WorldCat Identities

Lütkepohl, Helmut

Overview
Works: 233 works in 560 publications in 4 languages and 5,556 library holdings
Genres: Textbooks 
Roles: Author, Editor, Other, Redactor, Honoree
Publication Timeline
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Most widely held works by Helmut Lütkepohl
New introduction to multiple time series analysis by Helmut Lütkepohl( )

45 editions published between 2005 and 2007 in 3 languages and held by 1,126 WorldCat member libraries worldwide

Heavily revised version of author's: Introduction to multiple time series analysis, 1991
Applied time series econometrics by Helmut Lütkepohl( )

30 editions published between 2004 and 2009 in English and held by 1,002 WorldCat member libraries worldwide

Time series econometrics is a rapidly evolving field. This volume attempts to cover the full range of methods in current use & to explain how to proceed in applied domains
Handbook of matrices by Helmut Lütkepohl( )

13 editions published between 1996 and 1997 in English and held by 850 WorldCat member libraries worldwide

Matrices are used in many areas including statistics, natural sciences, econometrics, maths & engineering. This book provides a collection of results for easy reference in one source, along with a comprehensive dictionary of matrices & related terms
Introduction to multiple time series analysis by Helmut Lütkepohl( Book )

29 editions published between 1990 and 1993 in 3 languages and held by 763 WorldCat member libraries worldwide

Manual que analiza las series temporales múltiples, centrándose en los modelos y métodos, e incluyendo vector autoregresivo, procesos periódicos y sistemas dinámicos de ecuaciones
Forecasting aggregated vector ARMA processes by Helmut Lütkepohl( Book )

12 editions published in 1987 in English and held by 307 WorldCat member libraries worldwide

This study is concerned with forecasting time series variables and the impact of the level of aggregation on the efficiency of the forecasts. Since temporally and contemporaneously disaggregated data at various levels have become available for many countries, regions, and variables during the last decades the question which data and procedures to use for prediction has become increasingly important in recent years. This study aims at pointing out some of the problems involved and at pro­ viding some suggestions how to proceed in particular situations. Many of the results have been circulated as working papers, some have been published as journal articles, and some have been presented at conferences and in seminars. I express my gratitude to all those who have commented on parts of this study. They are too numerous to be listed here and many of them are anonymous referees and are therefore unknown to me. Some early results related to the present study are contained in my monograph "Prognose aggregierter Zeitreihen" (Lutkepohl (1986a)) which was essentially completed in 1983. The present study contains major extensions of that research and also summarizes the earlier results to the extent they are of interest in the context of this study
Readings in econometric theory and practice : a volume in honor of George Judge by William E Griffiths( Book )

12 editions published between 1992 and 2015 in English and held by 302 WorldCat member libraries worldwide

This volume honors George Judge and his many, varied and outstanding contributions to econometrics, statistics, mathematical programming and spatial equilibrium modeling. The papers are grouped into four parts, each part representing an area in which Professor Judge has made a significant contribution. The authors have all benefited in some way, directly or indirectly, through an association with George Judge and his work. The three papers in Part I are concerned with various aspects of pre-test and Stein-rule estimation. Part II contains applications of Bayesian methodology, new developments
Money demand in Europe by Helmut Lütkepohl( Book )

17 editions published in 1999 in English and German and held by 210 WorldCat member libraries worldwide

In 1999 a number of member states of the European Union will adopt a common currency. This change in the monetary system requires that a Eur opean Central Bank is set up and a common monetary policy is pursued. There is general agreement among those countries which are likely to join the common currency that price level stability has to be the ultimate objec tive of monetary po1icy. It is an open issue, however, what kind of policy is best suited for that purpose. The alternative strategies under discussion are a direct inflation targeting, an intermediate monetary targeting or a mixture of both. For these policy strategies a stable money demand relation is of cen tral importance. Therefore a workshop on Money Demand in Europe was organized at the Humboldt University in Berlin on October 10/11, 1997. This research conference brought together academic and central bank econo mists and econometricians predominantly from Europe to discuss issues on specification, estimation and, in particular, stability of money demand rela tions both in a single equation and in a systems framework. In this volume revised versions of the papers presented and discussed at the workshop are collected. The volume thereby gives an overview of money demand analysis in Europe on the eve of the introduction of the Euro in some European countries. It contributes to the discussion on a suitable monetary policy for the new European Central Bank
Structural vector autoregressive analysis by Lutz Kilian( Book )

10 editions published in 2017 in English and held by 124 WorldCat member libraries worldwide

"Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices and methods of estimating and evaluating structural VAR models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers." -- from the rear cover
Prognose aggregierter Zeitreihen by Helmut Lütkepohl( Book )

3 editions published in 1986 in German and held by 56 WorldCat member libraries worldwide

Introduction to the theory and practice of econometrics by George G Judge( Book )

2 editions published between 1982 and 1988 in English and held by 56 WorldCat member libraries worldwide

Analisi: ECONOMETRIA. Applicata. Matematica. Teoria. MANUALI. Altri
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems by A Benkwitz( Book )

9 editions published in 1999 in English and held by 36 WorldCat member libraries worldwide

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical properties. These problems are illustrated using two German monetary systems. Proposals are made for improving current practice. Special emphasis is placed on systems with cointegrated variables. -- monetary policy ; bootstrap ; impulse response ; money demand system
An alternative approach to univariate and multivariate time series analysis by Helmut Lütkepohl( Book )

4 editions published in 1981 in English and held by 36 WorldCat member libraries worldwide

Der dritte Hauptsatz der Wohlfahrtstheorie. Stabilität der Geldnachfrage in der Bundesrepublik Deutschland / Helmut Lütkepohl by Urs Schweizer( Book )

1 edition published in 1998 in German and held by 34 WorldCat member libraries worldwide

Econometric studies : a festschrift in honour of Joachim Frohn( Book )

2 editions published in 2001 in English and held by 28 WorldCat member libraries worldwide

The transmission of German monetary policy in the pre-euro period by Helmut Lütkepohl( Book )

6 editions published in 2001 in English and held by 26 WorldCat member libraries worldwide

Forecasting Aggregated Time Series Variables : a Survey by Helmut Lütkepohl( )

6 editions published between 2009 and 2010 in English and held by 25 WorldCat member libraries worldwide

Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained fi rst and then these forecasts may be aggregated. A number of forecasts are presented and compared. Classical theoretical results on the relative effi ciencies of different forecasts are reviewed and some complications are discussed which invalidate the theoretical results. Contemporaneous as well as temporal aggregation are considered. JEL classifi cation : C22, C32 Key Words : Autoregressive moving-average process, contemporaneous aggregation, temporal aggregation, vector autoregressive moving-average process
The role of the log transformation in forecasting economic variables by Helmut Lütkepohl( Book )

6 editions published in 2009 in English and held by 17 WorldCat member libraries worldwide

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the original series are compared to forecasts based on logs. It is found that it depends on the data generation process whether the former or the latter are preferable. For a range of economic variables substantial forecasting improvements from taking logs are found if the log transformation actually stabilizes the variance of the underlying series. Using logs can be damaging for the forecast precision if a stable variance is not achieved. -- Autoregressive moving average process ; forecast mean squared error ; instantaneous transformation ; integrated process ; heteroskedasticity
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity by Helmut Lütkepohl( )

9 editions published between 2014 and 2016 in English and held by 17 WorldCat member libraries worldwide

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility for checking long-run identifying restrictions in structural VAR analysis is illustrated by reconsidering models for identifying fundamental components of stock prices
Forecasting nonlinear aggregates and aggregates with time-varying weights by Helmut Lütkepohl( Book )

8 editions published in 2010 in English and held by 17 WorldCat member libraries worldwide

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are timevarying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a framework for nonlinear contemporaneous aggregation with possibly stochastic or time-varying weights is developed and different predictors for an aggregate are compared theoretically as well as with simulations. Two examples based on European unemployment and inflation series are used to illustrate the virtue of the theoretical setup and the forecasting results
Confidence bands for impulse responses Bonferroni versus Wald by Helmut Lütkepohl( )

7 editions published in 2014 in English and held by 16 WorldCat member libraries worldwide

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic distribution possibly constructed with bootstrap methods in the frequentist framework often individual confidence intervals or credibility sets are simply connected to obtain the bands. Such bands are known to be too narrow and have a joint confidence content lower than the desired one. If instead the joint distribution of the impulse response coefficients is taken into account and mapped into the band it is shown that such a band is typically rather conservative. It is argued that a smaller band can often be obtained by using the Bonferroni method. While these considerations are equally important for constructing forecast bands, we focus on the case of impulse responses in this study
 
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Applied time series econometrics
Covers
Applied time series econometricsHandbook of matricesIntroduction to multiple time series analysisForecasting aggregated vector ARMA processesMoney demand in EuropeIntroduction to the theory and practice of econometrics
Alternative Names
Helmut Lütkepohl deutscher Ökonom

Helmut Lütkepohl Duits econoom

Helmut Lütkepohl economista alemán

Helmut Lütkepohl German econometrician

Helmut Lütkepohl tysk ekonom

Helmut Lütkepohl tysk økonom

Luetkepohl, Helmut 1951-

Lütkepohl, H.

Lütkepohl, H. 1951-

Lütkepohl, H. (Helmut)

Lütkepohl, H. (Helmut), 1951-

Lütkepohl, Helmut

Lutkepohl, Helmut, 1951-

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