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59 results, from 51
Externe referierte Aufsätze

Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights

Many contemporaneously aggregated variables have stochastic aggregation weights. We compare different forecasts for such variables, including univariate forecasts of the aggregate, a multivariate forecast of the aggregate that uses information from the disaggregated components, a forecast which aggregates a multivariate forecast of the disaggregate components and the aggregation weights, and a forecast ...

In: International Journal of Forecasting 29 (2013), 1, S. 60-68 | Ralf Brüggemann, Helmut Lütkepohl
Externe referierte Aufsätze

The Role of the Log Transformation in Forecasting Economic Variables

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 series are compared to forecasts based on logs. For a range of economic variables, substantial forecasting ...

In: Empirical Economics 42 (2012), 3, S. 619-638 | Helmut Lütkepohl, Fang Xu
Externe referierte Aufsätze

Structural Vector Autoregressions with Heteroskedasticity: A Review of Different Volatility Models

Changes in residual volatility are often used for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. The different volatility models are reviewed and their advantages and drawbacks are indicated. An application investigating the interaction ...

In: Econometrics and Statistics 1 (2017), S. 2-18 | Helmut Lütkepohl, Aleksei Netsunajev
Weitere Aufsätze

Forecasting Unpredictable Variables

In: Jan Beran, Yuanhua Feng, Hartmut Hebbel (Eds.) , Empirical Economic and Financial Research
Cham : Springer
S. 287-304
Advanced Studies in Theoretical and Applied Econometrics ; 48
| Helmut Lütkepohl
Weitere Aufsätze

Fundamental Problems with Nonfundamental Shocks

In: Niels Haldrup, Mika Meitz, Pentti Saikkonen (Eds.) , Essays in Nonlinear Time Series Econometrics
Oxford : Univ. Press
S. 199-214
| Helmut Lütkepohl
Weitere Aufsätze

A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks

In: Johan Knif, Bernd Pape (Eds.) , Contributions to Mathematics, Statistics, Econometrics, and Finance : Essays in Honour of Professor Seppo Pynnönen
Vaasa : University of Vaasa
S. 137-152
Acta Wasaensia ; 296 : Statistics ; 7
| Markku Lanne, Helmut Lütkepohl
Weitere Aufsätze

Vector Autoregressive Models

In: Nigar Hashimzade, Michael A. Thornton (Eds.) , Handbook of Research Methods and Applications in Empirical Macroeconomics
Cheltenham [u.a.] : Elgar
S. 139-164
| Helmut Lütkepohl
Weitere Aufsätze

Identifying Structural Vector Autoregressions via Changes in Volatility

In: Thomas B. Fornby, Anthony Murphy, Lutz Kilian (Eds.) , VAR Models in Macroeconomics - New Developments and Applications
Bingley [u.a.] : Emerald
S. 169-203
Advances in Econometrics ; 32
| Helmut Lütkepohl
Weitere Aufsätze

Mulaik, S.A.: Foundations of Factor Analysis: Second Edition, Chapman & Hall/CRC, Boca Raton, 2010, XXIII, 524 pp ....

In: Statistical Papers 55 (2014), 4, S. 1229-1230 | Helmut Lütkepohl
59 results, from 51