DGPE PhD course: Structural Vector autoregressions I

6-7 November 2014. Lecturer: Professor Markku Lanne, University of Helsinki and CREATES

2014.01.03 | Solveig Nygaard Sørensen

Date Thu 06 Nov Fri 07 Nov
Time 10:00    12:00
Location Fuglesangs Allé 4, 8210 Aarhus V, bldg. 2636, room 116

The course offers an introduction to structural vector autoregressive (VAR) models widely employed in empirical macroeconomics and finance. After introducing the vector autoregressive model, several approaches to identifying economic shocks put forth in the literature are discussed, including short-run and long-run restrictions, sign restrictions, and statistical identification. The relationship between dynamic stochastic general equilibrium (DSGE) and VAR models and issues related to non-fundamentalness in structural VAR analysis are also considered. Theoretical results on the identification and estimation of SVAR models and impulse response analysis are illustrated though several empirical applications.

Registration

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The course is free of charge for DGPE members from AU, KU, CBS, SDU, and Nordic universities. The course fee is EUR 300 for other participants.

Contact

Lecturer: Professor Markku Lanne, University of Helsinki and CREATES
Email: markku.lanne@helsinki.fi

Administrative support: Solveig Nygaard Sørensen, sns@econ.au.dk

DGPE Courses