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D-Index & Metrics

Economics and Finance

D-Index
63
Citations
41347
World Ranking
663
National Ranking
22

Overview

Helmut Lütkepohl is affiliated with Freie Universität Berlin in Germany and conducts research primarily in the fields of Economics, Econometrics, and Finance. Their scholarly contributions span a strong focus on monetary policy, market dynamics, and statistical methods, with particular attention to economic impacts and volatility modeling.

Their main fields of study include:

  • Economics and Econometrics
  • General Economics, Econometrics and Finance
  • Statistics and Probability
  • Finance
  • Control and Systems Engineering

The research topics covered in their publications address:

  • Monetary Policy and Economic Impact
  • Market Dynamics and Volatility
  • Statistical Methods and Inference
  • Financial Risk and Volatility Modeling
  • Italy: Economic History and Contemporary Issues
  • Control Systems and Identification
  • Advanced Statistical Methods and Models

Their recent papers include:

  • "Heteroscedastic Proxy Vector Autoregressions" (2021), Journal of Business and Economic Statistics
  • "Comparison of local projection estimators for proxy vector autoregressions" (2021), Journal of Economic Dynamics and Control
  • "Qualitative versus quantitative external information for proxy vector autoregressive analysis" (2021), Journal of Economic Dynamics and Control
  • "An Alternative Bootstrap for Proxy Vector Autoregressions" (2022), Computational Economics
  • "Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity" (2020), Journal of Economic Dynamics and Control

Frequent co-authors collaborating with Lütkepohl are:

  • Martin Bruns
  • Tomasz Woźniak
  • Thore Schlaak
  • Lukas Boer
  • Luis Uzeda

Publications often appear in the following venues:

  • SSRN Electronic Journal
  • Journal of Economic Dynamics and Control
  • Journal of Business and Economic Statistics
  • Computational Economics
  • Economics Letters

Overall, Lütkepohl's work intersects econometric modeling and quantitative analysis applied to economic systems, focusing on developing and comparing statistical methods for vector autoregressions, with advanced approaches to heteroscedasticity and bootstrapping techniques. Their outputs contribute to understanding economic dynamics and improving inference in structural economic models.

Best Publications

  • Introduction to the Theory and Practice of Econometrics

    George G. Judge

  • New Introduction to Multiple Time Series Analysis

    Unknown

  • Applied Time Series Econometrics

    Helmut Lütkepohl;Markus Krätzig

  • Structural Vector Autoregressive Analysis

    Lutz Kilian;Helmut Lütkepohl

  • Making wald tests work for cointegrated VAR systems

    Juan J. Dolado;Helmut Lütkepohl

  • Non-causality due to omitted variables

    Helmut Lütkepohl

  • The Theory and Practice of Econometrics (2nd ed.).

    Terry G. Seaks;George G. Judge;W. E. Griffiths;R. Carter Hill

  • Impulse response analysis of cointegrated systems

    Helmut Lütkepohl;Hans-Eggert Reimers

  • TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

    Pentti Saikkonen;Helmut Lütkepohl

  • Structural Vector Autoregressive Analysis for Cointegrated Variables

    Helmut Lütkepohl

  • Maximum Eigenvalue versus Trace Tests for the Cointegrating Rank of a VAR Process

    Helmut Lütkepohl;Pentti Saikkonen;Carsten Trenkler

  • Testing for the cointegrating rank of a VAR process with structural shifts

    Pentti Saikkonen;Helmut Lütkepohl

  • Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models

    Helmut Lutkepohl

  • Testing for the Cointegrating Rank of a VAR Process With Structural Shifts

    Pentti Saikkonen;Helmut Lütkepohl

  • Vector autoregressive models

    Helmut Lütkepohl

  • Structural Vector Autoregressive Modeling and Impulse Responses

    Jörg Breitung;Ralf Brüggemann;Helmut Lütkepohl

  • Vector Autoregressive and Vector Error Correction Models

    Helmut Lütkepohl

  • Structural Vector Autoregressions with Markov Switching

    Markku Lanne;Helmut Lütkepohl;Katarzyna Maciejowska

  • Forecasting Aggregated Vector ARMA Processes

    Helmut Lütkepohl

  • A Review of Nonparametric Time Series Analysis

    Wolfgang Härdle;Helmut Lütkepohl;Rong Chen;Rong Chen

  • The role of the log transformation in forecasting economic variables

    Helmut Lütkepohl;Fang Xu;Fang Xu

  • Testing for the Cointegrating Rank of a VAR Process with an Intercept

    Pentti Saikkonen;Helmut Lütkepohl

  • Identifying Monetary Policy Shocks via Changes in Volatility

    Markku Lanne;Helmut Lütkepohl

  • Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time

    Markku Lanne;Helmut Lütkepohl;Pentti Saikkonen

Frequent Co-Authors

Lutz Kilian
Lutz Kilian Federal Reserve Bank of Dallas
Helmut Herwartz
Helmut Herwartz University of Göttingen
Rong Chen
Rong Chen Zhengzhou University
Timo Teräsvirta
Timo Teräsvirta Aarhus University
Bertrand Candelon
Bertrand Candelon Université Catholique de Louvain
Jörg Breitung
Jörg Breitung University of Cologne
Juan J. Dolado
Juan J. Dolado European University Institute
George G. Judge
George G. Judge University of California, Berkeley
Massimiliano Marcellino
Massimiliano Marcellino Bocconi University
Wolfgang Karl Härdle
Wolfgang Karl Härdle Humboldt-Universität zu Berlin

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