Helmut Lütkepohl

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Helmut Lütkepohl is affiliated with the following schools: Humboldt University of Berlin, European University Institute, Kiel University, Free University of Berlin, Bielefeld University, University of Bonn

Helmut Lütkepohl's AcademicInfluence.com Rankings

Helmut Lütkepohl

Economics

#1172

World Rank

#1362

Historical Rank

Econometrics

#34

World Rank

#35

Historical Rank

economics Degrees

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Economics

Helmut Lütkepohl's Degrees

PhD Economics University of Bonn

Why Is Helmut Lütkepohl Influential?

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According to Wikipedia, Helmut Lütkepohl is a German econometrician specializing in time series analysis. Since January 2012, he has been Bundesbank Professor in the field of "Methods of Empirical Economics" at the Free University of Berlin and Dean of the Graduate Center at the German Institute for Economic Research.

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Helmut Lütkepohl's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Introduction to multiple time series analysis (1991) (1286)
Making Wald Tests Work for Cointegrated Var Systems (1996) (871)
Applied Time Series Econometrics (2004) (643)
Non-causality due to omitted variables (1982) (551)
Impulse response analysis of cointegrated systems (1992) (484)
Comparison of unit root tests for time series with level shifts (2002) (356)
COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS (1985) (332)
Testing for the Cointegrating Rank of a VAR Process With Structural Shifts (2000) (301)
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models (1990) (260)
Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process (2001) (258)
Structural vector autoregressive analysis for cointegrated variables (2006) (249)
The role of the log transformation in forecasting economic variables (2009) (244)
Introduction to the Theory and Practice (1988) (239)
Structural Vector Autoregressive Modeling and Impulse Responses (2004) (210)
Vector Autoregressive Models (2011) (200)
Structural Vector Autoregressions with Markov Switching (2010) (199)
Vector Autoregressive and Vector Error Correction Models (2004) (189)
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time (2003) (152)
Forecasting aggregated vector ARMA processes (1987) (151)
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models (2001) (146)
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (2004) (136)
COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS (2001) (133)
A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001) (128)
Forecasting Contemporaneously Aggregated Vector ARMA Processes (1984) (127)
Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System (2000) (127)
Investigating Stability and Linearity of a German M1 Money Demand Function (1999) (121)
Testing for Causation Between Two Variables in Higher-Dimensional VAR Models (1993) (117)
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks (2014) (116)
Testing for the Cointegrating Rank of a VAR Process with a Time Trend (2000) (116)
Granger-causality in cointegrated VAR processes The case of the term structure (1992) (114)
Linear transformations of vector ARMA processes (1984) (114)
Modified wald tests under nonregular conditions (1997) (100)
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT (2000) (96)
Specification of Echelon-Form VARMA Models (1996) (94)
Impulse response analysis in infinite order cointegrated vector autoregressive processes (1997) (92)
General-to-Specific or Specific-to-General Modelling? An Opinion on Current Econometric Terminology (2007) (89)
Order Selection in Testing for the Cointegrating Rank of a VAR Process (1997) (76)
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models (1991) (64)
Analysis of cointegrated VARMA processes (1997) (62)
Testing for Causation Using Infinite Order Vector Autoregressive Processes (1996) (61)
Impulse Response Function (2010) (61)
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS (1999) (61)
Practical Problems with Reduced-Rank Ml Estimators for Cointegration Parameters and a Simple Alternative (2005) (60)
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break (2008) (59)
Residual autocorrelation testing for vector error correction models (2006) (58)
A money demand system for German M3 (1998) (58)
Infinite-Order Cointegrated Vector Autoregressive Processes (1996) (57)
Comparison of tests for the cointegrating rank of a VAR process with a structural shift (2003) (55)
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS: SVAR ANALYSIS OF CRUDE OIL MARKET (2014) (50)
Forecasting Aggregated Time Series Variables: A Survey (2011) (47)
A small monetary system for the euro area based on German data (2006) (47)
Towards a new early warning system of financial crises (2002) (46)
Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference (1994) (43)
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals (1989) (43)
Chapter 6 Forecasting with VARMA Models (2006) (40)
Trend Adjustment Prior to Testing for the Cointegrating Rank of a VAR Process (1997) (40)
Unit root tests for time series with level shifts: a comparison of different proposals (2002) (38)
The sources of the U.S. money demand instability (1993) (38)
Money Demand in Europe (1999) (35)
A review of systemscointegration tests (1998) (35)
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights (2010) (32)
Specification of varying coefficient time series models via generalized flexible least squares (1996) (31)
Structural Vector Autoregressions: Checking Identifying Long‐Run Restrictions via Heteroskedasticity (2014) (30)
Problems Related to Bootstrapping Impulse Responses of Autoregressive Processes (1997) (30)
Comparison of predictors for temporally and contemporaneously aggregated time series (1986) (30)
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process (1988) (30)
Recent Advances in Cointegration Analysis (2004) (29)
Impulse Response Analysis of Vector Autoregressive Processes (1996) (29)
Testing for unit roots in time series with level shifts (2001) (29)
Comparison of Model Reduction Methods for VAR Processes (2002) (28)
Testing for Identification in SVAR-GARCH Models (2016) (28)
Structural vector autoregressions with smooth transition in variances (2017) (28)
Does the Box-Cox transformation help in forecasting macroeconomic time series? (2013) (28)
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA (1982) (28)
Forecasting euro area variables with German pre-EMU data (2008) (24)
Fundamental Problems with Nonfundamental Shocks (2012) (24)
Forecasting levels of log variables in vector autoregressions (2011) (24)
A model for non-negative and non-positive distributed lag functions (1981) (23)
Linear aggregation of vector autoregressive moving average processes (1984) (23)
Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model (1998) (21)
Forecasting temporally aggregated vector ARMA processes (1986) (20)
Consistent Specification of Cointegrated Autoregressive Moving-Average Systems (1995) (19)
Econometric studies : a festschrift in honour of Joachim Frohn (2001) (17)
Choosing between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis (2018) (16)
Unit root tests for time series with a structural break when the break point is known (1999) (16)
Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (2006) (16)
Prediction tests for structural stability (1988) (15)
Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models (2018) (15)
Bootstrapping impulse responses in VAR analyses (2000) (15)
Vector autoregressive analysis (1999) (15)
Multivariate volatility analysis of VW stock prices (2000) (14)
The Relation between Monetary Policy and the Stock Market in Europe (2018) (14)
Forecasting Cointegrated VARMA Processes (1999) (14)
The stability assumption in tests of causality between money and income (1989) (14)
Vector Error Correction Models (2005) (13)
Forecasting Vector ARMA Processes with Systematically Missing Observations (1986) (13)
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights (2013) (12)
Confidence Bands for Impulse Responses (2014) (12)
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions (1985) (12)
Testing for nonzero impulse responses in vector autoregressive processes (1996) (11)
Prediction Tests for Structural Stability of Multiple Time Series (1989) (11)
Estimation of structural vector autoregressive models (2017) (11)
Reducing confidence bands for simulated impulse responses (2012) (11)
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity (2017) (11)
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified Through GARCH (2018) (10)
Stable Vector Autoregressive Processes (1991) (10)
A money demand system for M3 in the unified Germany (1997) (10)
Constructing joint confidence bands for impulse response functions of VAR models – A review (2020) (9)
Testing for Multi-Step Causality in Time Series (1994) (9)
Problems Related to Over-Identifying Restrictions for Structural Vector Error Correction Models (2008) (9)
Applied Time Series Econometrics: Preface (2004) (9)
Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis (2017) (8)
Prediction of temporally aggregated systems involving both stock and flow variables (1989) (8)
A lag augmentation test for the cointegrating rank of a VAR process (1999) (8)
VAR Order Selection and Checking the Model Adequacy (2005) (7)
Structural Vector Autoregressions (2014) (6)
Discounted polynomials for multiple time series model building (1982) (5)
Money demand in Europe: Editors' preface (1998) (5)
VAR Processes with Parameter Constraints (1991) (5)
Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis (2021) (5)
On unit root tests in the presence of transitional growth (2004) (5)
Estimation of structural impulse responses: short-run versus long-run identifying restrictions (2017) (5)
Introduction to Multiple Time Series Analysis.@@@Elements of Multivariate Time Series Analysis. (1994) (4)
Chapter 11 - Testing for Time Varying Parameters in Vector Autoregressive Models (1992) (4)
The Optimality of Rational Distributed Lags: A Comment (1984) (4)
A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES (2005) (4)
Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes (1995) (4)
VECM Analysis in JMulTi July 5 , 2005 (2005) (3)
Estimation of Vector Error Correction Models (2005) (3)
Mulaik, S. A.: Foundations of factor analysis (2014) (3)
Vector Autoregressive Moving Average Processes (2005) (2)
Identification by Heteroskedasticity or Non-Gaussianity (2017) (2)
Structural VAR Analysis in a Data-Rich Environment (2017) (2)
Multivariate ARCH and GARCH Models (2005) (2)
Periodic VAR Processes and Intervention Models (1991) (2)
CFEnetwork: The annals of computational and financial econometrics, 3rd issue (2014) (2)
Heteroskedastic Proxy Vector Autoregressions (2020) (2)
Estimation of VARMA Models (1991) (2)
Unit Root Tests in the Presence of Innovational Outliers (2002) (2)
Estimation of Vector Autoregressive Processes (1991) (2)
An Alternative Bootstrap for Proxy Vector Autoregressions (2020) (2)
Comment on essays on current state and future challenges of econometrics (2001) (1)
Structural VARs and VECMs (2005) (1)
The Relationship between VAR Models and Other Macroeconometric Models (2017) (1)
for Structural Vector Error Correction Models (2005) (1)
Structural VAR Tools (2017) (1)
State Space Models (1991) (1)
Vector Stochastic Processes (1987) (1)
Forecasting Unpredictable Variables (2015) (1)
Non-linear least squares estimation under non-linear equality constraints (1983) (1)
On Unit Root Tests in the Presence of Transitional Growth 1 by (2004) (1)
Identification by Short-Run Restrictions (2017) (1)
A Simple Instrument for Proxy Vector Autoregressive Analysis (2020) (1)
Identification by Sign Restrictions (2017) (1)
Structural Vector Autoregressions with Heteroskedasticy (2015) (1)
VAR Analysis in JMulTi January 19 , 2006 (2006) (1)
Unit Root Tests for Time Series with Level Shifts (2001) (1)
Specification of VECMs (2005) (1)
Nonlinear Structural VAR Models (2017) (1)
Forecasting Levels of log Variables in Vector (2009) (1)
Forecasting Contemporaneously Aggregated Known Processes (1987) (0)
Nonstationary Systems with Integrated and Cointegrated Variables (1991) (0)
Bayesian VAR Analysis (2017) (0)
Vector error correction models (VECMs) with a prespecified number of cointegrating rela- tions, a finite number of lagged dierences, deterministic terms and exogenous variables can be specified, estimated and used for forecasting, causality and impulse response analysis in (2005) (0)
Bernhard Pfaff (2006): Analysis of Integrated and Cointegrated Time Series with R (2011) (0)
Fitting Finite Order VAR Models to Infinite Order Processes (1991) (0)
Temporal Aggregation of Stock Variables — Systematically Missing Observations (1987) (0)
Structural VectorAutoregressions withSmooth Transition inVariances (2014) (0)
Forecasting Temporally and Contemporaneously Aggregated Known Processes (1987) (0)
Empirical Investigation of Cognitive Dissonance (2006) (0)
Identification Based on Extraneous Data (2017) (0)
Inference in Models Identified by Short-Run or Long-Run Restrictions (2017) (0)
Estimation Subject to Short-Run Restrictions (2017) (0)
Forecasting Vector Stochastic Processes (1987) (0)
Book reviews (1989) (0)
Practical Issues Related to Trends, Seasonality, and Structural Change (2017) (0)
ECO 2006-7 Copertina.indd (2006) (0)
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity (2020) (0)
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review (2018) (0)
Was there a regime change in the German monetary transmission mechanism in 1983 (2000) (0)
Cointegrated VARMA Processes (2005) (0)
Temporal Aggregation of Flow Variables (1987) (0)
Calculating Joint Bands for Impulse Response Functions using Highest Density Regions (2016) (0)
Multiple Time Series Analysis, SS 2016 (2016) (0)
An alternative approach to univariate and multivariate time series analysis (1981) (0)
Joint Temporal and Contemporaneous Aggregation (1987) (0)
Discussion Papers Bayesian Inference for Structural Vector Autoregressions Identifi ed by Markov-Switching Heteroskedasticity (2017) (0)
Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights 1 (2011) (0)
Structural Vector Autoregressive Models with more Shocks than Variables Identiﬁed via Heteroskedasticity (2020) (0)
Book reviews (1995) (0)
Systems of Dynamic Simultaneous Equations (1991) (0)
A Historical Perspective on Causal Inference in Macroeconometrics (2017) (0)
I Gusti Ngurah Agung (2009): Time Series Data Analysis Using EViews (2011) (0)
Specification and Checking the Adequacy of VARMA Models (1991) (0)
Nonparametric dynamic modelling (1997) (0)
Forecasting Contemporaneously Aggregated Estimated Processes (1987) (0)

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What Schools Are Affiliated With Helmut Lütkepohl?

Helmut Lütkepohl is affiliated with the following schools:

Helmut Lütkepohl's Academic­Influence.com Rankings