Applied Time Series Econometrics

By Helmut Lütkepohl, Markus Krätzig. 2004

601 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/08c9432ce9308093b57d11dbbaf2d1572db2ef10

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In Management Science and Operations Research

1. Koen Pauwels
2. Shuba Srinivasan
3. Vincent R. Nijs
4. B. Pfaff
5. Helmut Lütkepohl
6. Pentti Saikkonen
7. Dominique M. Hanssens
8. Xueming Luo

Citations in the corpus

• Retail-Price Drivers and Retailer Profits (2007, methodology): “It has been shown that utilizing the t-statistic in this manner is equivalent to using either the BIC or AIC criterion, depending on the threshold value for parameter elimination (Lütkepohl and Krätzig 2004).”
• Residual autocorrelation testing for vector error correction models (2006, background): “In contrast, proper tests for residual AC of VECMs are available in JMulTi (Lütkepohl & Krätzig (2004)).”
• VAR, SVAR and SVEC Models: Implementation Within R Package vars (2008, methodology): “The authors utilized the software JMulTi (Lütkepohl and Krätzig 2004) in which the critical values of Davidson and MacKinnon (1993) are used, whereas in the function ur.”
• Trade openness, foreign aid and economic growth in post-liberalisation Ghana: An application of ARDL bounds test (2011, unknown): “The ARDL bounds test The building of dynamic economic models often entails detailed analysis of the characteristics of the individual time series variables involved (Lutkepohl and Kratzig, 2004).”