Browsing Sonderforschungsbereich 649: Ökonomisches Risiko by Author "Lütkepohl, Helmut"

Now showing items 1-9 of 9

2016-03-21Diskussionspapier

Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter

This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and ...
2013-05-31Diskussionspapier

Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter

In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new ...
2014-01-16Diskussionspapier

Confidence Bands for Impulse Responses

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter

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 ...
2006-09-11Diskussionspapier

Forecasting Euro-Area Variables with German Pre-EMU Data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, Massimiliano

It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on ...
2014-01-20Diskussionspapier

Structural Vector Autoregressions

Lütkepohl, Helmut; Velinov, Anton

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 ...
2015-03-23Diskussionspapier

Structural Vector Autoregressions with Heteroskedasticity

Lütkepohl, Helmut; Netšunajev, Aleksei

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity ...
2014-06-17Diskussionspapier

Structural VectorAutoregressions withSmooth Transition inVariances

Lütkepohl, Helmut; Netsunajev, Aleksei

In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have ...
2006-09-11Diskussionspapier

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut

A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated ...
2005-06-22Diskussionspapier

Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure

Brüggemann, Ralf; Lütkepohl, Helmut

A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered ...