svar模型博士外文讲义

PhD Course: Topics in advanced macroeconometrics I

Structural VAR models, 11–14 December 2006
4-day mini course

Lecturer: Hilde C. Bj?rnland, Norwegian School of Management BI

Location:

Monday and Tuesday: University of Oslo (Room 1247, Eilert Sundt's building B). To get there: http://www.uio.no/english/map/gaustadblindernnr.html )
Wednesday and Thursday: Norwegian School of Management BI (Room C2-095), To get there: http://www.bi.no/templates/FlashPage____33873.aspx
 

The course is credited with 5 ECTS in the PhD - program in economics at the University of Oslo.

Schedule
Monday 11 December, 13:15–16

Tuesday 12 December, 9:15-12

Wednesday 13 December, 9:15–11

Thursday 14 December, 9:15–12, 13:15-16

Course description
Following the pioneering work by Sims, macroeconomists have become increasingly preoccupied with the analysis of sources of economic fluctuations. Structural vector autoregressive (VAR) models have made it possible to analyze the importance of various structural shocks, and are among the main tools used in applied macroeconomic modeling today. Structural VARs have also obtained an important position as tool for policy evaluation.

This course will provide a thorough assessment of structural VARs. The course will be divided into three parts. The first part will discuss the fundamentals of structural VARs, including the Wold theorem, specification issues and the use of impulse responses and variance decompositions as a way to summarize the information content of VARs. Some preliminaries will also be covered, including a brief introduction to advanced time series concepts, stochastic processes and basic asymptotic theory.

The second part deals with the issue of transforming the information content of reduced form dynamics into structural relationships. Identification using short run and long run restrictions on the covariance matrix will be discussed. Recent policy experiments using a variety of restrictions will be used as examples.