Structural Vector Autoregressive Analysis

Guest Instructor: 
Helmut Lütkepohl
Time I: 
Monday,
09:00am to 12:30pm
Venue I: 
DIW Berlin, Mohrenstr. 58, 10117 Berlin, Elinor Ostrom Hall 1.2.019 except: 16.05. Friedensburg Room 2.3.001, 17.05. & 23.05. Schwartz Room 5.2.010
Description: 

Course contents:

  1. Vector Autoregressive Models
  2. Vector Error Correction Models
  3. Structural VAR Tools
  4. Bayesian VAR Analysis
  5. Identification by Short-Run Restrictions
  6. Identification by Long-Run Restrictions
  7. Inference for Impulse Responses
  8. Sign Restrictions
  9. Identification by Heteroskedasticity or Non-Gaussianity
  10. Identification Based on External Instruments
  11. Structural VAR Analysis in a Data-Rich Environment
  12. Nonfundamental Shocks

Literature:
Lutz Kilian and Helmut Lütkepohl (2017), Structural Vector Autoregressive Analysis, Cambridge University Press.
Helmut Lütkepohl (2005), New Introduction to Multiple Time Series Analysis, Springer-Verlag.

Time:
16 × 90 min lectures during the period 13-24 May 2019

The grade for the course will be based on a paper which is due shortly after the end of the course. Details will be announced in class.

Credits: 
6.00
Program: 
Semester: 
Spring 2019
Affiliation: 
Deutsches Institut für Wirtschaftsforschung