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

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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.

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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.

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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

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Lecture 3

25 Setembro 2024, 18:00 • Gabriel Zsurkis

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

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