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, 1.2.019, (possibly partly in Schwartz Room)
Description: 
  1. Vector Autoregressive Models
  2. Vector Error Correction Models
  3. Structural VAR Tools
  4. Bayesian VAR Analysis
  5. Identification by Short-Run Restrictions
  6. Identfication by Long-Run Restrictions
  7. Inference for Impulse Responses
  8. Sign Restrictions
  9. Identfication 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 Lutkepohl (2017), Structural Vector Autoregressive Analysis, Cambridge University Press.
Helmut Lutkepohl (2005), New Introduction to Multiple Time Series Analysis, Springer-Verlag.

Block course during the period 19 - 30 October 2020! Please register via email to Juliane Metzner (JMetzner@diw.de)!

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