Leading econometrician visits

Prof Luetkepohl, who specialises in time series analysis, will work with Associate Professor George Milunovich on a research collaboration, along with others from the Centre for Risk Analytics, the Department of Actuarial Studies and Business Analytics and the Department of Economics during his visit.

He will also present a seminar on Wednesday 4 March on ‘Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models’. The seminar will address tests for identification through heteroskedasticity in structural vector autoregressive analysis developed for models with two volatility states where the time point of volatility change is known.

The seminar will be held in E4R 523, starting at 10.30am for morning tea, before the seminar presentation at 11am.

Professor Luetkepohl has a professorial position at Freie Universität Berlin and the DIW Graduate Center, Berlin since 2012. He is and has been Associate Editor of a number of journals such as Econometric Theory, Journal of Econometrics, the Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviews.

He has published extensively in leading field journals and books and is author, co-author and editor of a number of books in econometrics and time series analysis. For example, he has authored an 'Introduction to Multiple Time Series Analysis' (Springer, 1991) and a 'Handbook of Matrices' (Wiley, 1996). His current teaching and research interests include methodological issues related to structural vector autoregressive modelling. Professor Luetkepohl last visited Macquarie University in 2016.