Presented by Prof. Lorenzo Trapani (University of Nottingham)
The course offers an intermediate/advanced level overview of stationary VARs, cointegrated VARs and the VECM, and an introduction to Structural VARs (SVARs). It is a mixture, with equivalent weights, of methodology and practice, and each session is complemented by a data example. The SVAR part is also based on discussing several examples which are commonly encountered in macroeconometrics and monetary economics.
The course is aimed at practitioners and applied researchers in general who wish to either have a comprehensive introduction to the practical use of VARs and their variants, or a more rigorous understanding of these tools.
|Morning Session (London time)||Afternoon Session (London time)||Q&A with Instructor (London time)|
Models for stationary VARs: representation, estimation, mis-specification and other testing, Granger causality, Impulse response functions, forecasting.
Models for nonstationary VARs: representation, testing for cointegration, estimation of the VECM.
Models for nonstationary VARs: restricted estimation and interpreting VECMs, Granger causality with nonstationary data, forecasting.
Structural VARs: general theory, recursive identification, worked examples, short and long-run restrictions.