Lecture 7

25 Outubro 2023, 18:00 • Gabriel Zsurkis

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

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Lecture 6

18 Outubro 2023, 18:00 • Gabriel Zsurkis

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

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Lecture 5

11 Outubro 2023, 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

4 Outubro 2023, 18:00 • Gabriel Zsurkis

Prediction intervals and forecast regions. Granger Causality and Multi-step Causality. Limitations of the concept of Granger-Causality

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Lecture 3

27 Setembro 2023, 18:00 • Gabriel Zsurkis

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

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