UNIT ROOTS AND COINTEGRATION

23 Abril 2024, 18:00 • Luís Filipe Martins

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Introduction.

Stationarity tests:

- Unit Root.

- DSP and TSP.

- Linear Regression with Nonstationary Data.

Applications with STATA.

VAR MODELS

16 Abril 2024, 19:30 • Luís Filipe Martins

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Exercises.

VAR MODELS

16 Abril 2024, 18:00 • Luís Filipe Martins

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Applications with STATA.

VAR MODELS

9 Abril 2024, 19:30 • Luís Filipe Martins

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STRUCTURAL VAR MODELS:

- Caveats of Unrestricted VARs.

- SVAR Model Specification.

- Estimation and Identification.

- Types of SVAR models (identification schemes)

- Interpreting IRFs

- IRF and Long-Run restrictions.

- Interpreting FE VD.

Applications with STATA.

VAR MODELS

9 Abril 2024, 18:00 • Luís Filipe Martins

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VAR MODELS:

- Point Forecast.

- Forecast Error.

- Variance Decomposition.

Applications with STATA.