Helmut Lütkepohl
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Selected Articles

  • Acquisition of Information and Share Prices: An Empirical Investigation of Cogni-
    tive Dissonance, German Economic Review, forthcoming (together with E. Argentesi
    and M. Motta).
  • Structural Vector Autoregressions with Markov Switching, Journal of Economic
    Dynamics and Control    , forthcoming (together with M. Lanne and K. Maciejowska)
  • Structural Vector Autoregressions with Nonnormal Residuals, Journal of Business
    & Economic Statistics    , forthcoming (together with M. Lanne).
  • Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncer-
    tain Deterministic Trend Term, Econometrics Journal, forthcoming (together with
    M. Demetrescu and P. Saikkonen)
  • Identifying Monetary Policy Shocks via Changes in Volatility, Journal of Money,
    Credit and Banking    , 40 (2008), 1131-1149 (together with M. Lanne).
  • Forecasting Euro Area Variables with German Pre-EMU Data, Journal of Forecast-
    ing    , 27 (2008), 465-481 (together with R. Bruggemann & M. Marcellino).
  • Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend
    Break, Journal of Time Series Analysis, 29 (2008), 331-358 (together with C. Tren-
    kler & P. Saikkonen).
  • Problems related to Over-identifying Restrictions for Structural Vector Error Correction Models, Economics Letters, 99 (2008), 512-515
  • General-to-specific or specific-to-general modelling? An opinion on current econometric terminology, Journal of Econometrics, 136 (2007), 319-324
  • Structural Vector Autoregressive Analysis for Cointegrated Variables, Allgemeines Statistisches Archiv, 90 (2006), 75-88
  • Residual Autocorrelation Testing for Vector Error Correction Models, Journal of Econometrics, 134 (2006), 579-604, (together with R. Brueggemann & P. Saikkonen)
  • A Small Monetary System for the Euro Area Based on German Data, Journal of Applied Econometrics, 21, (2006), 683-702, (together with R. Brueggemann)
  • Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing, Econometric Theory, 22 (2006), 15-68 (together with Pentti Saikkonene & Carsten Trenkler).
  • Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative, Oxford Bulletin of Economics and Statistics, 67 (2005), 673-690 (together with R. Brueggemann)
  • Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe, Applied Economics Quarterly, 51 (2005), 143-154 (together with R. Brueggemann)
  • A Note on Testing Restrictions for the Cointegration Parameters of a VAR with I(2) Variables, Econometric Theory, 21 (2005), 653-658 (together with S. Johansen)
  • Transmission of German Monetary Policy in the Pre-Euro Period, Macroeconomic Dynamics, 7, 2003, 711-733 (together with Jürgen Wolters).
  • Testing for the Cointegrating Rank of a Var Process with Level Shift at Unknown Time, Econometrica, Vol. 72, No. 2 (March 2004), 647-662 (together with Pentti Saikkonen and Carsten Trenkler).
  • On Unit Root Tests in the Presence of Transitional Growth, Economics Letters 84 (2004) 323-327 (together with Bernd Lucke)
  • Comparison of Unit Root Tests for Time Series with Level Shifts . Journal of Time Series Analysis, 23:6 (2002), 667-685 (together with M. Lanne and P. Saikkonen).
  • Comparison of tests for the Cointegrating Rank of a VAR Process with Structural Shift. Journal of Econometrics, 113 (2003) 201-229 (together with P. Saikkonen and C. Trenkler).
  • Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time, Oxford Bulletin of Economics and Statistics , 65:1 (2003), 91-155 (together with M. Lanne and P. Saikkonen)
  • Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time, Econometric Theory, 18 (2002), 313-348 (together with P. Saikkonen).
  • On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models, Economics Letters,  (2001), 155-160 (together with B. Candelon).
  • Unit root tests for time series with level shifts: a comparison of different proposals, Economics Letters,  (2002), 109-114 (together with M. Lanne).
  • Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, Econometrics Journal, 4 (2001), 287-310 (together with P. Saikkonen and C. Trenkler).
  • Vector Autoregressions, Chapter 32 in B. Baltagi (Ed.), Companion to Theoretical Econometrics, Oxford: Blackwell (2001), 678-699.
  • Comments on essays on current state and future challenges of econometrics, Journal of Econometrics, 100 (2001) 81-82.
  • Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems, Macroeconomic Dynamics,5 (2001), 81-100 (together with A. Benkwitz und J. Wolters).
  • Testing for Unit Roots in Time Series with Level Shifts, Allgemeines Statistisches Archiv, 85 (2001), 1-25 (together with  P. Saikkonen).
  • Vector Autoregressions, Chapter 32 in B. Baltagi (Ed.), Companion to Theoretical Econometrics, Oxford: Blackwell, (2001), 678-699.
  • A Review of Systems Cointegration Tests, Econometric Reviews, (2001), forthcoming (together with K. Hubrich und P. Saikkonen).
  • Testing for the Cointegrating Rank of a VAR Process with Structural Shifts, Journal of Business & Economic Statistics, 18 (2000), 451-464 (together with  P. Saikkonen).
  • Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process, Journal of Time Series Analysis, 21 (2000), 435-456 (together with  P. Saikkonen).
  • Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes. in W.A. Barnett, D.F. Hendry, S. Hylleberg, T. Teräsvirta, D. Tjøstheim & A.Würtz (Eds.), Nonlinear Econometric Modeling in Time Series Analysis, Cambridge: Cambridge University Press,  2000, 165-201 (together with  P. Saikkonen). 
  • Comment on essays on current state and future challenges of econometrics, Journal of Econometrics, 100 (2001) 81-82.
  • Bootstrapping Impulse Responses in VAR Analyses, in J.G. Bethlehem & P.G.M. van der Heijden (Eds.), COMPSTAT Proceedings in Computational Statistics 2000, Heidelberg:  Physica-Verlag, 2000, 109-119.
  • Problems Related to Confidence Intervals for Impulse Responses of Autoregressive Processes. Econometric Reviews, 19 (2000), 69-103 (together with A. Benkwitz & M. H. Neumann).
  • Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process, Journal of Time Series Analysis, 21 (2000), 435-456 (zusammen mit P. Saikkonen).
  • Testing for the Cointegrating Rank of a VAR Process with an Intercept. Econometric Theory , 16 (2000), 373-406 (together with P. Saikkonen).
  • Multivariate Volatility Analysis of VW Stock Prices. International Journal of Intelligent Systems in Accounting, Finance & Management 9 (2000) 35-54 (together with H. Herwartz).
  • Testing for the Cointegrating Rank of a VAR Process with a Time Trend. Journal of Econometrics, 95 (2000), 177-198 (together with P. Saikkonen).
  • Vector Autoregressive Analysis, in: Shri Bhagwan Dahiya (Ed.) The Current State of Economic Science, Vol.1 (1999): 345-369.
  • Order Selection in Testing for the Cointegrating Rank of A VAR Process, in: R.F. Engle, H. White (Eds) Cointegration, Causality and Forecasting - A Festschrift in Honour of Clive W.J. Granger. Oxford University Press, 1999.
  • Investigating Stability and Linearity of a German M1 Money Demand Function. Journal of Applied Econometrics, 14 (1999), 511-525  (together with T. Teräsvirta & J. Wolters).
  • A Lag Augmentation Test for the Cointegrating Rank of a VAR Process, Economics Letters,  (1999), 23-27 (together with P. Saikkonen).
  • Local Power of Likelihood Ratio Tests for the Cointegrating Rank of a VAR Process, Econometric Theory, 15 (1999), 50-78 (together with P. Saikkonen)..
  • Modelling the Demand for M3 in the Unified Germany, Review of Economics and Statistics, 80 (1998) 399-409 (together with J. Wolters & T. Teräsvirta).
  • A Money Demand System for German M3, Empirical Economics, 23 (1998) 371-386 (together with J. Wolters).
  • Estimating the Kronecker Indices of Cointegrated Echelon-form VARMA Models, Econometrics Journal, 1 (1998), C76-C99 (together with H. Bartel).
  • Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes, Journal of Econometrics, 81 (1997), 127-157 (together with P. Saikkonen).
  • Analysis of Cointegrated VARMA Processes, Journal of Econometrics, 80 (1997), 223-239 (together with H. Claessen).
  • Modified Wald Tests under Nonregular Conditions, Journal of Econometrics, 78 (1997), 315-332 (together with M.M. Burda).
  • Die Geldchfrage für M3: Neue Ergebnisse für das vereinigte Deutschland, ifo-Studien, 43 (1997), 34-54 (together with J. Wolters).
  • A Review of Nonparametric Time Series Analysis, International Statistical Review, 65 (1997), 49-72 (together with W. Härdle & R. Chen).
  • Making Wald Tests Work for Cointegrated VAR Systems, Econometric Reviews, 15 (1996), 369-386 (together with Juan J. Dolado).
  • Infinite Order Cointegrated Vector Autoregressive Processes: Estimation and Inference, Econometric Theory, 12 (1996), 814-844 (together with P. Saikkonen).
  • Specification of Echelon-Form VARMA Models, Journal of Business & Economic Statistics, 14 (1996), 69-79 (together with D.S. Poskitt).
  • Testing for Causation Using Infinite Order Vector Autoregressive Processes, Econometric Theory, 12 (1996), 61-87 (together with D.S. Poskitt).
  • Testing for Nonzero Impulse Responses in Vector Autoregressive Processes, Journal of Statistical Planning and Inference, 50 (1996), 1-20.
  • Specification of Varying Coefficient Time Series Models via Generalized Flexible Least Squares, Journal of Econometrics, 70 (1996), 261-290 (together with H. Herwartz).