Lecture 12

27 Novembro 2024, 18:00 • Gabriel Zsurkis

Review of the main topics addressed in this course. Resolution of exercises.

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Lecture 11

20 Novembro 2024, 18:00 • Gabriel Zsurkis

Johansen's cointegration tests. The VEC model.

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Lecture 10

13 Novembro 2024, 18:00 • Gabriel Zsurkis

VAR processes with I(1) variables. The Cointegrated VAR Model.

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Lecture 9

6 Novembro 2024, 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

30 Outubro 2024, 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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