Lecture 6

14 Outubro 2026, 18:00 • Gabriel Zsurkis

Structural Vector Autoregressions (SVAR). SVAR identification schemes. Choleski Decomposition. Review of the main topics addressed in Chapter 2.

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Lecture 5

7 Outubro 2026, 18:00 • Gabriel Zsurkis

Impulse Response Function Analysis: forecast error IRFs and orthogonalized IRFs. The Cholesky Decomposition. The Forecast Error Variance Decomposition.

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Lecture 4

30 Setembro 2026, 18:00 • Gabriel Zsurkis

Granger Causality and Multi-step Causality. Limitations of the concept of Granger-Causality. Impulse Response Function

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Lecture 3

23 Setembro 2026, 18:00 • Gabriel Zsurkis

Forecasting with VAR Processes. Point forecasts and Interval forecasts with VAR processes

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Lecture 2

16 Setembro 2026, 18:00 • Gabriel Zsurkis

Main properties of Vector Autoregressive Processes. The Wold Decomposition. Stationarity and Stability Conditions for VAR Processes. Mean, Variance, Autocovariance and Autocorrelation Functions. The Yule Walker Equations

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