Sumários
Lecture 7
23 Outubro 2024, 18:00 • Gabriel Zsurkis
Estimation methods with VAR models. Asymptotic Properties of OLS Estimators of the VAR coefficients. Statistical Inference with Estimated VAR Models
Lecture 6
16 Outubro 2024, 18:00 • Gabriel Zsurkis
Structural Vector Autoregressions (SVAR). SVAR identification schemes. Choleski Decomposition. Review of the main topics addressed in Chapter 2.
Lecture 5
9 Outubro 2024, 18:00 • Gabriel Zsurkis
Impulse Response Function Analysis: forecast error IRFs and orthogonalized IRFs. The Cholesky Decomposition. The Forecast Error Variance Decomposition.
Lecture 4
2 Outubro 2024, 18:00 • Gabriel Zsurkis
Granger Causality and Multi-step Causality. Limitations of the concept of Granger-Causality. Impulse Response Function
Lecture 3
25 Setembro 2024, 18:00 • Gabriel Zsurkis
Forecasting with VAR Processes. Point forecasts and Interval forecasts with VAR processes