Lecture 9

5 Novembro 2025, 18:00 • Gabriel Zsurkis

Model Selection Criteria with VAR Models. Checking VAR Model Adequacy. Several Model Diagnostic Checking tools. Applications with R.

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Lecture 8

29 Outubro 2025, 18:00 • Gabriel Zsurkis

Forecasting with fitted VAR models. Statistical Inference with Estimated VAR Models with focus on t-ratios, Granger and Contemporaneous Causality. Statistical Inference about IRFs and FEVDs.

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Lecture 7

22 Outubro 2025, 18:00 • Gabriel Zsurkis

Estimation methods with VAR models. Asymptotic Properties of OLS Estimators of the VAR coefficients. Statistical Inference with Estimated VAR Models

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Lecture 6

15 Outubro 2025, 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

8 Outubro 2025, 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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