macroeconomics 0103003, EconWPA. [Downloadable!]
      Other versions:
    21. Frank Browne & Gabriel Fagan & Jerome Henry, 2005. "Money Demand in EU Countries: A Survey," Macroeconomics 0503004, EconWPA. [Downloadable!]
      Other versions:
    22. K. Hubrich, . "System estimation of the German money demand - a long-run analysis," Sonderforschungsbereich 373 1996-77, Humboldt Universitaet Berlin.
    23. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," European Journal of Finance, Taylor and Francis Journals, vol. 8(4), pages 371-401, December. [Downloadable!] (restricted)

  19. Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," Working Paper Series in Economics and Finance 64, Stockholm School of Economics.
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    Published as:

    Cited by:

    1. Andreas Röthig & Carl Chiarella, 2006. "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics 167, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
      Other versions:
    2. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004. [Downloadable!]
    3. Q. Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2005. "Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003," Working Paper 2005/2, Norges Bank. [Downloadable!]
    4. Youngsoo Bae & Robert M. de Jong, 2007. "Money demand function estimation by nonlinear cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 767-793. [Downloadable!]
    5. Alfred A. Haug & Julie Tam, 2001. "A Closer Look at Long Run Money Demand," Working Papers 2002_09, York University, Department of Economics, revised Sep 2002. [Downloadable!]
    6. Luis Eduardo Arango & Andrés González, . "A Nonlinear Specification of Demand for Narrow Money in Colombia," Borradores de Economia 135, Banco de la Republica de Colombia. [Downloadable!]
      Other versions:
    7. A. J. Khadaroo, 2003. "A smooth transition regression equation of the demand for UK M0," Applied Economics Letters, Taylor and Francis Journals, vol. 10(12), pages 769-773, October. [Downloadable!] (restricted)
    8. Dumitru, Ionut, 2002. "Money Demand in Romania," MPRA Paper 10629, University Library of Munich, Germany. [Downloadable!]
    9. W. Kim, . "Kernel Estimation of Functional Coefficients in Nonparametric ARX Time Series Models," Sonderforschungsbereich 373 2001-101, Humboldt Universitaet Berlin.
    10. Heimonen, Kari, 2001. "Substituting a Substitute Currency – The Case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    11. Martha Misas & Enrique López & Pablo Querubín, . "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," Borradores de Economia 199, Banco de la Republica de Colombia. [Downloadable!]
      Other versions:
    12. Omar A Mendoza Lugo, 2008. "The differential impact of real interest rates and credit availability on private investment: evidence from Venezuela," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 501-537 Bank for International Settlements. [Downloadable!]
    13. Christian Dreger & Jürgen Wolters, 2006. "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin 561, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    14. Christian Dreger & Jürgen Wolters, 2009. "Money velocity and asset prices in the euro area," Empirica, Springer, vol. 36(1), pages 51-63, February. [Downloadable!] (restricted)
      Other versions:
    15. J. Horowitz, . "Bootstrap Critical Values For Tests Based On The Smoothed Maximum Score Estimator," Sonderforschungsbereich 373 1996-44, Humboldt Universitaet Berlin.
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    16. I. Br"Uggemann & J. Wolters, . "Money and Prices in Germany. Empirical Results for 1962 to 1994," Sonderforschungsbereich 373 1996-34, Humboldt Universitaet Berlin.
    17. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," European Journal of Finance, Taylor and Francis Journals, vol. 8(4), pages 371-401, December. [Downloadable!] (restricted)

  20. Dolado, J.J. & Lutkepohl, H., 1994. "Making Wald Tests Work for Cointegrated Var Systems," Papers 9424, Centro de Estudios Monetarios Y Financieros-.
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    Published as:

    Cited by:

    1. Efthymios Tsionas, 2003. "Inflation and Productivity in Europe: An Empirical Investigation," Empirica, Springer, vol. 30(1), pages 39-62, March. [Downloadable!] (restricted)
    2. Judith A. Giles & Cara L. Williams, 2000. "Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 2," Econometrics Working Papers 0002, Department of Economics, University of Victoria. [Downloadable!]
    3. P. Saikkonen & H. L"Utkepohl, . "Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes," Sonderforschungsbereich 373 1995-66, Humboldt Universitaet Berlin.
    4. Aitor Ciarreta Antuñano & Ainhoa Zarraga Alonso, 2007. "Electricity consumption and economic growth: evidence from Spain," BILTOKI 200701, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
    5. Gregor Brüggelambert, 2004. "Information and efficiency in political stock markets: using computerized markets to predict election results," Applied Economics, Taylor and Francis Journals, vol. 36(7), pages 753-768, April. [Downloadable!] (restricted)
    6. Cheng Hsiao & Siyan Wang, 2006. "Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models," IEPR Working Papers 06.55, Institute of Economic Policy Research (IEPR). [Downloadable!]
      Other versions:
    7. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765. [Downloadable!]
      Other versions:
    8. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006. "Bivariate causality analysis between FDI inflows and economic growth in Ghana," MPRA Paper 351, University Library of Munich, Germany, revised 09 Oct 2006. [Downloadable!]
    9. Jérôme Henry & Jens Weidmann, 1995. "Asymmetry in the EMS revisited: Evidence from the Causality Analysis of Daily Eurorates," Annales d'Economie et de Statistique, ADRES, issue 40, pages 08, Octobre-D. [Downloadable!]
      Other versions:
    10. H. L"Utkepohl & J. Breitung, . "Impulse Response Analysis of Vector Autoregressive Processes," Sonderforschungsbereich 373 1996-86, Humboldt Universitaet Berlin.
    11. Fugarolas, Guadalupe & Mañalich, Isis & Matesanz , David, 2007. "Are Exports Causing Growth? Evidence On International Trade Expansion In Cuba, 1960-2004," MPRA Paper 6323, University Library of Munich, Germany. [Downloadable!]
    12. Märten Kress, 2004. "Lending cycles in Estonia," Bank of Estonia Working Papers 2004-3, Bank of Estonia, revised 10 Oct 2004. [Downloadable!]
    13. Thomas Barnebeck Andersen & Finn Tarp, 2003. "Financial liberalization, financial development and economic growth in LDCs," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(2), pages 189-209. [Downloadable!]
    14. Ben Shepherd, 2005. "Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market," International Trade 0511013, EconWPA. [Downloadable!]
    15. Awokuse, Titus & Yang, Jian, 2002. "The Informational Role Of Commodity Prices In Formulating Monetary Policy: A Reexamination," Staff Papers 15834, University of Delaware, Department of Food and Resource Economics. [Downloadable!]
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    16. Roosen, Jutta & Hennessy, David A., 2003. "The Deseasonalization Of Animal Production," 2003 Annual meeting, July 27-30, Montreal, Canada 22068, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    17. Elena Argentese & Helmut Luetkepohl & Massimo Motta, 2006. "Acquisition of information and share prices: An empirical investigation of cognitive dissonance," Economics Working Papers ECO2006/32, European University Institute. [Downloadable!]
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    18. G. Geoffrey Booth & Cetin Ciner, 2005. "German dominance in the European Monetary System: a reprise using robust Wald tests," Applied Economics Letters, Taylor and Francis Journals, vol. 12(8), pages 463-466, June. [Downloadable!] (restricted)
    19. Konya, Laszlo, 2004. "Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(2), pages 67-94. [Downloadable!]
    20. Mehrotra, Aaron, 2005. "Exchange and interest rate channels during a deflationary era - Evidence from Japan, Hong Kong and China," BOFIT Discussion Papers 17/2005, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
      Other versions:
    21. R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor and Francis Journals, vol. 38(13), pages 1489-1500, July. [Downloadable!] (restricted)
    22. Ghoshray, Atanu & Lloyd, Tim, 2003. "Price Linkages In The International Wheat Market," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25852, International Association of Agricultural Economists. [Downloadable!]
    23. H. Krolzig, . "Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts," Sonderforschungsbereich 373 1996-25, Humboldt Universitaet Berlin.
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    24. Athanasios Tagkalakis, 2006. "The effects of macroeconomic policy shocks on the UK labour market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 229-244. [Downloadable!]
    25. Judith A. Giles, Cara L. Williams, 2000. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(4), pages 445-470, December. [Downloadable!] (restricted)
    26. Hyeon-Seung Huh, 2005. "A simple test of exogeneity for recursively structured VAR models," Applied Economics, Taylor and Francis Journals, vol. 37(20), pages 2307-2313, November. [Downloadable!] (restricted)
    27. Theodoros Zachariadis, 2006. "On the exploration of casual relationship between energy and economy," University of Cyprus Working Papers in Economics 5-2006, University of Cyprus Department of Economics. [Downloadable!]
    28. Roosen, Jutta & Hennessy, David A. & Hennessy, Thia C., 2004. "Seasonality, Capital Inflexibility, and the Industrialization of Animal Production," Staff General Research Papers 12222, Iowa State University, Department of Economics. [Downloadable!]
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    29. Aaron MEHROTRA, 2004. "Could Japan Target the Price Level or Inflation - What Happens to Monetary Policy Effectiveness during Disinflation?," Economics Working Papers ECO2004/02, European University Institute. [Downloadable!]
    30. Ghazi Shukur, Panagiotis Mantalos, 2000. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems," Journal of Applied Statistics, Taylor and Francis Journals, vol. 27(8), pages 1021-1031, November. [Downloadable!] (restricted)
    31. O. Holtemöller, . "Money and Prices: An I(2) Analysis for the Euro Area," Sonderforschungsbereich 373 2002-12, Humboldt Universitaet Berlin.
    32. Phil Bodman, . "Are the Effects of Monetary Policy Asymmetric in Australia?," MRG Discussion Paper Series 0406, School of Economics, University of Queensland, Australia. [Downloadable!]
    33. Ho-don Yan, 2005. "Causal Relationship Between the Current Account and Financial Account," International Advances in Economic Research, Springer, vol. 11(2), pages 149-162, May. [Downloadable!] (restricted)
    34. Judith A. Clarke & Mukesh Ralhan, 2005. "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers 0512, Department of Economics, University of Victoria. [Downloadable!]
    35. Sarah M. Lein & Thomas Maag, 2008. "The Formation of Inflation Perceptions – Some Empirical Facts for European Countries," KOF Working papers 08-204, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    36. Maite Alguacil & Ana Cuadros & Vicente Orts, 2004. "Does saving really matter for growth? Mexico (1970-2000)," Journal of International Development, John Wiley & Sons, Ltd., vol. 16(2), pages 281-290. [Downloadable!]
    37. O. Holtemöller, . "Money and Banks: Some Theory and Empirical Evidence for Germany," Sonderforschungsbereich 373 2002-17, Humboldt Universitaet Berlin.
    38. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    39. Abdulnasser Hatemi-J & Ghazi Shukur, 2002. "Multivariate-based causality tests of twin deficits in the US," Journal of Applied Statistics, Taylor and Francis Journals, vol. 29(6), pages 817-824, August. [Downloadable!] (restricted)
    40. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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    41. Ana I. Sanjuan & Jose M. Gil, 1998. "Price transmission analysis: A flexible methodological approach applied to European hog markets," ERSA conference papers ersa98p180, European Regional Science Association. [Downloadable!]
    42. Eric Jondeau, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annales d'Economie et de Statistique, ADRES, issue 62, pages 08, Avril-Jui. [Downloadable!]
    43. Hiroaki Chigira & Taku Yamamoto, 2003. "The Granger Non-Causality Test in Cointegrated Vector Autoregressions," Hi-Stat Discussion Paper Series d03-07, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    44. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria. [Downloadable!]
    45. Karimi, Mohammad Sharif & Yusop, Zulkornain, 2009. "FDI and Economic Growth in Malaysia," MPRA Paper 14999, University Library of Munich, Germany. [Downloadable!]
    46. Carmine Trecroci & Juan Luis Vega-Croissier, 2000. "The information content of M3 for future inflation," Working Paper Series 33, European Central Bank. [Downloadable!]
    47. Judith A. Clarke & Sadaf Mirza, 2003. "Some Finite Sample Results On Testing For Granger Noncausality," Econometrics Working Papers 0305, Department of Economics, University of Victoria. [Downloadable!]
    48. Mohsin Hasnain Ahmad & Shaista Alam & Mohammad Sabihuddin Butt, 2003. "Foreign Direct Investment, Exports, and Domestic Output in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 42(4), pages 715-723. [Downloadable!]
    49. Andersson, Björn, 1999. "On the Causality Between Saving and Growth: Long- and Short-Run Dynamics and Country Heterogeneity," Working Paper Series 1999:18, Uppsala University, Department of Economics. [Downloadable!]
    50. Miguel Arranz & Alvaro Escribano, 2006. "Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(1), pages 179-208, June. [Downloadable!] (restricted)

  21. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Sonderforschungsbereich 373 2001-63, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. Hjelm, Göran & Johansson, Martin W, 2002. "Structural Change in Fiscal Policy and The Permanence of Fiscal Contractions - The Case of Denmark and Ireland," Working Papers 2002:11, Lund University, Department of Economics. [Downloadable!]
    2. Carsten Trenkler & Pentti Saikkonen & Helmut Luetkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Economics Working Papers ECO2006/29, European University Institute. [Downloadable!]
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    3. Juan F. Jimeno & Esther Moral & Lorena Saiz, 2006. "Structural breaks in labor productivity growth: the United States vs. the European Union," Banco de España Working Papers 0625, Banco de España. [Downloadable!]
    4. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    5. Livanis, Grigorios & Moss, Charles B., 2005. "Price Transmission and Food Scares in the U.S. Beef Sector," Working Papers 15662, University of Florida, International Agricultural Trade and Policy Center. [Downloadable!]
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    6. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers 0810, Department of Economics, University of Missouri, revised 20 Jan 2009. [Downloadable!]
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    7. Håvard Hungnes, 2005. "Identifying Structural Breaks in Cointegrated VAR Models," Discussion Papers 422, Research Department of Statistics Norway. [Downloadable!]
    8. Karel Mertens, 2006. "How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence," Economics Working Papers ECO2006/34, European University Institute. [Downloadable!]
    9. Frédérique Bec & Alexia Bastien, 2007. "The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(4). [Downloadable!]
      Other versions:
    10. Yoichi Arai & Eiji Kurozumi, 2005. "Testing for the Null Hypothesis of Cointegration with Structural Breaks," CIRJE F-Series CIRJE-F-319, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    11. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January. [Downloadable!] (restricted)
    12. Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004. "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers ECO2004/21, European University Institute. [Downloadable!]
    13. Maican, Florin G. & Sweeney, Richard J., 2006. "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics 202, Göteborg University, Department of Economics. [Downloadable!]

  22. Helmut LUETKEPOHL & Maike MUELLER, . "Testing for Multi-Step Causality in Time Series," Sonderforschungsbereich 373 1994-3, Humboldt Universitaet Berlin.

    Cited by:

    1. Jonathan B. Hill, 2005. "Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited," Econometrics 0503016, EconWPA, revised 23 Mar 2005. [Downloadable!]
    2. Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics 0407013, EconWPA, revised 17 May 2005. [Downloadable!]
      Other versions:
    3. Jonathan B. Hill, 2004. "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics 0402002, EconWPA, revised 01 Mar 2004. [Downloadable!]

  23. Helmut LUETKEPOHL & Martin MORYSON & Jürgen WOLTERS, . "Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung vari- ierender Regressionskoeffizienten," Sonderforschungsbereich 373 1994-1, Humboldt Universitaet Berlin.

    Cited by:

    1. H. L"Utkepohl & P. Saikkonen, . "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," Sonderforschungsbereich 373 1995-11, Humboldt Universitaet Berlin.
      Other versions:

  24. H. L"Utkepohl & J. Breitung, . "Impulse Response Analysis of Vector Autoregressive Processes," Sonderforschungsbereich 373 1996-86, Humboldt Universitaet Berlin.

    Cited by:

    1. Jan Gottschalk & Willem Van Zandweghe, 2001. "Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany," Kiel Working Papers 1068, Kiel Institute for the World Economy. [Downloadable!]
    2. Ben Shepherd, 2005. "Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market," International Trade 0511013, EconWPA. [Downloadable!]
    3. Jan Gottschalk & Willem Van Zandweghe, 2003. "Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? An Investigation into the Case of Germany," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 55-81, March. [Downloadable!]
    4. J. Breitung, . "Using a Latent Variables Representation to Estimate Structural VARs," Sonderforschungsbereich 373 1996-97, Humboldt Universitaet Berlin.

  25. H. Lütkepohl & C. Müller & P. Saikkonen, . "Unit Root Tests for Time Series with a Structural Break When the Break Point is Known," Sonderforschungsbereich 373 1999-33, Humboldt Universitaet Berlin.

    Cited by:

    1. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Comparison of Unit Root Tests for Time Series with Level Shifts," Sonderforschungsbereich 373 1999-88, Humboldt Universitaet Berlin.
    2. M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.
      Other versions:
    3. P. Saikkonen & H. Lütkepohl, . "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Sonderforschungsbereich 373 1999-72, Humboldt Universitaet Berlin.
      Other versions:
    4. Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005. "Testing the Null of Cointegration with Structural Breaks," DEA Working Papers 10, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
      Other versions:

  26. H. L"Utkepohl & R. Tschernig, . "Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate," Sonderforschungsbereich 373 1995-51, Humboldt Universitaet Berlin.

    Cited by:

    1. R. Tschernig, . "Nonlinearities in German Unemployment Rates: A Nonparametric Analysis," Sonderforschungsbereich 373 1996-45, Humboldt Universitaet Berlin.

  27. P. Saikkonen & H. Lütkepohl, . "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Sonderforschungsbereich 373 1998-82, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. Sven Schreiber, 2009. "Explaining shifts in the unemployment rate with productivity slowdowns and accelerations: a co-breaking approach," Kiel Working Papers 1505, Kiel Institute for the World Economy. [Downloadable!]
    2. Carsten Trenkler & Pentti Saikkonen & Helmut Luetkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Economics Working Papers ECO2006/29, European University Institute. [Downloadable!]
      Other versions:
    3. Mehrotra, Aaron, 2006. "Demand for money in transition: Evidence from China's disinflation," BOFIT Discussion Papers 10/2006, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
      Other versions:
    4. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    5. Jamal HUSEIN, 2008. "Traditional Export Demand Relation: A Cointegration and Parameter Constancy Analysis," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(2). [Downloadable!]
    6. Pahlavani, Mosayeb, 2005. "The Relationship Between Trade and Economic Growth in Iran: An Application of a New Cointegration Technique in the Presence of Structural Breaks," Economics Working Papers wp05-28, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    7. Lonnie K. Stevans, 2005. "An Empirical Investigation into the Effect of Music Downloading on the Consumer Expenditure of Recorded Music: A Time Series Approach," Microeconomics 0502002, EconWPA. [Downloadable!]
      Other versions:
    8. Karine Gente & Miguel Leon-Ledesma, 2004. "Does the World Real Interest Rate Affect the Real Exchange Rate? The South East Asian Experience," Studies in Economics 0405, Department of Economics, University of Kent. [Downloadable!]
      Other versions:
    9. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000. [Downloadable!]
      Other versions:
    10. Ralf Brüggemann, 2006. "Sources of German unemployment: a structural vector error correction analysis," Empirical Economics, Springer, vol. 31(2), pages 409-431, June. [Downloadable!] (restricted)
      Other versions:
    11. Helmut Lütkepohl & Ralf Brüggemann, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702. [Downloadable!]
      Other versions:
    12. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles : why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
    13. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008. "Consumption, wealth and business cycles in Germany," Empirical Economics, Springer, vol. 34(3), pages 451-476, June. [Downloadable!] (restricted)
      Other versions:
    14. Helmut Luetkepohl & Pentti Saikkonen & Carsten Trenkler, 2000. "Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift," Econometric Society World Congress 2000 Contributed Papers 0364, Econometric Society. [Downloadable!]
      Other versions:
    15. Deniz Dilan Karaman Örsal, 2007. "Comparison of Panel Cointegration Tests," SFB 649 Discussion Papers SFB649DP2007-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    16. Karel Mertens, 2006. "How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence," Economics Working Papers ECO2006/34, European University Institute. [Downloadable!]
    17. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Sonderforschungsbereich 373 2001-63, Humboldt Universitaet Berlin.
      Other versions:
    18. CHOY Keen Meng, 2009. "Trade Cycles in a Re-export Economy: The Case of Singapore," Economic Growth centre Working Paper Series 0905, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    19. H. Lütkepohl & J. Wolters, . "The Transmission of German Monetary Policy in the Pre-Euro Period," Sonderforschungsbereich 373 2001-87, Humboldt Universitaet Berlin.
      Other versions:
    20. Yoichi Arai & Eiji Kurozumi, 2005. "Testing for the Null Hypothesis of Cointegration with Structural Breaks," CIRJE F-Series CIRJE-F-319, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    21. Luca Pieroni & Giorgio d'Agostino & Marco Lorusso, 2008. "Can We Declare Military Keynesianism Dead?," Discussion Papers 0804, University of the West of England, Department of Economics. [Downloadable!]
      Other versions:
    22. Pahlavani, M., 2005. "Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, 1960-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(4). [Downloadable!]
    23. Korhonen, Iikka & Mehrotra, Aaron, 2007. "Money demand in post-crisis Russia: De-dollarisation and re-monetisation," BOFIT Discussion Papers 14/2007, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    24. Maican, Florin G. & Sweeney, Richard J., 2006. "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics 202, Göteborg University, Department of Economics. [Downloadable!]
    25. Joseph P. Byrne & Jun Nagayasu, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," Working Papers 2008_29, Department of Economics, University of Glasgow. [Downloadable!]
    26. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
    27. Minoas Koukouritakis & Nikolaos Giannellis, . "Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate," Working Papers 0901, University of Crete, Department of Economics. [Downloadable!]

  28. H. Bartel & H. Lütkepohl, . "Estimating the Kronecker Indices of Cointegrated Echelon Form VARMA Models," Sonderforschungsbereich 373 1997-2, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. Jean-Marie Dufour & Tarek Jouini, 2005. "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers 2005s-06, CIRANO. [Downloadable!]
      Other versions:
    2. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
      Other versions:

  29. W. H"Ardle & H. L"Utkepohl & R. Chen, . "A Review of Nonparametric Time Series Analysis," Sonderforschungsbereich 373 1996-48, Humboldt Universitaet Berlin.

    Cited by:

    1. R. Tschernig, . "Nonlinearities in German Unemployment Rates: A Nonparametric Analysis," Sonderforschungsbereich 373 1996-45, Humboldt Universitaet Berlin.
    2. Rolf Tschernig & Lijian Yang, 2000. "Nonparametric Estimation of Generalized Impulse Response Functions," Econometric Society World Congress 2000 Contributed Papers 1417, Econometric Society. [Downloadable!]
      Other versions:
    3. Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," MPRA Paper 10428, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    4. Göran Kauermann, 2006. "Nonparametric models and their estimation," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 137-152, March. [Downloadable!] (restricted)
    5. W. Härdle & R. Tschernig, . "Flexible Time Series Analysis," Sonderforschungsbereich 373 2000-51, Humboldt Universitaet Berlin.
    6. H. L"Utkepohl, . "Statistische Modellierung von Volatilit"aten," Sonderforschungsbereich 373 1996-70, Humboldt Universitaet Berlin.
    7. Norberto Rodríguez & Patricia Siado, 2003. "Un Pronóstico No Paramétrico De La Inflación Colombiana," BORRADORES DE ECONOMIA 003691, BANCO DE LA REPÚBLICA. [Downloadable!]

  30. M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Unit Root Tests in the Presence of Innovational Outliers," Sonderforschungsbereich 373 2001-82, Humboldt Universitaet Berlin.
    2. Luetkepohl, Helmut & Wolters, Juergen, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    3. He, Changli & Sandberg, Rickard, 2005. "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," Working Paper Series in Economics and Finance 580, Stockholm School of Economics. [Downloadable!]

  31. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process," Sonderforschungsbereich 373 2000-83, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. Carsten Trenkler, 2003. "A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms," Economics Bulletin, Economics Bulletin, vol. 3(11), pages 1-9. [Downloadable!]
      Other versions:
    2. Bilge Kagan Ozdemir, 2009. "Banking Sector Stability During The Process Of Euro Adoption," Anadolu University Journal of Social Sciences, Anadolu University, vol. 9(1), pages 123-1236, June. [Downloadable!]
    3. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January. [Downloadable!] (restricted)
    4. Saltoglu, Burak & Yazgan, Ege, 2009. "The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market," MPRA Paper 18741, University Library of Munich, Germany. [Downloadable!]
    5. Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo, 2009. "Tests for cointegration rank and choice of the alternative," Statistical Methods and Applications, Springer, vol. 18(2), pages 169-191, July. [Downloadable!] (restricted)
    6. Paruolo Paolo, 2005. "Design of vector autoregressive processes for invariant statistics," Economics and Quantitative Methods qf0504, Department of Economics, University of Insubria. [Downloadable!]

  32. B. Candelon & H. Lütkepohl, . "On the Reliability of Chow Type Test for Parameter Constancy in Multivariate Dynamic Models," Sonderforschungsbereich 373 2000-95, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. He, Changli & Teräsvirta, Timo & González, Andres, 2002. "Testing parameter constancy in stationary vector autoregressive models against continuous change," Working Paper Series in Economics and Finance 507, Stockholm School of Economics, revised 06 May 2004.
      Other versions:
    2. Markku Lanne, Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," Economics Working Papers ECO2006/23, European University Institute. [Downloadable!]
      Other versions:
    3. Mehrotra, Aaron, 2006. "Demand for money in transition: Evidence from China's disinflation," BOFIT Discussion Papers 10/2006, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
      Other versions:
    4. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    5. Cláudio Hamilton dos Santos & Márcio Bruno Ribeiro & Sérgio Wulff Gobetti, 2008. "A Evolução da Carga Tributária Bruta Brasileira no Período 1995-2007: Tamanho, Composição e Especificações Econométricas Agregadas," Discussion Papers 1350, Instituto de Pesquisa Econômica Aplicada - IPEA. [Downloadable!]
    6. Brummer, Bernhard & von Cramon-Taubadel, Stephan & Zorya, Sergiy, 2006. "Vertical Price Transmission between Wheat and Flour in Ukraine: A Markov-Switching Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25575, International Association of Agricultural Economists. [Downloadable!]
    7. Koivu, Tuuli, 2008. "Has the Chinese economy become more sensitive to interest rates? Studying credit demand in China," BOFIT Discussion Papers 1/2008, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    8. Roberto Golinelli & Riccardo Rovelli, 2002. "Monetary Policy Transmission, Interest Rate Rules and Inflation Targeting in Three Transition Countries," Eastward Enlargement of the Euro-zone Working Papers wp10, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Aug 2002. [Downloadable!]
      Other versions:
    9. Ulrich Fritsche & Jan Gottschalk, 2006. "The New Keynesian Model and the Long-run Vertical Phillips Curve: Does it hold for Germany?," Macroeconomics and Finance Series 200601, Hamburg University, Department Wirtschaft und Politik. [Downloadable!]
      Other versions:
    10. Manner, Hans & Candelon, Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memoranda 052, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    11. Bakucs, L.Z. & Brummer, B. & Von Cramon-Taubadel, S. & Ferto, I., 2008. "Wheat market integration between Hungary and Germany," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44171, European Association of Agricultural Economists. [Downloadable!]
    12. Candelon,Bertrand & Cubadda,Gianluca, 2005. "Testing for Parameter Stability in Dynamic Models across Frequencies," Research Memoranda 022, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    13. Brummer, Bernhard & Zorya, Sergiy, 2005. "Wheat / Flour Price Transmission and Agricultural Policies in Ukraine: A Markov-Switching Vector Error Correction Approach," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24624, European Association of Agricultural Economists. [Downloadable!]
    14. Bachmann, Ronald & Burda, Michael C., 2008. "Sectoral Transformation, Turbulence, and Labor Market Dynamics in Germany," IZA Discussion Papers 3324, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:
    15. Korhonen, Iikka & Mehrotra, Aaron, 2009. "Real Exchange Rate, Output and Oil: Case of Four Large Energy Producers," BOFIT Discussion Papers 6/2009, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    16. R. Golinelli & R. Rovelli, 2001. "Interest Rate Rules and Inflation Targeting in Three Transition Countries," Working Papers 429, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
    17. Philip Marey & Arnaud Dupuy, 2004. "Shifts and Twists in the Relative Productivity of Skilled Labor: Reconciling Accelerated SBTC with the Productivity Slowdown," Econometric Society 2004 North American Summer Meetings 118, Econometric Society. [Downloadable!]
    18. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics. [Downloadable!]

  33. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Comparison of Unit Root Tests for Time Series with Level Shifts," Sonderforschungsbereich 373 1999-88, Humboldt Universitaet Berlin.

    Cited by:

    1. Fell, Harrison, 2008. "EU-ETS and Nordic Electricity: A CVAR Approach," Discussion Papers dp-08-31, Resources For the Future. [Downloadable!]
    2. Enzo Weber, 2006. "Common and Uncommon Sources of Growth in Asia Pacific," SFB 649 Discussion Papers SFB649DP2006-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    3. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    4. M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.
      Other versions:
    5. Livanis, Grigorios & Moss, Charles B., 2005. "Price Transmission and Food Scares in the U.S. Beef Sector," Working Papers 15662, University of Florida, International Agricultural Trade and Policy Center. [Downloadable!]
      Other versions:
    6. Brummer, Bernhard & von Cramon-Taubadel, Stephan & Zorya, Sergiy, 2006. "Vertical Price Transmission between Wheat and Flour in Ukraine: A Markov-Switching Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25575, International Association of Agricultural Economists. [Downloadable!]
    7. Enzo Weber, 2006. "Macroeconomic Integration in Asia Pacific: Common Stochastic Trends and Business Cycle Coherence," SFB 649 Discussion Papers SFB649DP2006-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    8. Koi Nyen Wong & Tuck Cheong Tang, 2007. "Foreign Direct Investment and Electronics Exports: Exploratory Empirical Evidence from Malaysia’s Top Five Electronics Exports," Economics Bulletin, Economics Bulletin, vol. 6(14), pages 1-8. [Downloadable!]
    9. Enzo Weber, 2007. "Regional and Outward Economic Integration in South-East Asia," SFB 649 Discussion Papers SFB649DP2007-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    10. Chan, Tze-Haw & Chong, Lee Lee & Khong, Wye Leong Roy, 2008. "Real Exchange Rate Behavior: New Evidence with Linear and Non-linear Endogenous Break(s)," MPRA Paper 3406, University Library of Munich, Germany. [Downloadable!]
    11. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Unit Root Tests in the Presence of Innovational Outliers," Sonderforschungsbereich 373 2001-82, Humboldt Universitaet Berlin.
    12. Babecký, Jan & Coricelli, Fabrizio & Horváth, Roman, 2009. "Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy," CEPR Discussion Papers 7268, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    13. Melisso Boschi & Alessandro Girardi, 2008. "The Contribution Of Domestic, Regional And International Factors To Latin America'S Business Cycle," CAMA Working Papers 2008-33, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    14. Mehrotra, Aaron, 2005. "Exchange and interest rate channels during a deflationary era - Evidence from Japan, Hong Kong and China," BOFIT Discussion Papers 17/2005, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
      Other versions:
    15. Maurizio Michael Habib & Margarita Manolova Kalamova, 2007. "Are there oil currencies? The real exchange rate of oil exporting countries," Working Paper Series 839, European Central Bank. [Downloadable!]
    16. Ian Babetskii & Fabrizio Coricelli & Roman Horváth, 2007. "Measuring and Explaining Inflation Persistence: Disaggregate Evidence on the Czech Republic," Working Papers IES 2007/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2007. [Downloadable!]
      Other versions:
    17. Melisso Boschi, 2007. "Foreign capital in Latin America: A long-run structural Global VAR perspective," Economics Discussion Papers 647, University of Essex, Department of Economics. [Downloadable!]
    18. Maria do Rosario Correia & Reinhard Neck & Theodore Panagiotidis & Christian Richter, 2008. "An empirical investigation of the sustainability of the public deficit in Portugal," International Economics and Economic Policy, Springer, vol. 5(1), pages 209-223, July. [Downloadable!] (restricted)
    19. Mark J. Holmes & Theodore Panagiotidis, 2009. "Cointegration and asymmetric adjustment: Some new evidence concerning the behaviour of the US current account," Discussion Paper Series 2009_11, Department of Economics, University of Macedonia, revised May 2009. [Downloadable!]
      Other versions:
    20. Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute. [Downloadable!]
      Other versions:
    21. R. Brüggemann, . "Sources of German Unemployment: A Structural Vector Error Correction Analysis," Sonderforschungsbereich 373 2001-19, Humboldt Universitaet Berlin.
      Other versions:
    22. Tuck Cheong Tang, 2006. "A new approach to examining the sustainability of external imbalances: the case of Japan," Applied Economics Letters, Taylor and Francis Journals, vol. 13(5), pages 287-292, April. [Downloadable!] (restricted)
    23. CHOY Keen Meng, 2009. "Trade Cycles in a Re-export Economy: The Case of Singapore," Economic Growth centre Working Paper Series 0905, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    24. Sarah M. Lein & Thomas Maag, 2008. "The Formation of Inflation Perceptions – Some Empirical Facts for European Countries," KOF Working papers 08-204, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    25. Gluschenko, Konstantin, 2004. "Nonlinearly testing for a unit root in the presence of a break in the mean," MPRA Paper 678, University Library of Munich, Germany, revised Sep 2005. [Downloadable!]
    26. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," GEMF Working Papers 2009-15, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
    27. Brummer, Bernhard & Zorya, Sergiy, 2005. "Wheat / Flour Price Transmission and Agricultural Policies in Ukraine: A Markov-Switching Vector Error Correction Approach," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24624, European Association of Agricultural Economists. [Downloadable!]
    28. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 43-58, March. [Downloadable!] (restricted)
    29. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008. "Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    30. Korhonen, Iikka & Mehrotra, Aaron, 2009. "Real Exchange Rate, Output and Oil: Case of Four Large Energy Producers," BOFIT Discussion Papers 6/2009, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    31. Joseph P. Byrne & Jun Nagayasu, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," Working Papers 2008_29, Department of Economics, University of Glasgow. [Downloadable!]
    32. Brückner, Markus & Gerling, Kerstin & Grüner, Hans Peter, 2007. "Wealth Inequality and Credit Markets: Evidence from Three Industrialized Countries," CEPR Discussion Papers 6485, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    33. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
    34. Chan, Tze-Haw, 2008. "International Parities among China and Her Major Trading Partners in Asia Pacific," MPRA Paper 15504, University Library of Munich, Germany, revised 06 Apr 2009. [Downloadable!]
    35. C. Trenkler, . "The Polish Crawling Peg System: A Cointegration Analysis," Sonderforschungsbereich 373 2000-71, Humboldt Universitaet Berlin.

  34. H. Lütkepohl, . "Vector Autoregressions," Sonderforschungsbereich 373 1999-4, Humboldt Universitaet Berlin.

    Cited by:

    1. Feridun, M. & Adebiyi, M.A., 2006. "Forecasting Inflation in Developing Economies: The Case of Nigeria, 1986-1998," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 3(1), pages 55-84. [Downloadable!]
    2. Reinhart, Carmen & Reinhart, Vincent, 1991. "Output Fluctuations and Monetary Shocks: Evidence from Colombia," MPRA Paper 6980, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    3. Ulrich Fritsche & Jan Gottschalk, 2006. "The New Keynesian Model and the Long-run Vertical Phillips Curve: Does it hold for Germany?," Macroeconomics and Finance Series 200601, Hamburg University, Department Wirtschaft und Politik. [Downloadable!]
      Other versions:
    4. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics. [Downloadable!]
      Other versions:
    5. C. Müller & E. Hahn, . "Money Demand in Europe: Evidence from the Past," Sonderforschungsbereich 373 2000-35, Humboldt Universitaet Berlin.
      Other versions:
    6. Ekaterini Panopoulou & Nikitas Pittis & Sarantis Kalyvitis, 2006. "Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests," The Institute for International Integration Studies Discussion Paper Series iiisdp134, IIIS. [Downloadable!]
      Other versions:
    7. Thomas M Fullerton Jr & Eiichi Araki, 2004. "New Directions in Latin American Macroeconometrics," Development and Comp Systems 0408002, EconWPA. [Downloadable!]
    8. Johann Burgstaller, 2003. "Interest Rate Transmission to Commercial Credit Rates in Austria," Economics working papers 2003-06, Department of Economics, Johannes Kepler University Linz, Austria. [Downloadable!]
    9. R.W. Hafer & Richard G. Sheehan, 1987. "On the sensitivity of VAR forecasts to alternative lag structures," Working Papers 1987-004, Federal Reserve Bank of St. Louis. [Downloadable!]
    10. João Leitão, 2004. "Demand Pull and Supply Push in Portuguese Cable Television," Econometrics 0411009, EconWPA. [Downloadable!]
      Other versions:

  35. H. Lütkepohl & J. Wolters, . "The Transmission of German Monetary Policy in the Pre-Euro Period," Sonderforschungsbereich 373 2001-87, Humboldt Universitaet Berlin.
    Other versions:

    Cited by:

    1. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    2. Kai Carstensen, 2003. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy. [Downloadable!]
    3. Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute. [Downloadable!]
      Other versions:
    4. Paolo PAESANI, 2003. "Will the Monetary Pillar Stay? A Few Lessons from the UK," Economics Working Papers ECO2003/10, European University Institute. [Downloadable!]
    5. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
    6. R. Brüggemann, . "On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR models," Sonderforschungsbereich 373 2002-2, Humboldt Universitaet Berlin.

  36. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Sonderforschungsbereich 373 2001-39, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    2. Livanis, Grigorios & Moss, Charles B., 2005. "Price Transmission and Food Scares in the U.S. Beef Sector," Working Papers 15662, University of Florida, International Agricultural Trade and Policy Center. [Downloadable!]
      Other versions:
    3. He, Changli & Sandberg, Rickard, 2005. "Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels," Working Paper Series in Economics and Finance 582, Stockholm School of Economics. [Downloadable!]
    4. Chan, Tze-Haw & Chong, Lee Lee & Khong, Wye Leong Roy, 2008. "Real Exchange Rate Behavior: New Evidence with Linear and Non-linear Endogenous Break(s)," MPRA Paper 3406, University Library of Munich, Germany. [Downloadable!]
    5. Melisso Boschi & Alessandro Girardi, 2008. "The Contribution Of Domestic, Regional And International Factors To Latin America'S Business Cycle," CAMA Working Papers 2008-33, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    6. Melisso Boschi, 2007. "Foreign capital in Latin America: A long-run structural Global VAR perspective," Economics Discussion Papers 647, University of Essex, Department of Economics. [Downloadable!]
    7. Stephan Popp, 2008. "A Nonlinear Unit Root Test in the Presence of an Unknown Break," Ruhr Economic Papers 0045, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    8. Melisso Boschi & Alessandro Girardi, 2005. "Euro Area inflation: long-run determinants and short-run dynamics," ISAE Working Papers 60, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
      Other versions:
    9. Koi Nyen Wong & Tuck Cheong Tang, 2007. "Exchange Rate Variability And The Export Demand For Malaysia'S Semiconductors: An Empirical Study," Monash Economics Working Papers 13/07, Monash University, Department of Economics. [Downloadable!]
    10. Andrew Coleman & John Landon-Lane, 2007. "Housing Markets and Migration in New Zealand, 1962-2006," Reserve Bank of New Zealand Discussion Paper Series DP2007/12, Reserve Bank of New Zealand. [Downloadable!]
    11. He, Changli & Sandberg, Rickard, 2005. "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," Working Paper Series in Economics and Finance 580, Stockholm School of Economics. [Downloadable!]
    12. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," GEMF Working Papers 2009-15, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
    13. Joseph P. Byrne & Jun Nagayasu, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," Working Papers 2008_29, Department of Economics, University of Glasgow. [Downloadable!]
    14. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
    15. Chan, Tze-Haw, 2008. "International Parities among China and Her Major Trading Partners in Asia Pacific," MPRA Paper 15504, University Library of Munich, Germany, revised 06 Apr 2009. [Downloadable!]

  37. P. Saikkonen & H. Lütkepohl, . "Trend Adjustment Prior to Testing for the Cointegrating Rank of a VAR Process," Sonderforschungsbereich 373 1997-84, Humboldt Universitaet Berlin.

    Cited by:

    1. Amir Kia, 2005. "Sustainability of the Fiscal Process in Developing Countries- Egypt, Iran and Turkey: A Multicointegration Approach," Carleton Economic Papers 05-08, Carleton University, Department of Economics. [Downloadable!]

  38. K. Hubrich & H. Lütkepohl & P. Saikkonen, . "A Review of Systems Cointegration Tests," Sonderforschungsbereich 373 1998-101, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. Aktham Maghyereh, 2006. "The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 265-273, July. [Downloadable!] (restricted)
    2. Carsten Trenkler & Pentti Saikkonen & Helmut Luetkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Economics Working Papers ECO2006/29, European University Institute. [Downloadable!]
      Other versions:
    3. Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen, 2008. "Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term," Economics Working Papers ECO2008/24, European University Institute. [Downloadable!]
      Other versions:
    4. Ahlgren, Niklas & Nyblom, Jukka, 2003. "A General Test for the Cointegrating Rank in Vector Autoregressive Models," Working Papers 499, Hanken School of Economics.
    5. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    6. David O. Cushman, 2003. "Further evidence on the size and power of the Bierens and Johansen cointegration procedures," Economics Bulletin, Economics Bulletin, vol. 3(25), pages 1-7. [Downloadable!]
    7. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
      Other versions:
    8. C.K. Folkertsma & K. Hubrich, 2001. "Performance of core inflation measures," DNB Staff Reports (discontinued) 63, Netherlands Central Bank. [Downloadable!]
      Other versions:
    9. Carsten Trenkler, 2006. "Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," SFB 649 Discussion Papers SFB649DP2006-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    10. Ulrike Neyer & Jürgen Wiemers, 2004. "The Influence of a Heterogeneous Banking Sector on the Interbank Market Rate in the Euro Area," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 395-428, September. [Downloadable!]
    11. Ramazan Sari & Ugur Soytas, 2006. "Income and Education in Turkey: A Multivariate Analysis," Education Economics, Taylor and Francis Journals, vol. 14(2), pages 181-196, June. [Downloadable!] (restricted)
    12. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process," Sonderforschungsbereich 373 2000-83, Humboldt Universitaet Berlin.
      Other versions:
    13. Ghazi Shukur, Panagiotis Mantalos, 2000. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems," Journal of Applied Statistics, Taylor and Francis Journals, vol. 27(8), pages 1021-1031, November. [Downloadable!] (restricted)
    14. Deniz Dilan Karaman Örsal, 2007. "Comparison of Panel Cointegration Tests," SFB 649 Discussion Papers SFB649DP2007-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    15. C. Müller & E. Hahn, . "Money Demand in Europe: Evidence from the Past," Sonderforschungsbereich 373 2000-35, Humboldt Universitaet Berlin.
      Other versions:
    16. Karel Mertens, 2006. "How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence," Economics Working Papers ECO2006/34, European University Institute. [Downloadable!]
    17. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Sonderforschungsbereich 373 2001-63, Humboldt Universitaet Berlin.
      Other versions:
    18. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January. [Downloadable!] (restricted)
    19. Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004. "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers ECO2004/21, European University Institute. [Downloadable!]
    20. Hiroaki Chigira, 2005. "A Test of Cointegration Rank Based on Principal Component Analysis (revised, January 2006)," Hi-Stat Discussion Paper Series d05-126, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    21. Eiji Kurozumi & Yoichi Arai, 2006. "Test for the null hypothesis of cointegration with reduced size distortion," Hi-Stat Discussion Paper Series d06-190, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    22. K.S.E.M. Hubrich & P.J.G. Vlaar, 2000. "Germany and the euro area: differences in the transmission process of monetary policy," WO Research Memoranda (discontinued) 613, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:

  39. H. Lütkepohl & P. Saikkonen, . "Testing for the Cointegrating Rank of a VAR Process with a Time Trend," Sonderforschungsbereich 373 1997-79, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. Amir Kia, 2005. "Sustainability of the Fiscal Process in Developing Countries- Egypt, Iran and Turkey: A Multicointegration Approach," Carleton Economic Papers 05-08, Carleton University, Department of Economics. [Downloadable!]
    2. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    3. Ralf Brüggemann, 2006. "Sources of German unemployment: a structural vector error correction analysis," Empirical Economics, Springer, vol. 31(2), pages 409-431, June. [Downloadable!] (restricted)
      Other versions:
    4. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift," Sonderforschungsbereich 373 2000-10, Humboldt Universitaet Berlin.
      Other versions:
    5. Luetkepohl, Helmut & Wolters, Juergen, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    6. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process," Sonderforschungsbereich 373 2000-83, Humboldt Universitaet Berlin.
      Other versions:
    7. Deniz Dilan Karaman Örsal, 2007. "Comparison of Panel Cointegration Tests," SFB 649 Discussion Papers SFB649DP2007-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    8. C. Müller & E. Hahn, . "Money Demand in Europe: Evidence from the Past," Sonderforschungsbereich 373 2000-35, Humboldt Universitaet Berlin.
      Other versions:
    9. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Sonderforschungsbereich 373 2001-63, Humboldt Universitaet Berlin.
      Other versions:
    10. Mototsugu Shintani, 2000. "A Simple Cointegrating Rank Test Without Vector Autoregression," Working Papers 0044, Department of Economics, Vanderbilt University. [Downloadable!]
      Other versions:
    11. Minoas Koukouritakis & Nikolaos Giannellis, . "Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate," Working Papers 0901, University of Crete, Department of Economics. [Downloadable!]
    12. Bernd Droge & Deniz Dilan Karaman Örsal, 2009. "Panel Cointegration Testing in the Presence of a Time Trend," SFB 649 Discussion Papers SFB649DP2009-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  40. P. Saikkonen & H. Lütkepohl, . "Testing for Unit Roots in Time Series with Level Shifts," Sonderforschungsbereich 373 1999-27, Humboldt Universitaet Berlin.

    Cited by:

    1. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Comparison of Unit Root Tests for Time Series with Level Shifts," Sonderforschungsbereich 373 1999-88, Humboldt Universitaet Berlin.
    2. M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.
      Other versions:
    3. H. Lütkepohl & C. Müller & P. Saikkonen, . "Unit Root Tests for Time Series with a Structural Break When the Break Point is Known," Sonderforschungsbereich 373 1999-33, Humboldt Universitaet Berlin.
    4. Nicolas Million, 2003. "The Fisher Effect revisited through an efficient non linear unit root testing procedure," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 951-954, December. [Downloadable!] (restricted)
    5. P. Saikkonen & H. Lütkepohl, . "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Sonderforschungsbereich 373 1999-72, Humboldt Universitaet Berlin.
      Other versions:

  41. H. Lütkepohl & J. Wolters, . "A Money Demand System for M3 in the Unified Germany," Sonderforschungsbereich 373 1997-92, Humboldt Universitaet Berlin.

    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Fractional Cointegration And Aggregate Money Demand Functions," Economics and Finance Discussion Papers 05-01, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    2. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor and Francis Journals, vol. 36(8), pages 817-838, May. [Downloadable!] (restricted)
    3. Claus Brand & Nuno Cassola, 2000. "A money demand system for Euro area M3," Working Paper Series 39, European Central Bank. [Downloadable!]

  42. H. Lütkepohl & P. Saikkonen, . "Order Selection in Testing for the Cointegration Rank of a VAR Process," Sonderforschungsbereich 373 1997-93, Humboldt Universitaet Berlin.

    Cited by:

    1. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 609-642. [Downloadable!]
      Other versions:

  43. H. L"Utkepohl & P. Saikkonen, . "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," Sonderforschungsbereich 373 1995-11, Humboldt Universitaet Berlin.
    Published as:

    Cited by:

    1. Dietmar Bauer & Martin Wagner, 2000. "Estimating Cointegrated Systems Using Subspace Algorithms," Econometric Society World Congress 2000 Contributed Papers 0293, Econometric Society. [Downloadable!]
      Other versions:
    2. P. Saikkonen & H. L"Utkepohl, . "Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes," Sonderforschungsbereich 373 1995-66, Humboldt Universitaet Berlin.
    3. Igor Alexandre Clemente de Morais & Marcelo Savino Portugal, 2003. "Business Cycle in the Industrial Production of Brazilian States," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] e75, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
      Other versions:
    4. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    5. H. L"Utkepohl & J. Breitung, . "Impulse Response Analysis of Vector Autoregressive Processes," Sonderforschungsbereich 373 1996-86, Humboldt Universitaet Berlin.
    6. Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics. [Downloadable!]
    7. H. Krolzig, . "Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts," Sonderforschungsbereich 373 1996-25, Humboldt Universitaet Berlin.
      Other versions:
    8. BATTISTI,Michele, 2006. "Assessing persistence in the Italian rate of unemployment in presence of structural breaks and regional asymmetries, 1977 to 2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
    9. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    10. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    11. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP. [Downloadable!]
      Other versions:

Articles

  1. Markku Lanne & Helmut Lütkepohl, 2008. "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, 09. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Blackwell Publishing, vol. 29(2), pages 331-358, 03. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2008. "Forecasting euro area variables with German pre-EMU data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 465-481. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  4. Lutkepohl, Helmut, 2007. "General-to-specific or specific-to-general modelling? An opinion on current econometric terminology," Journal of Econometrics, Elsevier, vol. 136(1), pages 319-324, January. [Downloadable!] (restricted)

    Cited by:

    1. Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen, 2008. "Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term," Economics Working Papers ECO2008/24, European University Institute. [Downloadable!]
      Other versions:

  5. Helmut Lütkepohl, 2006. "Structural vector autoregressive analysis for cointegrated variables," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 75-88, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  6. Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006. "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, vol. 134(2), pages 579-604, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Helmut Lütkepohl & Ralf Brüggemann, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  8. Ralf Brüggemann & Helmut Lütkepohl, 2005. "Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 673-690, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  9. Lucke, Bernd & Lutkepohl, Helmut, 2004. "On unit root tests in the presence of transitional growth," Economics Letters, Elsevier, vol. 84(3), pages 323-327, September. [Downloadable!] (restricted)

    Cited by:

    1. Ziesemer,Thomas, 2005. "Malthus irrelevant?," Research Memoranda 009, Maastricht : MERIT, Maastricht Economic Research Institute on Innovation and Technology. [Downloadable!]

  10. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2004. "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Econometrica, Econometric Society, vol. 72(2), pages 647-662, 03. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  11. Markku Lanne & Helmut Lutkepohl & Pentti Saikkonen, 2003. "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 91-115, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  12. Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2003. "Comparison of tests for the cointegrating rank of a VAR process with a structural shift," Journal of Econometrics, Elsevier, vol. 113(2), pages 201-229, April. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  13. Lanne, Markku & Lutkepohl, Helmut, 2002. "Unit root tests for time series with level shifts: a comparison of different proposals," Economics Letters, Elsevier, vol. 75(1), pages 109-114, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  14. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  15. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 8.
    Other versions:

    See citations under working paper version above.

  16. Candelon, Bertrand & Lutkepohl, Helmut, 2001. "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Economics Letters, Elsevier, vol. 73(2), pages 155-160, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  17. Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-64, October.
    Other versions:

    See citations under working paper version above.

  18. Lutkepohl, Helmut & Saikkonen, Pentti, 2000. "Testing for the cointegrating rank of a VAR process with a time trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 177-198, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  19. Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999. "Investigating Stability and Linearity of a German M1 Money Demand Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 511-25, Sept.-Oct. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  20. JØrgen Wolters & Helmut LØtkepohl, 1998. "A money demand system for German M3," Empirical Economics, Springer, vol. 23(3), pages 371-386. [Downloadable!] (restricted)

    Cited by:

    1. Ivo Arnold, 2003. "A Regional Analysis of German Money Demand Around Reunification with Implications for EMU," Empirica, Springer, vol. 30(1), pages 63-80, March. [Downloadable!] (restricted)
    2. Dierk Herzer, 2005. "Does Trade Increase Total Factor Productivity: Cointegration Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers 115, Ibero-America Institute for Economic Research. [Downloadable!]
    3. Nowak-Lehmann D., Felicitas & Herzer, Dierk & Siliverstovs, Boriss, 2005. "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Proceedings of the German Development Economics Conference, Kiel 2005 20, Verein für Socialpolitik, Research Committee Development Economics. [Downloadable!]
      Other versions:
    4. GARCIA-HIERNAUX, Alfredo & CERNO, Leonel, 2006. "Empirical Evidence For A Money Demand Function: A Panel Data Analysis Of 27 Countries In 1988-98," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1). [Downloadable!] (restricted)
    5. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000. [Downloadable!]
      Other versions:
    6. Jane M. Binner & Rakesh K. Bissoondeeal & Thomas Elger & Alicia M. Gazely & Andrew W. Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor and Francis Journals, vol. 37(6), pages 665-680, April. [Downloadable!] (restricted)
    7. Luetkepohl, Helmut & Wolters, Juergen, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    8. Herzer, Dierk & Nowak-Lehman, Felicitas D., 2006. "Export Diversification, Externalities and Growth: Evidence for Chile," Proceedings of the German Development Economics Conference, Berlin 2006 12, Verein für Socialpolitik, Research Committee Development Economics. [Downloadable!]
    9. Håvard Hungnes, 2005. "Identifying Structural Breaks in Cointegrated VAR Models," Discussion Papers 422, Research Department of Statistics Norway. [Downloadable!]
    10. Ernst Baltensperger & Thomas Jordan & Marcel Savioz, 2001. "The demand for M3 and inflation forecasts: An empirical analysis for Switzerland," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(2), pages 244-272, June. [Downloadable!] (restricted)
    11. O. Holtemöller, . "Structural Vector Autoregressive Models and Monetary Policy Analysis," Sonderforschungsbereich 373 2002-7, Humboldt Universitaet Berlin.
    12. Dierk Herzer & Felicitas Nowak-Lehmann D., 2004. "Export Diversification, Externalities and Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers 099, Ibero-America Institute for Economic Research. [Downloadable!]
    13. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. Dierk Herzer & Felicitas Nowak-Lehnmann D., 2006. "What does export diversification do for growth? An econometric analysis," Applied Economics, Taylor and Francis Journals, vol. 38(15), pages 1825-1838, August. [Downloadable!] (restricted)
    15. B. Candelon & H. Lütkepohl, . "Was There a Regime Change in the German Monetary Transmission Mechanism in 1983?," Sonderforschungsbereich 373 2000-17, Humboldt Universitaet Berlin.
    16. Mehrotra, Aaron, 2007. "A note on the national contributions to euro area M3," Research Discussion Papers 2/2007, Bank of Finland. [Downloadable!]
    17. Michael Graff, 2008. "The Quantity Theory of Money in Historical Perspective," KOF Working papers 08-196, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    18. R. Brüggemann, . "On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR models," Sonderforschungsbereich 373 2002-2, Humboldt Universitaet Berlin.
    19. A. Werwatz & C. Müller, . "Simultaneous-Equations Models," Sonderforschungsbereich 373 2000-55, Humboldt Universitaet Berlin.
    20. Nina Budina & Wojtek Maliszewski & Georges de Menil & Geomina Turlea, 2002. "Money, Inflation and output in Romania, 1992-2000," DELTA Working Papers 2002-15, DELTA (Ecole normale supérieure). [Downloadable!]

  21. Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl, 1998. "Modeling The Demand For M3 In The Unified Germany," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 399-409, August. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  22. Holger Bartel & Helmut Lutkepohl, 1998. "Estimating the Kronecker indices of cointegrated echelon-form VARMA models," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C76-C99.
    Other versions:

    See citations under working paper version above.

  23. JØrgen Wolters & Helmut LØtkepohl, 1998. "Money demand in Europe: Editors' preface," Empirical Economics, Springer, vol. 23(3), pages 263-266. [Downloadable!] (restricted)

    Cited by:

    1. Nina Budina & Wojtek Maliszewski & Georges de Menil & Geomina Turlea, 2002. "Money, Inflation and output in Romania, 1992-2000," DELTA Working Papers 2002-15, DELTA (Ecole normale supérieure). [Downloadable!]

  24. Lutkepohl, Helmut & Burda, Maike M., 1997. "Modified Wald tests under nonregular conditions," Journal of Econometrics, Elsevier, vol. 78(2), pages 315-332, June. [Downloadable!] (restricted)

    Cited by:

    1. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics. [Downloadable!]
      Other versions:
    2. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765. [Downloadable!]
      Other versions:
    3. Jonathan B. Hill, 2004. "Causation Delays and Causal Neutralization: The Money-Output Relationship Revisited," Working Papers 0403, Florida International University, Department of Economics. [Downloadable!]
    4. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    5. Jonathan B. Hill, 2005. "Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited," Econometrics 0503016, EconWPA, revised 23 Mar 2005. [Downloadable!]
    6. Zaka Ratsimalahelo, 2003. "Strongly Consistent Determination of the Rank of Matrix," EERI Research Paper Series EERI_RP_2003_04, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    7. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series /2000/396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

  25. Lutkepohl, Helmut & Claessen, Holger, 1997. "Analysis of cointegrated VARMA processes," Journal of Econometrics, Elsevier, vol. 80(2), pages 223-239, October. [Downloadable!] (restricted)

    Cited by:

    1. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics. [Downloadable!]
    2. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    3. Jean-Marie Dufour & Tarek Jouini, 2005. "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers 2005s-06, CIRANO. [Downloadable!]
      Other versions:
    4. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
      Other versions:
    5. D. S. Poskitt, 2004. "On The Identification and Estimation of Partially Nonstationary ARMAX Systems," Monash Econometrics and Business Statistics Working Papers 20/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    6. H. Lütkepohl, . "Forecasting Cointegrated VARMA Processes," Sonderforschungsbereich 373 1999-68, Humboldt Universitaet Berlin.
    7. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers 10/07, Monash University, Department of Econometrics and Business Statistics, revised May 2009. [Downloadable!]

  26. Lutkepohl, Helmut & Saikkonen, Pentti, 1997. "Impulse response analysis in infinite order cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 127-157, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  27. Lutkepohl, Helmut & Herwartz, Helmut, 1996. "Specification of varying coefficient time series models via generalized flexible least squares," Journal of Econometrics, Elsevier, vol. 70(1), pages 261-290, January. [Downloadable!] (restricted)

    Cited by:

    1. Dimitris K. Christopoulos & Miguel Leon-Ledesma, 2008. "Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model," Studies in Economics 0802, Department of Economics, University of Kent. [Downloadable!]
      Other versions:
    2. Mª Victoria Esteban González & Susan Orbe Mandaluniz, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 200603, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
    3. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," BORRADORES DE ECONOMIA 003244, BANCO DE LA REPÚBLICA. [Downloadable!]
      Other versions:
    4. Vêlayoudom Marimoutou & Denis Peguin & Anne Peguin-Feissolle, 2009. "The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?," Post-Print hal-00389570_v1, HAL. [Downloadable!]
    5. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 29-46, June. [Downloadable!] (restricted)
    6. Kuethe, Todd H. & Foster, Kenneth A. & Florax, Raymond J.G.M., 2008. "A Spatial Hedonic Model with Time-Varying Parameters: A New Method Using Flexible Least Squares," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6306, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]

  28. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.

    Cited by:

    1. St-Amant, P. & Tessier, D., 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Working Papers 98-4, Bank of Canada. [Downloadable!]
    2. Jean-Marie Dufour & Tarek Jouini, 2005. "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers 2005s-06, CIRANO. [Downloadable!]
      Other versions:
    3. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
      Other versions:
    4. Christian Kascha, 2007. "A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models," Economics Working Papers ECO2007/12, European University Institute. [Downloadable!]
    5. Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2007. "Detección de raíces unitarias y cointegración mediante métodos de subespacios," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
    6. Lalonde, René & Page, Jennifer & St-Amant, Pierre, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Working Papers 98-21, Bank of Canada. [Downloadable!]
    7. Pedro Galeano & Daniel Peña, 2004. "Variance Changes Detection In Multivariate Time Series," Statistics and Econometrics Working Papers ws041305, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    8. George Athanasopoulos & Farshid Vahid, 2006. "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers 2/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    9. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers 10/07, Monash University, Department of Econometrics and Business Statistics, revised May 2009. [Downloadable!]

  29. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January. [Downloadable!] (restricted)

    Cited by:

    1. Theodoros Zachariadis & Nicoletta Pashourtidou, 2006. "An Empirical analysis of electricity consumption in Cyprus," University of Cyprus Working Papers in Economics 4-2006, University of Cyprus Department of Economics. [Downloadable!]
    2. Pedro José Pérez Vázquez, 2003. "Fuentes de variabilidad en las principales economías occidentales," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 565-591, September. [Downloadable!]
    3. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(17), pages 1253-1268, November. [Downloadable!] (restricted)
    4. Hugo Oliveros C., 1995. "Estaciones y Pruebas de Raíces Unitarias: Algunas Consideraciones Generales," BORRADORES DE ECONOMIA 002591, BANCO DE LA REPÚBLICA. [Downloadable!]
    5. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    6. Jérôme Henry & Jens Weidmann, 1995. "Asymmetry in the EMS revisited: Evidence from the Causality Analysis of Daily Eurorates," Annales d'Economie et de Statistique, ADRES, issue 40, pages 08, Octobre-D. [Downloadable!]
      Other versions:
    7. H. L"Utkepohl & J. Breitung, . "Impulse Response Analysis of Vector Autoregressive Processes," Sonderforschungsbereich 373 1996-86, Humboldt Universitaet Berlin.
    8. Bergman, Michael & Cheung, Yin-Wong & Lai, Kon S., 2000. "Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices," Working Papers 2000:4, Lund University, Department of Economics. [Downloadable!]
    9. A. F. Darrat & D. A. Yousef, 2004. "Fertility, human capital, and macroeconomic performance: long-term interactions and short-run dynamics," Applied Financial Economics, Taylor and Francis Journals, vol. 14(8), pages 537-554, May. [Downloadable!] (restricted)
    10. Hakan Berument & Nukhet Dogan & Aysit Tansel, 2008. "Macroeconomic Policy and Unemployment by Economic Activity: Evidence from Turkey," Working Papers 2008/7, Turkish Economic Association. [Downloadable!]
      Other versions:
    11. Céline Gauthier & Fuchun Li, 2005. "Linking real activity and financial markets: the first steps towards a small estimated model for Canada," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 253-72 Bank for International Settlements. [Downloadable!]
    12. Günter Coenen & Juan-Luis Vega, 1999. "The demand for M3 in the euro area," Working Paper Series 6, European Central Bank. [Downloadable!]
      Other versions:
    13. Fortenbery, T. Randall & Zapata, Hector O., 2004. "Developed Speculation and Under Developed Markets - The Role of Futures Trading on Export Prices in Less Developed Countries," Staff Paper Series 470, University of Wisconsin, Agricultural and Applied Economics. [Downloadable!]
    14. Mustafa Ismihan & Kivilcim Metin-Ozcan & Aysit Tansel, 2005. "The role of macroeconomic instability in public and private capital accumulation and growth: the case of Turkey 1963-1999," Applied Economics, Taylor and Francis Journals, vol. 37(2), pages 239-251, February. [Downloadable!] (restricted)
    15. Ghoshray, Atanu & Lloyd, Tim, 2003. "Price Linkages In The International Wheat Market," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25852, International Association of Agricultural Economists. [Downloadable!]
    16. Yeo, Junho & Ahn, Sung K. & Holland, David W., 2001. "Labor Market Behavior In Washington: A Cointegration Approach," 2001 Annual meeting, August 5-8, Chicago, IL 20614, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    17. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000. [Downloadable!]
      Other versions:
    18. Peter Hansen, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series 2000-17, Department of Economics, UC San Diego. [Downloadable!]
    19. Adam, Anokye M. & Tweneboah , George, 2008. "Do macroeconomic variables play any role in the stock market movement in Ghana?," MPRA Paper 9301, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    20. Marcelo Dabós & V. Hugo Juan- Ramón, 1998. "Real Exchange Rate Response to Capital Flows in Mexico: An Empirical Analysis," Working Papers 21, Universidad de San Andres, Departamento de Economia, revised Dec 1999. [Downloadable!]
    21. Gerd Hansen, 1996. "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(4), pages 675-689, December. [Downloadable!] (restricted)
    22. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor and Francis Journals, vol. 36(8), pages 817-838, May. [Downloadable!] (restricted)
    23. Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics. [Downloadable!]
    24. Selahattin Dibooglu, 1995. "Real Disturbances, Relative Prices, and Purchasing Power Parity," International Finance 9502002, EconWPA. [Downloadable!]
      Other versions:
    25. Celine Gauthier & Virginie Traclet, 2004. "Do Domestic Macroeconomic Factors Play a Role in Determining Long-Term Nominal Interest Rates? Application in the Case of a Small Open-Economy," Money Macro and Finance (MMF) Research Group Conference 2004 90, Money Macro and Finance Research Group. [Downloadable!]
    26. Marcelo de Paiva Abreu & Marcelo Cunha Medeiros & Rogério L.F. Werneck, 2003. "Formação de preços de commodities: padrões de vinculação dos preços internos ao externos," Textos para discussão 474, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    27. Amir Kia, 2006. "Deficits, Debt Financing, Monetary Policy and Inflation in Developing Countries: Internal or External Factors? Evidence from Iran," Carleton Economic Papers 06-03, Carleton University, Department of Economics. [Downloadable!]
    28. Yin-wong Cheung & Kon S. Lai & Michael Bergman, 2003. "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments," Working Papers 102003, Hong Kong Institute for Monetary Research. [Downloadable!]
      Other versions:
    29. Kate Phylaktis & Gikas Manalis, 2005. "Price transmission dynamics between informationally linked securities," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 187-201, February. [Downloadable!] (restricted)
    30. M.A.Hossain, 2001. "On Export-Led Growth: Is Manufacturing Exports a New Engine of Growth for Bangladesh?," Discussion Papers Series 297, School of Economics, University of Queensland, Australia. [Downloadable!]
    31. Dumitru, Ionut, 2002. "Money Demand in Romania," MPRA Paper 10629, University Library of Munich, Germany. [Downloadable!]
    32. Kyung Won Lee & James R Schmidt & George E. Rejda, 1999. "Unemployment Insurance And State Economic Activity," International Economic Journal, Korean International Economic Association, vol. 13(3), pages 77-95, October. [Downloadable!] (restricted)
    33. Céline Gauthier & Fu Chun Li, 2006. "Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model," Working Papers 06-42, Bank of Canada. [Downloadable!]
    34. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    35. Robledo, Carlos W. & Zapata, Hector O., 1999. "Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence," 1999 Annual meeting, August 8-11, Nashville, TN 21526, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    36. Lloyd, Tim & Morgan, Wyn & McCorriston, Steve & Rayner, Tony, 2003. "The Impact Of Food Scares On Price Transmission In Inter-Related Markets," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25904, International Association of Agricultural Economists. [Downloadable!]
    37. Yu, Tun-Hsiang Edward & Bessler, David A. & Fuller, Stephen, 2006. "Cointegration and Causality Analysis of World Vegetable Oil and Crude Oil Prices," 2006 Annual meeting, July 23-26, Long Beach, CA 21439, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    38. Zapata, Hector O. & Rambaldi, Alicia N., 1996. "Monte Carlo Evidence On Cointegration And Causation," Staff Papers 31690, Louisiana State University, Department of Agricultural Economics and Agribusiness. [Downloadable!]
      Other versions:
    39. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
      Other versions:
    40. Ivanov, Ventzislav & Kilian, Lutz, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers 2685, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    41. Morgan, Wyn & McCorriston, Steve, 2005. "Market Power and Relative Price Adjustment: Evidence from the UK," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24485, European Association of Agricultural Economists. [Downloadable!]
    42. Abul M. M. Masih & Rumi Masih, 1997. "Bivariate and Multivariate Tests of Money-Price Causality: Robust Evidence from a Small Developing Country," Journal of International Development, John Wiley & Sons, Ltd., vol. 9(6), pages 803-825.
    43. Juan de Dios Tena & César Salazar, 2008. "Explaining inflation and output volatility in Chile: an empirical analysis of forty years," Revista Cuadernos de Economía, UNIVERSIDAD NACIONAL DE COLOMBIA - RCE. [Downloadable!]
      Other versions:
    44. Miljkovic, Dragan, 2006. "U.S. and Canadian Livestock Prices: Market Integration and Trade Dependence," 2006 Annual meeting, July 23-26, Long Beach, CA 21396, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
      Other versions:
    45. MacDonald, Ronald & Marsh, Ian W, 1999. "Currency Spillovers and Tri-Polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen," CEPR Discussion Papers 2210, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    46. Zapata, T. Randall Fortenbery & Armstrong, Delroy, 2005. "Price Discovery in the World Sugar Futures and Cash Markets: Implications for the Domincan Republic," Staff Paper Series 469, University of Wisconsin, Agricultural and Applied Economics. [Downloadable!]
    47. Kyungho Jang & Masao Ogaki, 2001. "The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Working Papers 01-02, Ohio State University, Department of Economics. [Downloadable!]
      Other versions:
    48. Rumi Masih & A. Mansur Masih, 2004. "Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras," European Journal of Finance, Taylor and Francis Journals, vol. 10(1), pages 81-104, February. [Downloadable!] (restricted)
    49. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(3), pages 454-479, September. [Downloadable!] (restricted)
    50. Osei, Robert & Morrissey, Oliver & Lloyd, Tim, 2005. "The Fiscal Effects of Aid in Ghana," Working Papers RP2005/61, World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
      Other versions:
    51. Catherine Bruneau & Eric Jondeau, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annales d'Economie et de Statistique, ADRES, issue 54, pages 02, Avril-Jui. [Downloadable!]
    52. Lloyd, Tim & McCorriston, S. & Morgan, C.W. & Rayner, A.J., 2001. "The Impact Of Food Scares On Beef And Inter-Related Markets," 2001 Annual meeting, August 5-8, Chicago, IL 20578, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    53. Mustafa Ismihan & Kivilcim Metin-Özcan & Aysit Tansel, 2002. "Macroeconomic instability, capital accumulation and growth: The case of Turkey 1963-1999," ERC Working Papers 0204, ERC - Economic Research Center, Middle East Technical University, revised Apr 2002. [Downloadable!]
      Other versions:
    54. Hugo Oliveros, . "Estacionalidad y Pruebas de Raíces Unitarias:Algunas Consideraciones Generales," Borradores de Economia 040, Banco de la Republica de Colombia. [Downloadable!]
    55. H. L"Utkepohl & P. Saikkonen, . "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," Sonderforschungsbereich 373 1995-11, Humboldt Universitaet Berlin.
      Other versions:
    56. Awokuse, Titus O., 2005. "Impact of Macroeconomic Policies on Agricultural Prices," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 34(2), October. [Downloadable!]
    57. Giugale, Marcelo & Korobow, Adam, 2000. "Shock persistence and the choice of foreign exchange regime - an empirical note from Mexico," Policy Research Working Paper Series 2371, The World Bank. [Downloadable!]
    58. Naka, Atsuyuki & Mukherjee, Tarun K. & Tufte, David R., 1998. "Macroeconomic variables and the performance of the Indian Stock Market," Working Papers 1998-06, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    59. Vitale, Jeffrey & Bessler, David, 2006. "The 2004 Niger Food Crisis: What Role Can Price Discovery Play in Famine Early Warning Systems?," 2006 Annual meeting, July 23-26, Long Beach, CA 21316, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    60. Yu, Tun-Hsiang Edward & Bessler, David A. & Fuller, Stephen W., 2004. "Analysis Of Dynamic Interrelationships Between Transportation Rates And Grain Prices," 2004 Annual meeting, August 1-4, Denver, CO 20339, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    61. P.J.G. Vlaar & H. Schuberth, 1999. "Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach," DNB Staff Reports (discontinued) 36, Netherlands Central Bank. [Downloadable!]
      Other versions:

  30. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Granger-causality in cointegrated VAR processes The case of the term structure," Economics Letters, Elsevier, vol. 40(3), pages 263-268, November. [Downloadable!] (restricted)

    Cited by:

    1. Francisco J. Climent & Vicente Meneu, . "Has 1997 Asian Crisis Increased Information Flows Between International Markets?," Working Papers on International Economics and Finance 01-01, FEDEA. [Downloadable!]
      Other versions:
    2. Francisco Climent Diranzo & Robert Meneu Gaya, . "Relaciones de equilibrio entre demografía y crecimiento económico en España," Studies on the Spanish Economy 163, FEDEA. [Downloadable!]
    3. Albert Solé-Ollé & Pilar Sorribas-Navarro, 2009. "The dinamic adjustment of local government budgets: does Spain behave differently?," Working Papers 2009/7, Institut d'Economia de Barcelona (IEB). [Downloadable!]
    4. Itai Agur, 2007. "The US Trade Deficit, the Decline of the WTO and the Rise of Regionalism," Economics Working Papers ECO2007/17, European University Institute. [Downloadable!]
      Other versions:
    5. Colin Simkin, 1998. "About Economic Inequality," Working Papers 9803, University of Sydney, Department of Economics. [Downloadable!]
    6. Albert Sole-Olle & Pilar Sorribas-Navarro, 2009. "The dynamic adjustment of local government budgets: Does Spain Behave differently?," Working Papers in Economics 226, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]

  31. Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-25, February. [Downloadable!] (restricted)

    Cited by:

    1. Guidi, Francesco, 2009. "The economic effects of oil prices shocks on the UK manufacturing and services sector," MPRA Paper 16171, University Library of Munich, Germany. [Downloadable!]
    2. Shinji Takagi & Mototsugu Shintani & Tetsuro Okamoto, 2003. "Measuring the Economic Impact of Monetary Union: The Case of Okinawa," Working Papers 0315, Department of Economics, Vanderbilt University. [Downloadable!]
      Other versions:
    3. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    4. GONÇALVES, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    5. Fanelli, Luca & Paruolo, Paolo, 2007. "Speed of Adjustment in Cointegrated Systems," MPRA Paper 9174, University Library of Munich, Germany. [Downloadable!]
    6. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group. [Downloadable!]
    7. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    8. Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics. [Downloadable!]
    9. Francisco J. Climent & Vicente Meneu, . "Has 1997 Asian Crisis Increased Information Flows Between International Markets?," Working Papers on International Economics and Finance 01-01, FEDEA. [Downloadable!]
      Other versions:
    10. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The macroeconomy and the yield curve: a nonstructural analysis," Working Papers in Applied Economic Theory 2003-18, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    11. Kyung Won Lee & James R Schmidt & George E. Rejda, 1999. "Unemployment Insurance And State Economic Activity," International Economic Journal, Korean International Economic Association, vol. 13(3), pages 77-95, October. [Downloadable!] (restricted)
    12. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:
    13. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    14. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    15. Bruneau, C. & Jondeau, E., 1998. "Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates," Documents de Travail 53, Banque de France. [Downloadable!]
    16. Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers 1085, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    17. Villani, Mattias & Warne, Anders, 2003. "Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs," Working Paper Series 156, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
      Other versions:
    18. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics. [Downloadable!]
    19. H. L"Utkepohl & P. Saikkonen, . "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," Sonderforschungsbereich 373 1995-11, Humboldt Universitaet Berlin.
      Other versions:
    20. H. Lütkepohl, . "Bootstrapping Impulse Responses in VAR Analyses," Sonderforschungsbereich 373 2000-22, Humboldt Universitaet Berlin.

  32. Lutkepohl, H, 1989. "The Stability Assumption in Tests of Causality between Money and Income," Empirical Economics, Springer, vol. 14(2), pages 139-50.

    Cited by:

    1. Serena Ng & Timothy J. Vogelsang, 1997. "Analysis of Vector Autoregressions in the Presence of Shifts in Mean," Boston College Working Papers in Economics 379, Boston College Department of Economics. [Downloadable!]
      Other versions:

  33. Lutkepohl, Helmut, 1989. "A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals," Journal of Econometrics, Elsevier, vol. 42(3), pages 371-376, November. [Downloadable!] (restricted)

    Cited by:

    1. Berger, Helge & Österholm, Pär, 2007. "Does Money Growth Granger-Cause Inflation in the Euro Area? Evidence from Out-of-Sample Forecasts Using Bayesian VARs," Working Paper Series 2007:30, Uppsala University, Department of Economics. [Downloadable!]
      Other versions:

  34. Lutkepohl, Helmut, 1986. "Forecasting Vector ARMA Processes with Systematically Missing Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(3), pages 375-90, July.

    Cited by:

    1. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
      Other versions:
    2. H. Lütkepohl, . "Forecasting Cointegrated VARMA Processes," Sonderforschungsbereich 373 1999-68, Humboldt Universitaet Berlin.
    3. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]

  35. Lutkepohl, Helmut, 1985. "The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions," Economics Letters, Elsevier, vol. 17(1-2), pages 103-106. [Downloadable!] (restricted)

    Cited by:

    1. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
      Other versions:
    2. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]

  36. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December. [Downloadable!] (restricted)

    Cited by:

    1. Pesaran, M. H., 1999. "On Aggregation of Linear Dynamic Models," Cambridge Working Papers in Economics 9919, Faculty of Economics, University of Cambridge. [Downloadable!]
    2. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation, Yale University, revised Aug 1989. [Downloadable!]
      Other versions:
    3. K. Hubrich, 2001. "Forecasting euro area inflation: Does contemponaneous aggregration improve the forecasting performance," WO Research Memoranda (discontinued) 661, Netherlands Central Bank, Research Department. [Downloadable!]
    4. H. Lütkepohl, . "Forecasting Cointegrated VARMA Processes," Sonderforschungsbereich 373 1999-68, Humboldt Universitaet Berlin.
    5. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]

  37. Lutkepohl, Helmut, 1984. "The Optimality of Rational Distributed Lags: A Comment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 503-06, June. [Downloadable!] (restricted)

    Cited by:

    1. Franz Wirl, 1991. "Dynamic demand and noncompetitive pricing strategies," Journal of Economics, Springer, vol. 54(3), pages 227-249, October. [Downloadable!] (restricted)

  38. Lutkepohl, Helmut, 1984. "Forecasting Contemporaneously Aggregated Vector ARMA Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 201-14, July.

    Cited by:

    1. Kirstin Hubrich & Kenneth D. West, 2009. "Forecast evaluation of small nested model sets," Working Paper Series 1030, European Central Bank. [Downloadable!]
      Other versions:
    2. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    3. George Athanasopoulos & Roman A. Ahmed & Rob J. Hyndman, 2007. "Hierarchical forecasts for Australian domestic tourism," Monash Econometrics and Business Statistics Working Papers 12/07, Monash University, Department of Econometrics and Business Statistics, revised Nov 2007. [Downloadable!]
      Other versions:
    4. Fatih Ozatay, 1993. "Forecasting Contemporaneously Aggregated Variables Using Granger-Causal Variables," Discussion Papers 9302, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
    5. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    6. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. H. Lütkepohl, . "Forecasting Cointegrated VARMA Processes," Sonderforschungsbereich 373 1999-68, Humboldt Universitaet Berlin.

  39. Lutkepohl, Helmut, 1982. "Non-causality due to omitted variables," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 367-378, August. [Downloadable!] (restricted)

    Cited by:

    1. Theodoros Zachariadis & Nicoletta Pashourtidou, 2006. "An Empirical analysis of electricity consumption in Cyprus," University of Cyprus Working Papers in Economics 4-2006, University of Cyprus Department of Economics. [Downloadable!]
    2. Nasim Shah Shirazi & Turkhan Ali Abdul Manap, 2004. "Exports and Economic Growth Nexus: The Case of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 563-581. [Downloadable!]
    3. Charles Goodhart & Lavan Mahadeva & John Spicer, 2003. "Monetary policy's effects during the financial crises in Brazil and Korea," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 55-79. [Downloadable!]
    4. Giorgio Bodo & Roberto Golinelli & Giuseppe Parigi, 2000. "Forecasting Industrial Production in the Euro Area," Temi di discussione (Economic working papers) 370, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    5. Darrat A. F. & Lopez F. A., 1989. "Has Inflation Uncertainty Hampered Economic Growth In Latin America?," International Economic Journal, Korean International Economic Association, vol. 3(2), pages 1-15, June. [Downloadable!] (restricted)
    6. Ali F. Darrat, 1999. "Are Financial Deepending And Economic Growth Causally Related? Another Look At The Evidence," International Economic Journal, Korean International Economic Association, vol. 13(3), pages 19-35, October. [Downloadable!] (restricted)
    7. Theodoros Zachariadis, 2006. "On the exploration of casual relationship between energy and economy," University of Cyprus Working Papers in Economics 5-2006, University of Cyprus Department of Economics. [Downloadable!]
    8. Naci H. Mocan, 1991. "Business Cycles and Fertility Dynamics in the U.S.: A Vector-Autoregressive Model," NBER Working Papers 3177, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Benjamin Cheng, 1999. "Cointegration and causality between fertility and female labor participation in Taiwan: A multivariate approach," Atlantic Economic Journal, International Atlantic Economic Society, vol. 27(4), pages 422-434, December. [Downloadable!] (restricted)
    10. Imke Brüggemann & Dieter Nautz, 1997. "Money growth volatility and the demand for money in Germany: Friedman’s volatility hypothesis revisited," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(3), pages 523-537, September. [Downloadable!] (restricted)
    11. Okey, Mawussé Komlagan Nézan, 2009. "Consommation d’énergies et croissance du PIB dans les pays de l’UEMOA : Une analyse en données de panel
      [Energy consumption and GDP growth in WAEMU countries : A panel data analysis]      ," MPRA Paper 15521, University Library of Munich, Germany, revised 02 Jun 2009. [Downloadable!]
    12. Juncal Cunado & Fernando Pérez de Gracia, 2004. "Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries," Faculty Working Papers 06/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    13. H. Atesoglu & Donald Dutkowsky, 1992. "The changing effect of money on aggregate output in the u.s," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 128(2), pages 221-236, June. [Downloadable!] (restricted)
    14. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research Department. [Downloadable!]
    15. Theodore Joyce & Michael Grossman, 1991. "The Dynamic Relationship between Low Birthweight and Induced Abortion in New York City: An Aggregate Time-Series Analysis," NBER Working Papers 3211, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    16. Iqbal, Javed & Nadeem, Khurram, 2006. "Exploring the causal relationship among social, real, monetary and infrastructure development in Pakistan," MPRA Paper 3267, University Library of Munich, Germany. [Downloadable!]
    17. Ali F. Darrat & Salah S. Abosedra & Hassan Y. Aly, 2005. "Assessing the role of financial deepening in business cycles: the experience of the United Arab Emirates," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 447-453, April. [Downloadable!] (restricted)

  40. Lutkepohl, Helmut, 1981. "A model for non-negative and non-positive distributed lag functions," Journal of Econometrics, Elsevier, vol. 16(2), pages 211-219, June. [Downloadable!] (restricted)

    Cited by:

    1. Muhammad Akmal, 1994. "The Production and Consumption of Livestock Foods in Pakistan: A Look into the Future," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 33(1), pages 19-39. [Downloadable!]
    2. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]

Chapters

  1. Lutkepohl, Helmut, 2006. "Forecasting with VARMA Models," Handbook of Economic Forecasting, Elsevier. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.Sorry, no citations of chapters recorded.

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