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Description
The objective of this series of tutorials is to make the theory and application of the VAR Model and Impulse Response Functions (IRFs) easier to understand. The tutorials discuss the important concepts related to VAR models and IRFs in detail using suitable examples and quizzes. The tutorials cover the following topics in detail:
- What is the VAR Model?
- Reduced-form VAR
- Cointegration and when to use the VAR or VECM Models
- When to use the VAR or SVAR Models
- VAR Model in Differences and Short-run Estimates
- VAR Model Specification with example
- Variance-Covariance Matrix of residuals
- Including Deterministic terms such as Trend and Seasonal Dummy variables
- Including Exogenous variables in a VAR system
- How to choose the Deterministic terms to include in a VAR Model
- Information Criteria including AIC, SIC and HQIC
- How to select the lag-length of the VAR Model
- Estimating and interpreting Information Criteria in R and Stata
- Estimation of the VAR Model in R
- Estimation of the VAR Model in Stata
- Estimation of VAR in Differences in R and Stata
- Things to watch-out for
- Goodness of Fit of VAR Models
- Testing for Autocorrelation of Residuals
- Portmanteau vs LM tests
- Stability of the VAR Models
- Eigenvalue Stability Condition
- Normality of Residuals using Jarque-Bera, Skewness and Kurtosis Tests
- Interpretation of Goodness of Fit Tests
- Application of Goodness of Fit Tests in R and Stata
- What are Impulse Response Functions or IRFs
- Including Contemporaneous effects with Orthogonalized Impulse Response Functions (OIRFs)
- Cholesky Decomposition
- Theory and Derivation of IRFs
- Relationship between VAR and SVAR Models
- Relationship between Reduced-form VAR Residuals and Structural-from Errors
- VAR to Vector Moving Average (VMA) Representation
- Estimation and Interpretation of IRFs
- Application of IRFs in R and Stata
- Application of everything with example
Course Instructor
VAR Model and Impulse Response Functions (IRFs)
$8.49
VAR Model Specification
Introduction: VAR vs VECM vs SVAR
VAR Model Theory and Specification
VAR Model Estimation and Goodness of fit
Deterministic Terms and Lag-length Selection
Estimation in R and Stata
Goodness of fit of VAR Models
Impulse Response Functions (IRFs)
Theory and Derivation of IRFs
Estimation and Interpretation of IRFs
