| Description |
Course number in the Lehrveranstaltungskatalog: 26496
Course description: I. General characteristics of the course The main focus of the course will be on structural VAR (henceforth, SVAR) analysis and its applications, but I will also discuss several issues which are either conceptually related, or instrumental to specific uses of VARs (e.g., bootstrapping, in order to get confidence intervals with the correct coverage; break tests, in order to ascertain whether specific VAR features have changed over time; etc. etc.). The lectures will systematically integrate theory and empirical applications: each theoretical/conceptual issue will be implemented in MATLAB in class, thus allowing students to progressively develop their skills in pursuing empirical macroeconomic research.
Readings:
- James Hamilton, Time Series Analysis, Princeton University Press, in particular chapters 10 and 11
- Helmut Luetkepohl, Introduction to Multiple Time Series Analysis, Springer-Verlag, in particular chapters 2 and 3
- Fabio Canova, Methods for Applied Macroeconomic Research, Princeton University Press
Important: If you are going to participate in this course please register in KSL (open from 15.07.-08.09.2024)
Language: English
Credits: 4 SWS / 6 ECTS
During the period between the end of the theoretical and practical (i.e., computer-based) lectures (around early November) and the end of the course itself (around mid-December), students will be required to
(1) agree with Mr. Benati on a topic for the term paper (which is due on the last day of classes), and
(2) work on the term paper under his supervision during classes.
Conditions (1) and (2) are necessary—although not sufficient—in order to pass the class.
Lectures:
Monday, 08:15 - 10:00h, A 322 PC Pool UniS
Tuesday, 08:15 - 10:00h, A 322 PC Pool UniS
Evaluation: 50% of the grade will be based on 3 homeworks. The remaining 50% will be based on a term paper, which is due by the last day of class (17.12.2024) |
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