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Vorlesung + Übung: Macroeconomics II - Details
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General information

Course name Vorlesung + Übung: Macroeconomics II
Semester SS 2024
Current number of participants 9
Home institute Prof. Dr. Christoph Görtz - Empirische Makroökonomik
Courses type Vorlesung + Übung in category Teaching
Next date Monday, 17.06.2024 14:00 - 15:30, Room: (J: CIP 2113)
Online/Digitale Veranstaltung Veranstaltung wird in Präsenz abgehalten.
Hauptunterrichtssprache englisch

Rooms and times

(J: CIP 2113)
Monday: 14:00 - 15:30, weekly (10x)
(J: 1601)
Tuesday: 15:45 - 17:15, weekly (1x)
Tuesday: 15:45 - 17:15, weekly (1x)
(J: 2105)
Wednesday: 12:15 - 13:45, weekly (10x)

Module assignments

Comment/Description

1) Introduction to VARs

2) Interrelation between VARs and DSGE models

3) Estimation and Analyis of VARs
- stationarity
- setting up a VAR
- estimating a VAR
- impulse response functions
- confidence bands
- forecasting
- Granger causality
- orthogonalised VAR systems
- forecast error variance decomposition
- practical applications

4) Structural Vectorautoregressions (SVAR)
- the recursive VAR as SVAR
- SVAR identification using short-run restrictions
- Estimation of SVARs (including maximum likelihood)
- SVAR identification using long-run restrictions
- SVAR identification using sign restrictions
- SVAR and instrumental varialbes
- SVAR identification using external (proxy) instrumental variables
- SVAR identification using heteroskedsticity
- practical applications

5) SVAR and Local Projections
- practical applications