BaGBeM Research Workshop "SVAR analysis"

Date: Tue 12th - Thu 14th of May 2020
Instructor: PD Dr. Sven Schreiber
Room: F21/02.24

Participants are assumed to be familiar with basic VAR analysis including specification (lag order), estimation (frequentist), dealing with cointegration, recursive Cholesky shock identification, the meanings of IRF and FEVD. These topics will only be briefly reviewed, mostly to clarify the notation.

Software used for demonstration and applications will be gretl and R (both open source and cross-platform). Participants are invited to pre-install these packages and bring their laptops to the BaGBeM Research Workshop.

Topics

  • traditional short-run (impact) identifying restrictions
  • long-run restrictions (Blanchard-Quah style as well as cointegration)
  • IRF bootstrap details, pitfalls and solutions
  • medium-run restrictions
  • sign restrictions and more general set identification
  • other data-property based identification approaches

What will not be covered, only briefly mentioned:

  • proxy SVARs
  • time-varying parameters (smooth transition, switching, etc.)

About the instructor

Sven Schreiber studied economics at the Free University Berlin and the Universidad Autónoma de Madrid. After serving as a junior fellow from 1998 through 2002 he received a doctorate in economics from the Free University Berlin. From 2003 until 2008 he was an Assistant Professsor at Goethe University Frankfurt-upon-Main, where he was awarded the Habilitation in economics and econometrics. He joined the IMK (Macroeconomic Policy Institute) as a Senior Economist in 2008, interrupted by stand-in professorships for econometrics (Free Uni Berlin, 2008/09) and for growth and business cycle analysis (Uni Hamburg, 2011-13). He is a co-author of the SVAR addon for the open-source econometrics software gretl and has published applied as well as methods papers. (Web page: econ.svens.de)

Schedule

Tuesday, 12 May 2020

10:00 – 12:00 (c.t.) – lecture

13:00 – 15:00 (c.t.) – lecture and integrated tutorial

Wednesday, 13 May 2020

10:00 – 12:00 (c.t.) – lecture and integrated tutorial

13:00 – 15:00 (c.t.) – lecture and integrated tutorial

16:00 – 17:00 – individual consulting slots / office hour

Thursday, 14 May 2020

10:00 – 12:00 (c.t.) – lecture and integrated tutorial

12:00 – 13:00 – individual consulting slots / office hour

Literature

Mainly: Kilian & Lütkepohl‘s (2017) textbook: Structural Vector Autoregressive Analysis (Themes in Modern Econometrics), Cambridge University Press.

Furthermore: the SVAR gretl addon documentation (Lucchetti & Schreiber, available as a pdf document as part of the package, 47 pages).