BaGBeM Research Workshop "Structural Vector Autoregressive Analysis (SVAR)"

Date: 5.-7. December 2018
Instructor: Britta Gehrke

Topics

• Structural vector autoregressions
• Identification by short-run, long-run, sign restrictions and more
• Nonlinear models
• Practical applications in Matlab

About the Instructor

Britta Gehrke is assistant professor (Juniorprofessorin) for macroeconomics and labor markets at the University of Erlangen-Nuremberg and at the Institute for Employment Research (IAB). Her main research interest are applied macroeconomics and macroeconometrics focusing on questions related to the labor market and labor market policies. She published in journals such as the European Economic Review, the Journal of International Money and Finance and Macroeconomic Dynamics. She holds a doctoral degree from the University of Erlangen-Nuremberg and a diploma in economics with a focus on econometrics and statistics from the University of Kiel.

You can find more information on Britta’s webpage here: www.macrolabor.rw.fau.de

Schedule

Wednesday, 5. December

9:30-11:00 and 11.15-12:45

• From reduced to structural form
• Preliminary remarks on VARs (Companion form, moving average representation, stationarity, cointegration, IRFs, FEVD, HVD, bootstrapping,...)
• Practical issues

14:00-15:30

• Practical applications in Matlab

Thursday, 6. December

9:30-11:00 and 11.15-12:45

• Identification by short-run and long-run restrictions in SVARs and SVECs
• Identification by sign restrictions with a digression on BVARs
• Further identification schemes

14:00-15:30

• Practical applications in Matlab

Friday, 7. December

9:30-11:00 and 11.15-12:45

• Smooth-transition models
• Further nonlinear models

14:00-15:30

• Practical applications in Matlab
• Wrap-up and open discussion