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Prof. Dr. Helmut Lütkepohl

Prof. Dr. Helmut Lütkepohl

Professor of the

Graduate Center

Research Topics and Working Areas
  • Time Series Analysis
  • Forecasting Methods
  • Money Demand Analysis
  • Macroeconometrics

From Januar 2012 to December 2016, Helmut Lütkepohl was Dean of the DIW Berlin Graduate Center and Bundesbank Professor in the field of "Methods of Empirical Economics" at the Freie Universität Berlin. Before that, he was Professor of Econometrics at the European University Institute in Florence (2002-2011) and the Faculty of Economics at the Humboldt Universität zu Berlin (1992-2001), Professor of Statistics at the Christian-Albrechts-Universität Kiel (1987-1992) and the University of Hamburg (1985-1987) and Visiting Assistant Professor at the University of California, San Diego (1984/85). He has been on the editorial board of several scientific journals like Econometric Theory, Journal of Econometrics, Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics und Econometric Reviews and has published numerous papers in academic journals. He is the author, co-author and editor of many books, like “Handbook of Matrices“ (Wiley, 1996), “Applied Time Series Econometrics” (Cambridge University Press, 2004) und “New Introduction to Multiple Time Series Analysis” (Springer, 2005).

Books

Structural Vector and Autregressive Analysis
by Lutz Kilian and Helmut Lütkepohl

More information and a look inside

Earlier versions und MatLab codes

New Introduction to Multiple Time Series Analysis
by Helmut Lütkepohl

More information and a look inside

Corrected Pages (ZIP, 1.92 MB)

Downloads

Publications

Diskussionspapiere 2095 / 2024

Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis

2024| Martin Bruns, Helmut Lütkepohl, James McNeil
Diskussionspapiere 2081 / 2024

Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference

2024| Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak
Diskussionspapiere 1949 / 2021

Comparison of Local Projection Estimators for Proxy Vector Autoregressions

2021| Martin Bruns, Helmut Lütkepohl
Refereed essays Web of Science

Heteroskedastic Proxy Vector Autoregressions: An Identification-Robust Test for Time-Varying Impulse Responses in the Presence of Multiple Proxies

In: Journal of Economic Dynamics & Control 161 (2024), 104837, 15 S. | Martin Bruns, Helmut Lütkepohl
Refereed essays Web of Science

Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions

In: Economics Letters 233 (2023), 111416, 5 S. | Martin Bruns, Helmut Lütkepohl
Refereed essays Web of Science

An Alternative Bootstrap for Proxy Vector Autoregressions

In: Computational Economics 62 (2023), S. 1857–1882 | Martin Bruns, Helmut Lütkepohl
Refereed essays Web of Science

Comparison of Local Projection Estimators for Proxy Vector Autoregressions

In: Journal of Economic Dynamics & Control 134 (2022), 104277, 17 S. | Martin Bruns, Helmut Lütkepohl
Refereed essays Web of Science

Heteroscedastic Proxy Vector Autoregressions

In: Journal of Business & Economic Statistics 40 (2022), 3, S. 1268-1281 | Helmut Lütkepohl, Thore Schlaak

Lectures

Vortrag

Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis

Helmut Lütkepohl, Martin Bruns, James McNeil
Berlin, 15.09.2024 - 18.09.2024
| Upcoming Labour Market Challenges: Jahrestagung des Vereins für Socialpolitik 2024
Vortrag

Structural Vector Autoregressive Analysis

Helmut Lütkepohl
Paderborn, 15.01.2024
| Universität Paderborn
Vortrag

Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions

Helmut Lütkepohl
Berlin, 16.12.2023 - 18.12.2023
| 16th International Conference of the ERCIM WG on Computational and Methodological Statistics: CMStatistics 2023
Vortrag

Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions

Helmut Lütkepohl
Norwich, Großbritannien, 01.06.2023 - 02.06.2023
| Time Series Workshop 2023: University of East Anglia
Vortrag

Heteroskedastic Proxy Vector Autoregressions: An Identification-Robust Test for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Helmut Lütkepohl, Martin Bruns
[Online], 26.01.2023
| Virtual Time Series Seminar: [Online Seminar]

In the media

Video

Graduation Ceremony des DIW Graduate Center 2016

22.12.2016| Veranstaltungsrückblick
Video

Graduation Ceremony des DIW Graduate Center 2015

08.01.2016| Veranstaltungsrückblick
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