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DateTitle Authors
2006 Testing for the cointegrating rank of a VAR process with level shift and trend breakTrenkler, Carsten / Saikkonen, Pentti / Lütkepohl, Helmut
2008 Nonparametric cointegration analysis of fractional systems with unknown integration ordersNielsen, Morten Ørregaard
2009 A vector autoregressive model for electricity prices subject to long memory and regime switchingHaldrup, Niels / Nielsen, Frank S. / Nielsen, Morten Ørregaard
2013 Comparison of methods for constructing joint confidence bands for impulse response functionsLütkepohl, Helmut / Staszewska-Bystrova, Anna / Winker, Peter
2000 Causality and Regime Inference in a Markov Switching VARWarne, Anders
2015 Testing for identification in SVAR-GARCH models: Reconsidering the impact of monetary shocks on exchange ratesLütkepohl, Helmut / Milunovich, George
2002 An application of the analogy between vector ARCH and vector random coefficient autoregressive modelsHe, Changli / Teräsvirta, Timo
2000 Error correction models for fractionally cointegrated time seriesDittmann, Ingolf
2012 Effects of simultaneity on testing Granger-causality: A cautionary note about statistical problems and economic misinterpretationsWilde, Joachim
2012 Fundamental problems with nonfundamental shocksLütkepohl, Helmut

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