Structural Vector Autoregressive Analysis

Guest Instructor: 
Helmut Lütkepohl
Time I: 
Monday,
09:00am to 12:30pm
Venue I: 
DIW Berlin, Mohrenstr. 58, Elinor Ostrom Hall
Description: 

The course will be postponed to the fall term 2020.

  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 11-22 May 2020.

Location:

Elinor Ostrom Hall, 1.2.019, DIW Berlin, Mohrenstr. 58, 10117 Berlin.

Exam:

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.

Please register via email to Juliane Metzner.

Credits: 
6.00
Program: 
Semester: 
Spring 2020
Affiliation: 
Deutsches Institut für Wirtschaftsforschung