Structural Vector Autoregressive Analysis

Course content:

1. Vector Autoregressive Models
2. Vector Error Correction Models
3. Structural VAR Tools
4. Bayesian VAR Analysis
5. Identication by Short-Run Restrictions
6. Identication by Long-Run Restrictions
7. Inference for Impulse Responses
8. Sign Restrictions
9. Identication by Heteroskedasticity or Non-Gaussianity
10. Identication 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 & venue:
10.10.-21.10.2022 (Monday-Friday), 9:00-12:30; DIW Berlin, Mohrenstr. 58, Ostrom Hall

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.

Registration:
For registration please contact Juliane Metzner (jmetzner@diw.de).

More information can be found in the course syllabus.