Edit Profile (opens in new tab) Kilian, Lutz Co-Author Distance Author ID: kilian.lutz Published as: Kilian, Lutz; Kilian, L. Documents Indexed: 27 Publications since 1998, including 1 Book 1 Contribution as Editor Co-Authors: 15 Co-Authors with 25 Joint Publications 133 Co-Co-Authors all top 5 Co-Authors 2 single-authored 13 Inoue, Atsushi 3 Gonçalves, Sílvia 2 Berkowitz, Jeremy 2 Birgean, Ionel 2 Guerron-Quintana, Pablo A. 1 Baumeister, Christiane 1 Fomby, Thomas B. 1 Herrera, Ana María 1 Ivanov, Ventzislav 1 Lütkepohl, Helmut 1 Murphy, Anthony B. 1 Ohanian, Lee E. 1 Patton, Andrew J. 1 Pesavento, Elena 1 Vigfusson, Robert J. all top 5 Serials 10 Journal of Econometrics 5 Econometric Reviews 2 Quantitative Economics 1 Econometrica 1 International Economic Review 1 Journal of the American Statistical Association 1 Journal of Time Series Analysis 1 Economics Letters 1 Studies in Nonlinear Dynamics and Econometrics 1 Macroeconomic Dynamics 1 Econometric Theory 1 Advances in Econometrics 1 Themes in Modern Econometrics Fields 23 Statistics (62-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Numerical analysis (65-XX) 1 General and overarching topics; collections (00-XX) 1 History and biography (01-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 26 Publications have been cited 417 times in 311 Documents Cited by ▼ Year ▼ Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517 Gonçalves, Sıĺvia; Kilian, Lutz 80 2004 Structural vector autoregressive analysis. Zbl 1377.62005 Kilian, Lutz; Lütkepohl, Helmut 54 2017 Recent developments in bootstrapping time series (with comment). Zbl 0949.62022 Berkowitz, Jeremy; Kilian, Lutz 46 2000 Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079 Gonçalves, Sílvia; Kilian, Lutz 32 2007 In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213 Inoue, Atsushi; Kilian, Lutz 29 2004 Bootstrapping autoregressive processes with possible unit roots. Zbl 1104.62325 Inoue, Atsushi; Kilian, Lutz 28 2002 Accounting for lag order uncertainty in autoregressions: The endogenous lag order bootstrap algorithm. Zbl 0913.62083 Kilian, Lutz 17 1998 Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040 Kilian, Lutz 16 1998 How useful is bagging in forecasting economic time series? A case study of U.S. consumer price inflation. Zbl 1469.62403 Inoue, Atsushi; Kilian, Lutz 16 2008 On the selection of forecasting models. Zbl 1337.62291 Inoue, Atsushi; Kilian, Lutz 14 2006 Inference on impulse response functions in structural VAR models. Zbl 1285.91104 Inoue, Atsushi; Kilian, Lutz 13 2013 Are the responses of the U.S. economy asymmetric in energy price increases and decreases? Zbl 1230.91161 Kilian, Lutz; Vigfusson, Robert J. 12 2011 Impulse response matching estimators for DSGE models. Zbl 1443.62453 Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz 11 2017 A practitioner’s guide to lag order selection for VAR impulse response analysis. Zbl 1081.91575 Ivanov, Ventzislav; Kilian, Lutz 9 2005 How accurate are confidence intervals for impulse responses in large VAR models? Zbl 0954.91042 Kilian, L.; Chang, P.-L. 7 2000 Joint confidence sets for structural impulse responses. Zbl 1420.62388 Inoue, Atsushi; Kilian, Lutz 7 2016 On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. Zbl 0995.62044 Berkowitz, Jeremy; Birgean, Ionel; Kilian, Lutz 5 2000 Frequentist inference in weakly identified dynamic stochastic general equilibrium models. Zbl 1419.91452 Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz 5 2013 The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap. Zbl 1441.62748 Inoue, Atsushi; Kilian, Lutz 4 2003 What central bankers need to know about forecasting oil prices. Zbl 1405.91504 Baumeister, Christiane; Kilian, Lutz 3 2014 Corrigendum to “Inference on impulse response functions in structural VAR models”. Zbl 1452.91237 Inoue, Atsushi; Kilian, Lutz 2 2019 Data-driven nonparametric spectral density estimators for economic time series: a Monte Carlo study. Zbl 1066.91078 Birgean, Ionel; Kilian, Lutz 2 2002 The uniform validity of impulse response inference in autoregressions. Zbl 1456.62195 Inoue, Atsushi; Kilian, Lutz 2 2020 VAR models in macroeconomics: new developments and applications. Essays in honor of Christopher A. Sims. Mainly selected papers based on the presentations at the 12th advances in econometrics conference, Dallas, TX, USA, November 2–4, 2012. Zbl 1298.91028 1 2013 Joint Bayesian inference about impulse responses in VAR models. Zbl 07633048 Inoue, Atsushi; Kilian, Lutz 1 2022 Unit roots, trend breaks, and transitory dynamics: a macroeconomic perspective. Zbl 1065.91550 Kilian, Lutz; Ohanian, Lee E. 1 2002 Joint Bayesian inference about impulse responses in VAR models. Zbl 07633048 Inoue, Atsushi; Kilian, Lutz 1 2022 The uniform validity of impulse response inference in autoregressions. Zbl 1456.62195 Inoue, Atsushi; Kilian, Lutz 2 2020 Corrigendum to “Inference on impulse response functions in structural VAR models”. Zbl 1452.91237 Inoue, Atsushi; Kilian, Lutz 2 2019 Structural vector autoregressive analysis. Zbl 1377.62005 Kilian, Lutz; Lütkepohl, Helmut 54 2017 Impulse response matching estimators for DSGE models. Zbl 1443.62453 Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz 11 2017 Joint confidence sets for structural impulse responses. Zbl 1420.62388 Inoue, Atsushi; Kilian, Lutz 7 2016 What central bankers need to know about forecasting oil prices. Zbl 1405.91504 Baumeister, Christiane; Kilian, Lutz 3 2014 Inference on impulse response functions in structural VAR models. Zbl 1285.91104 Inoue, Atsushi; Kilian, Lutz 13 2013 Frequentist inference in weakly identified dynamic stochastic general equilibrium models. Zbl 1419.91452 Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz 5 2013 VAR models in macroeconomics: new developments and applications. Essays in honor of Christopher A. Sims. Mainly selected papers based on the presentations at the 12th advances in econometrics conference, Dallas, TX, USA, November 2–4, 2012. Zbl 1298.91028 1 2013 Are the responses of the U.S. economy asymmetric in energy price increases and decreases? Zbl 1230.91161 Kilian, Lutz; Vigfusson, Robert J. 12 2011 How useful is bagging in forecasting economic time series? A case study of U.S. consumer price inflation. Zbl 1469.62403 Inoue, Atsushi; Kilian, Lutz 16 2008 Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079 Gonçalves, Sílvia; Kilian, Lutz 32 2007 On the selection of forecasting models. Zbl 1337.62291 Inoue, Atsushi; Kilian, Lutz 14 2006 A practitioner’s guide to lag order selection for VAR impulse response analysis. Zbl 1081.91575 Ivanov, Ventzislav; Kilian, Lutz 9 2005 Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Zbl 1328.62517 Gonçalves, Sıĺvia; Kilian, Lutz 80 2004 In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213 Inoue, Atsushi; Kilian, Lutz 29 2004 The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap. Zbl 1441.62748 Inoue, Atsushi; Kilian, Lutz 4 2003 Bootstrapping autoregressive processes with possible unit roots. Zbl 1104.62325 Inoue, Atsushi; Kilian, Lutz 28 2002 Data-driven nonparametric spectral density estimators for economic time series: a Monte Carlo study. Zbl 1066.91078 Birgean, Ionel; Kilian, Lutz 2 2002 Unit roots, trend breaks, and transitory dynamics: a macroeconomic perspective. Zbl 1065.91550 Kilian, Lutz; Ohanian, Lee E. 1 2002 Recent developments in bootstrapping time series (with comment). Zbl 0949.62022 Berkowitz, Jeremy; Kilian, Lutz 46 2000 How accurate are confidence intervals for impulse responses in large VAR models? Zbl 0954.91042 Kilian, L.; Chang, P.-L. 7 2000 On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. Zbl 0995.62044 Berkowitz, Jeremy; Birgean, Ionel; Kilian, Lutz 5 2000 Accounting for lag order uncertainty in autoregressions: The endogenous lag order bootstrap algorithm. Zbl 0913.62083 Kilian, Lutz 17 1998 Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040 Kilian, Lutz 16 1998 all cited Publications top 5 cited Publications all top 5 Cited by 479 Authors 16 Cavaliere, Giuseppe 15 Taylor, A. M. Robert 14 Kilian, Lutz 10 Lütkepohl, Helmut 8 Rahbek, Anders 7 Inoue, Atsushi 6 Clark, Todd E. 6 Gonçalves, Sílvia 6 Herwartz, Helmut 6 McCracken, Michael W. 6 Pesavento, Elena 4 Dufour, Jean-Marie 4 Herrera, Ana María 4 Krampe, Jonas 4 Paparoditis, Efstathios 4 Politis, Dimitris Nicolas 3 Boswijk, H. Peter 3 Bruns, Martin 3 Cheng, Xu 3 Hansen, Bruce E. 3 Jentsch, Carsten 3 Motegi, Kaiji 3 Rossi, Barbara 3 Serletis, Apostolos 3 Trenkler, Carsten 3 Xu, Keli 2 Alonso, Andrés M. 2 Beyaztas, Beste Hamiye 2 Brüggemann, Ralf 2 Castelnuovo, Efrem 2 Cribari-Neto, Francisco 2 Croux, Christophe 2 Davidson, Russell 2 De Angelis, Luca 2 Escribano, Alvaro 2 Fenga, Livio 2 Gelper, Sarah 2 Georgiev, Iliyan 2 Ghysels, Eric 2 Giacomini, Raffaella 2 Gospodinov, Nikolay 2 Granziera, Eleonora 2 Guay, Alain 2 Hafner, Christian Matthias 2 Hansen, Peter Reinhard 2 Hassler, Uwe 2 Hill, Jonathan B. 2 Hyndman, Rob J. 2 Ing, Ching-Kang 2 Jouini, Tarek 2 Karaki, Mohamad B. 2 Kascha, Christian 2 Khalaf, Lynda 2 Kitov, V. V. 2 Kreiß, Jens-Peter 2 Lahiri, Kajal 2 Lee, Tae-Hwy 2 Lee, Taewook 2 Lee, Yoon Jin 2 Leeb, Hannes 2 Lin, Zhenjiang 2 Lobato, Ignacio Norberto 2 MacKinnon, James G. 2 Medeiros, Marcelo C. 2 Meenagh, David 2 Michailidis, George C. 2 Minford, Patrick 2 Montiel Olea, José Luis 2 Moon, Hyungsik Roger 2 Nankervis, John C. 2 Ng, Serena 2 Nielsen, Morten Ørregaard 2 Orme, Chris D. 2 Pellegrino, Giovanni 2 Perron, Benoit 2 Potscher, Benedikt M. 2 Rodrigues, Paulo M. M. 2 Rüth, Sebastian K. 2 Shintani, Mototsugu 2 Smeekes, Stephan 2 Staszewska-Bystrova, Anna 2 Su, Liangjun 2 Timmermann, Allan G. 2 van Giersbergen, Noud P. A. 2 White, Halbert Lynn jun. 2 Wickens, Michael R. 2 Wilms, Ines 2 Winker, Peter 2 Wright, Jonathan H. 2 Xu, Yongdeng 2 Yamagata, Takashi 2 Zarkos, Spyros G. 2 Zhu, Ke 2 Zhu, Yinchu 1 Abeysinghe, Tilak 1 Ahlgren, Niklas 1 Alai, Daniel H. 1 Allen, Jason 1 Amano, Tomoyuki 1 Amato, Jeffery D. ...and 379 more Authors all top 5 Cited in 54 Serials 80 Journal of Econometrics 27 Econometric Reviews 25 Journal of Economic Dynamics & Control 21 Economics Letters 20 Econometric Theory 16 Computational Statistics and Data Analysis 12 Journal of Time Series Analysis 10 Journal of Statistical Computation and Simulation 7 Quantitative Economics 6 Open Economies Review 5 The Annals of Statistics 5 Studies in Nonlinear Dynamics and Econometrics 4 Communications in Statistics. Simulation and Computation 4 The Econometrics Journal 4 Journal of Business and Economic Statistics 3 International Economic Review 3 Journal of the American Statistical Association 3 Statistical Papers 3 Statistical Methods and Applications 3 Journal of Forecasting 3 AStA. Advances in Statistical Analysis 2 Physica A 2 Journal of Multivariate Analysis 2 Journal of Statistical Planning and Inference 2 European Journal of Operational Research 2 Test 2 Statistica Sinica 2 International Journal of Theoretical and Applied Finance 2 Macroeconomic Dynamics 2 Quantitative Finance 2 Journal of Systems Science and Complexity 2 Journal of Time Series Econometrics 1 The Canadian Journal of Statistics 1 Moscow University Computational Mathematics and Cybernetics 1 Insurance Mathematics & Economics 1 Statistics & Probability Letters 1 International Journal of Approximate Reasoning 1 Annals of Operations Research 1 Computational Statistics 1 Communications in Statistics. Theory and Methods 1 Cybernetics and Systems Analysis 1 Computational Economics 1 Bernoulli 1 Discrete Dynamics in Nature and Society 1 Journal of Applied Statistics 1 Communications de la Faculté des Sciences de l’Université d’Ankara. Séries A1. Mathematics and Statistics 1 Statistical Applications in Genetics and Molecular Biology 1 North American Actuarial Journal 1 Computational Management Science 1 Journal of the Korean Statistical Society 1 Advances in Decision Sciences 1 Journal of Probability and Statistics 1 Journal of Econometric Methods 1 Journal of the Japan Statistical Society. Japanese Issue all top 5 Cited in 10 Fields 267 Statistics (62-XX) 119 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 28 Numerical analysis (65-XX) 7 Probability theory and stochastic processes (60-XX) 4 Computer science (68-XX) 2 Operations research, mathematical programming (90-XX) 2 Biology and other natural sciences (92-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Systems theory; control (93-XX) Citations by Year