Elective courses

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

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:
09.10.-20.10.2023 (Monday-Friday), 9:00-12:00; DIW Berlin, Mohrenstr. 58, Ostrom Hall

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 gradcenter@diw.de.

More information can be found in the course syllabus.

Guest Lecturer(s)

Helmut Lütkepohl