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