Lecture 8

22 Novembro 2021, 18:00 • Nuno Sobreira

Asymptotic Properties of OLS Estimators of the VAR coefficients. Statistical Inference with Estimated VAR Models with focus on t-ratios, Granger and Contemporaneous Causality, IRFs and FEVDs.   

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Lecture 7

17 Novembro 2021, 18:00 • Nuno Sobreira

End of Chapter 2. Estimation methods with VAR models. 

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Lecture 6

10 Novembro 2021, 18:00 • Nuno Sobreira

Orthogonalized Impulse Response Functions. Structural Vector Autoregressions (SVAR). SVAR identification schemes. Choleski Decomposition. 

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Lecture 5

3 Novembro 2021, 18:00 • Nuno Sobreira

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

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Lecture 4

27 Outubro 2021, 18:00 • Nuno Sobreira

The VMA representation of VAR Processes. Prediction intervals and forecast regions. Granger Causality and Multi-step Causality. Limitations of the concept of Granger-Causality. 

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