Vector Autoregression (VAR) Modelling using EViews (Online)

Online 2 days (29th March 2021 - 30th March 2021) EViews Advanced, Intermediate
Econometrics, Various methods

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.

Course Timetable

Morning Session (London time) Afternoon Session (London time) Q&A with Instructor (London time)
10am-12pm 2pm-4pm 4pm-4:30pm
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Agenda

Session 1

Models for stationary VARs: representation, estimation, mis-specification and other testing, Granger causality, Impulse response functions, forecasting.

Session 2

Models for nonstationary VARs: representation, testing for cointegration, estimation of the VECM.

Session 3

Models for nonstationary VARs: restricted estimation and interpreting VECMs, Granger causality with nonstationary data, forecasting.

Session 4

Structural VARs: general theory, recursive identification, worked examples, short and long-run restrictions.

Prerequisites

  • Knowledge of basic econometrics (OLS estimation, mis-specification analysis) is required.
  • No pre-reading is needed; references for post-course reading will be provided during the course itself.

Terms & Conditions

  • Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
  • Additional discounts are available for multiple registrations.
  • Attendees are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course.
  • Payment of course fees required prior to the course start date.
  • Registration closes 5-calendar days prior to the start of the course.
    • 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
    • 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
    • No fee returned for cancellations made less than 14-calendar days prior to the start of the course.
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