Helmut Luetkepohl

European University Institute

Professor

Villa San Paulo

Via della Piazzola 43

I-50133 Firenze

Italy

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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Top 7,484

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13

CROSSREF CITATIONS

164

Scholarly Papers (16)

1.

The Role of the Log Transformation in Forecasting Economic Variables

CESifo Working Paper Series No. 2591
Number of pages: 32 Posted: 25 Mar 2009
Helmut Luetkepohl and Fang Xu
European University Institute and European University Institute
Downloads 235 (159,962)

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autoregressive moving average process, forecast mean squared error, instantaneous transformation, integrated process, heteroskedasticity

2.

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis

CESifo Working Paper Series No. 2407
Number of pages: 20 Posted: 03 Oct 2008
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Faculty of Social Sciences and European University Institute
Downloads 210 (178,073)
Citation 10

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cointegration, Markov regime switching model, vector error correction model, structural vector autoregression, mixed normal distribution

3.

The Transmission of German Monetary Policy in the Pre-Euro Period

Number of pages: 25 Posted: 29 Nov 2001
Helmut Luetkepohl and Jürgen Wolters
European University Institute and Free University of Berlin (FUB)
Downloads 176 (208,681)

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Cointegration Analysis, Impulse Response Analysis,

4.

Structural Vector Autoregressions with Nonnormal Residuals

CESifo Working Paper Series No. 1651
Number of pages: 30 Posted: 23 Feb 2006
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Faculty of Social Sciences and European University Institute
Downloads 148 (241,433)
Citation 2

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mixture normal distribution, cointegration, vector autoregressive process, vector error correction model, impulse responses

5.

Identifying Monetary Policy Shocks Via Changes in Volatility

CESifo Working Paper Series No. 1744
Number of pages: 26 Posted: 14 Jul 2006
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Faculty of Social Sciences and European University Institute
Downloads 111 (299,642)
Citation 5

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monetary policy, structural vector autoregressive analysis, vector autoregressive

6.

The Role of Log Transformation in Forecasting Economic Variables

European University Institute Max Weber Programme Working Paper No. MWP 2009/6
Number of pages: 31 Posted: 14 Nov 2009
Helmut Luetkepohl and Fang Xu
European University Institute and European University Institute
Downloads 61 (427,428)
Citation 3

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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

7.

Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels Versus Logs of the Underlying Price Index

EUI Max Weber Programme Working Paper No. 2009/37
Number of pages: 32 Posted: 14 Nov 2009
Helmut Luetkepohl and Fang Xu
European University Institute and European University Institute
Downloads 58 (438,118)

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Autoregressive moving average process, forecast mean squared error, log transformation, seasonally integrated process, seasonal dummy variables

8.

Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights

CESifo Working Paper Series No. 3031
Number of pages: 38 Posted: 02 May 2010
Helmut Luetkepohl
European University Institute
Downloads 52 (460,357)

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forecasting, stochastic aggregation, autoregression, moving average, vector autoregressive process

9.

Comparison of Unit Root Tests for Time Series with Level Shifts

Number of pages: 19 Posted: 14 Feb 2003
Markku Lanne, Helmut Luetkepohl and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences, European University Institute and University of Helsinki - Department of Statistics
Downloads 25 (593,640)
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10.

Practical Problems with Reduced-Rank Ml Estimators for Cointegration Parameters and a Simple Alternative

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 5, pp. 673-690, October 2005
Number of pages: 18 Posted: 05 Nov 2005
Ralf Brüggemann and Helmut Luetkepohl
University of Konstanz - Department of Economics and European University Institute
Downloads 23 (606,907)
Citation 3
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11.

Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance

CEPR Discussion Paper No. 5912
Number of pages: 28 Posted: 29 Dec 2006
Elena Argentesi, Helmut Luetkepohl and Massimo Motta
University of Bologna - Department of Economics, European University Institute and Universitat Pompeu Fabra
Downloads 16 (655,643)
Citation 1
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Behavioural economics, time-series econometrics, empirical finance, newspapers

12.

Testing for the Co-integrating Rank of a VAR Process with Level Shift and Trend Break

Journal of Time Series Analysis, Vol. 29, Issue 2, pp. 331-358, March 2008
Number of pages: 28 Posted: 29 Feb 2008
Carsten Trenkler, Pentti Saikkonen and Helmut Luetkepohl
University of Mannheim, University of Helsinki - Department of Statistics and European University Institute
Downloads 13 (677,899)
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13.

A Review of Systems Cointegration Tests

Econometric Reviews, Vol. 20, No. 3, pp. 247-318, 2001
Posted: 09 Feb 2005
Kirstin Hubrich, Helmut Luetkepohl and Pentti Saikkonen
Board of Governors of the Federal Reserve System, European University Institute and University of Helsinki - Department of Statistics

Abstract:

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Systems cointegration tests, LR tests, nonparametric tests, asymptotic power, small sample simulations

14.

Estimating the Kronecker Indices of Cointegrated Echelon-Form Varma Models

Posted: 05 Apr 1999
Holger Bartel and Helmut Luetkepohl
Humboldt University of Berlin and European University Institute

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15.

A Money Demand System for German M3

Posted: 29 Sep 1998
Helmut Luetkepohl and Jürgen Wolters
European University Institute and Free University of Berlin (FUB)

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16.

Investigating Stability and Linearity of a German M1 Money Demand Function

WPS64-8/95
Posted: 22 Apr 1998
Helmut Luetkepohl, Timo Teräsvirta and Jürgen Wolters
European University Institute, Stockholm School of Economics - Department of Economics and Free University of Berlin (FUB)

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