October 19 - 30, 2020

Graduate Center Short Course

Structural Vector Autoregressive Analysis

Date

October 19 - 30, 2020
Monday - Friday
09:00-12:30
Elinor Ostrom Hall,
except 21.10., 27.10. and 29.10. in Schwartz-room

Location

Elinor Ostrom Hall
DIW Berlin
Mohrenstr. 58
10117 Berlin

Speaker

Helmut Lütkepohl

Syllabus

  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.