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100 results, from 41
Vortrag

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Helmut Lütkepohl
St. Gallen, Schweiz, 23.10.2017
| Seminar 'Quantitative Methods': Universität St. Gallen
Vortrag

Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Florenz, Italien, 06.10.2017 - 07.10.2017
| EUI Alumni Conference in Economics 2017
Vortrag

Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Wien, Österreich, 03.09.2017 - 06.09.2017
| Alternative Geld- und Finanzarchitekturen: Jahrestagung 2017 des Vereins für Socialpolitik
Vortrag

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models: Keynote Lecture

Helmut Lütkepohl
Tartu, Estland, 24.05.2017 - 27.05.2017
| 9th Nordic Econometric Meeting
Vortrag

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction Between U.S. Monetary Policy and the Stock Market

Helmut Lütkepohl
Wroclaw, Polen, 11.05.2017
| Science Meets Social Science: The S3 Interdisciplinary Seminar, Wroclaw University of Technology
Vortrag

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Helmut Lütkepohl
Gießen, 02.05.2017
| Statistik-Kolloquium der Universität Gießen
Vortrag

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

Helmut Lütkepohl
Sevilla, Spanien, 09.12.2016 - 11.12.2016
| 10th International Conference on Computational and Financial Econometrics (CFE 2016)
Vortrag

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

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 the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive...

Peter Winker, Helmut Lütkepohl, Anna Staszewska-Bystrova
Augsburg, 04.09.2016 - 07.09.2016
| Demographischer Wandel: Jahrestagung 2016 des Vereins für Socialpolitik
Vortrag

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

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 the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive...

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Genf, Schweiz, 22.08.2016 - 26.08.2016
| 69th European Meeting of the Econometric Society: ESEM 2016
Vortrag

Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample properties are investigated...

Helmut Lütkepohl, George Milunovich
Mailand, Italien, 22.06.2016 - 25.06.2016
| IAAE 2016 Annual Conference
Vortrag

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

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 the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive...

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Mailand, Italien, 22.06.2016 - 25.06.2016
| IAAE 2016 Annual Conference
Vortrag

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

Helmut Lütkepohl, Aleksej Netsunajev
Lissabon, Portugal, 03.06.2016 - 04.06.2016
| New Trends and Developments in Econometrics: Conference of the Banco de Portugal
Vortrag

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

Helmut Lütkepohl, Aleksej Netsunajev
London, Großbritannien, 23.05.2016 - 24.05.2016
| 12th CEF-BMRC Conference on Macro and Financial Economics/Econometrics: Brunel University
Vortrag

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

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 the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive...

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Sydney, Australien, 09.03.2016
| Seminar: UNSW Business School
Vortrag

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

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 drawbacks. For instance, assuming known dates for variance changes is often unrealistic while more exible models based on GARCH or Markov switching residuals are difficult to handle...

Helmut Lütkepohl, Aleksei Netsunajev
Hobart, Australien, 04.03.2016
| Economics & Finance Seminar Series: Tasmanian School of Business & Economics, University of Tasmania
Vortrag

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

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 the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive...

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Sydney, Australien, 01.03.2016
| Economics Research Group Seminars: University of Sydney
Vortrag

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

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 the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive...

Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Sydney, Australien, 25.02.2016
| Research Seminar: Macquarie University
Vortrag

The Sieve Approach to VAR Analysis

Helmut Lütkepohl
Dortmund, 27.01.2016 - 28.01.2016
| Kick-off Workshop of the DFG Project: Estimation and Inference Theory for Cointegrated Processes in the State Space Representation: Fakultät Statistik, Technische Universität Dortmund
Vortrag

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

Helmut Lütkepohl, Aleksej Netsunajev
Florenz, Italien, 15.01.2016 - 21.08.2015
| Conference for the 40th Anniversary of the European University Institute - Economics Department: Conference in Honour of Jessica Spataro
Vortrag

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

Helmut Lütkepohl
Paris, Frankreich, 05.11.2015 - 06.11.2015
| Advances in Time Series and Forecasting: Conference in Honour of Professor Jean-Pierre Indjehagopian. ESSEC Business School
100 results, from 41
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