Prof. Dr. Helmut Lütkepohl

Professor in 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 1876 / 2020

Heteroskedastic Proxy Vector Autoregressions

2020| Helmut Lütkepohl, Thore Schlaak
Diskussionspapiere 1764 / 2018

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

2018| Helmut Lütkepohl, Mika Meitz, Aleksei NetŠunajev, Pentti Saikkonen
Diskussionspapiere 1762 / 2018

Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review

2018| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Diskussionspapiere 1750 / 2018

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH

2018| Helmut Lütkepohl, Thore Schlaak
Externe referierte Aufsätze

Bayesian Inference for Structural Vector Autoregressions IdentifiEd by Markov-Switching Heteroskedasticity

In: Journal of Economic Dynamics & Control 113 (2020), 103862 | Helmut Lütkepohl, Tomasz Wozniak
Externe referierte Aufsätze

Constructing Joint ConfiDence Bands for Impulse Response Functions of Var Models: A Review

In: Econometrics and Statistics 13 (2020), S. 69-83 | Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Externe referierte Aufsätze

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH

In: Journal of Economic Dynamics & Control 101 (2019), S. 41-61 | Helmut Lütkepohl, Thore Schlaak
Externe referierte Aufsätze

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

In: Empirical Economics 55 (2018), 4, S. 1389-1411 | Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Externe referierte Aufsätze

The Relation between Monetary Policy and the Stock Market in Europe

In: Econometrics 6 (2018), 3, 36 (14 S.) | Helmut Lütkepohl, Aleksei Netšunajev

Lectures

Vortrag

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

Helmut Lütkepohl
Melbourne, Australien, 11.03.2020
| Econometrics Seminar: University of Melbourne, Department of Economics
Vortrag

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

Helmut Lütkepohl
Melbourne, Australien, 10.03.2020
| Seminar, Monash University Melbourne
Vortrag

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

Helmut Lütkepohl
Sydney, Australien, 04.03.2020
| Department Seminars: Macquarie University Sydney
Vortrag

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

Helmut Lütkepohl
Canberra, Australien, 27.02.2020
| Australian National University
Vortrag

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity: Keynote Lecture

Helmut Lütkepohl, Tomasz Wozniak
Berlin, 12.12.2019
| Macroeconometric Workshop 2019: Organized by the Department of Macroeconomics and Forecasting of DIW Berlin, the School of Business & Economics of Freie Universität Berlin, and BERA (Berlin Economics Research Associates)

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