This is an intermediate to advanced course on the practice (and some elements on the theory) of Vector AutoRegression. Vector Autoregression (VAR) is used to capture the linear interdependencies among multiple time series.
The course will cover: stationary VARs, starting from the basics and tackling more advanced techniques such as dealing with over-parameterisation via Bayesian estimation; non-stationary VARs and Johansen approach to cointegration; and structural VARs, and what can be done in EViews 10, will also be explored.
Day 1 - Stationary VARs
Session 1: Stationary VARs (Part 1)
- VAR representation and estimation
Session 2: Stationary VARs (Part 2)
- Testing with multivariate regression
- Granger causality
- Lag selection
- Misspecification tests
- VAR forecasting
Session 3: Bayesian VARs (Part 1)
- Introductory notions on priors and shrinkage
- The BVAR object in EViews
Session 4: Bayesian VARs (Part 2)
- Further discussion of priors; exercises on stationary VARS and BVARS
Day 2 - Non-Stationary VARs
Session 1: Non-Stationary VARs (Part 1)
- Cointegrated VARS in EViews: Johansen’s test for cointegration
Session 2: Non-Stationary VARs (Part 2)
- The Vector (Error) Correction Model (VECM)
- Estimating and interpreting a VECM in EViews
Session 3: Non-Stationary VARs (Part 3)
- Granger causality analysis in cointegrated VAR
Session 4: More on the impulse response function
- Worked examples using VARS, non-stationary VARS and BVARS
Day 3 - Structural VARs and foundations of time-varying VARs
Session 1: Structural VARs (Part 1)
- Structural restrictions: syntax and preliminary information
Session 2: Structural VARs (Part 2)
- Short-run restrictions: theory, obtaining response to shocks and exercises
Session 3: Structural VARs (Part 3)
- Long-run restrictions: theory, obtaining response to shocks and exercises
Session 4: Time varying VARs
- An introduction to the time-varying parameter model in EViews; specifying a multivariate time varying parameter model
Principal texts for pre-course reading
- Hamilton, J.D., 1994. Time Series Analysis. Princeton University Press.
Principal texts for post-course reading
- Pesaran, M.H., 2015. Time Series and Panel Data Econometrics. Oxford University Press.
Subject to minor changes
Eviews Temporary License
Find below the links to download the EViews temporary licence for both 32-bit and 64-bit operating systems. (alt) refers to an alternate link should the first link not work. These are for laptops running Windows only. If you use Mac OS (or others) then please contact us.
32-bit:32-bit Installer (alt)
64-bit:64-bit Installer (alt)
We recommend installing the software now so that if any problems occur we can help you over the next few days and are then better prepared for the school. Please note that if you require a laptop during the course you are able to use a Timberlake laptop if you notify us in advance of the course.
- Econometrics knowledge - Knowledge of basic econometrics (at a minimum: time series regression, least squares estimation, mis-specification testing, univariate cointegration).
- Software knowledge - In terms of software knowledge: basic knowledge of EViews (any version, although version 10 is preferable).
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.
- Cost includes course materials, lunch and refreshments.
- 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.
- If you need assistance in locating hotel accommodation, please notify us at the time of booking.
- 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.
The number of seats available is restricted. Please register early to guarantee your place.