Graduate Center Short Course

Helmut Lütkepohl

Structural Vector Autoregressive Analysis

Syllabus

  1. Vector Autoregressive Models
  2. Vector Error Correction Models
  3. Structural VAR Tools
  4. Bayesian VAR Analysis
  5. Identification by Short-Run Restrictions
  6. Identification by Long-Run Restrictions
  7. Inference for Impulse Responses
  8. Sign Restrictions
  9. Identification by Heteroskedasticity or Non-Gaussianity
  10. Identification Based on External Instruments
  11. Structural VAR Analysis in a Data-Rich Environment
  12. Nonfundamental Shocks
  • 19.10.2020 - 30.10.2020
  • Monday - Friday
    09:00-12:30
    Elinor Ostrom Hall,
    except 21.10., 27.10. and 29.10. in Schwartz-room
  • Elinor Ostrom Hall
    Mohrenstr. 58
    10117 Berlin
  • More details
Speakers
  • Helmut Lütkepohl
    hluetkepohl@diw.de
    +49 30 89789 236
Contacts
  • Juliane Metzner
    jmetzner@diw.de
    +49 30 89789 246