Sumários
Lecture 7
2 Novembro 2022, 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.
Lecture 6
26 Outubro 2022, 18:00 • Gabriel Zsurkis
Orthogonalized Impulse Response Functions. Structural Vector Autoregressions (SVAR). SVAR identification schemes. Choleski Decomposition.
Lecture 5
19 Outubro 2022, 18:00 • Gabriel Zsurkis
Impulse Response Function Analysis: forecast error IRFs and orthogonalized IRFs. The Cholesky Decomposition. The Forecast Error Variance Decomposition.
Lecture 4
12 Outubro 2022, 18:00 • Gabriel Zsurkis
Prediction intervals and forecast regions. Granger Causality and Multi-step Causality. Limitations of the concept of Granger-Causality
Lecture 3
28 Setembro 2022, 18:00 • Gabriel Zsurkis
Solution of R homework exercise. Forecasting with VAR Processes. Point forecasts and Interval forecasts with VAR processes