G30 Econometrics II
| 1st | April | 9th | pp. 1-7. | Introduction, some basics |
| 2nd | 16th | pp. 13-21. | Basic assumptions and properties of VAR process, stable VAR(p) processes, the MA representation of a VAR process | |
| 3rd | 23th | pp. 21-27. | The MA representation of a VAR process, stationary processes, autocovariance of a VAR(1) process | |
| 4th | May | 1st | Cancelled | |
| 5th | 7th | pp. 27-37. | Autocovariance and autocorrelations of a stable VAR(p), the loss function, point forecasts, linear minimum MSE predictor | |
| 6th | 21th | pp. 37-44. | Interval forecasts and forecast regions, Granger causality | |
| 7th | 28th | pp. 44-62. | Granger causality, impulse response analysis | |
| 8th | June | 4th | pp. 63-73 | Critique of impulse response analysis, forecast error variance decomposition, multivariate least squares estimation |
| 9th | 11th | pp. 73-93 | Multivariate least squares estimation, maximum likelihood estimation | |
| 10th | 18th | pp. 94-133 | Forecasting with estimated processes, testing for Granger-causality, the asymptotic distributions of impulse responses and forecast error variance decompositions | |
| 11th | 25th | pp. 135-157 | A sequence of tests for determining the VAR order, criteria for VAR order selection | |
| 12th | July | 2th | pp. 157-192 | Checking the Whiteness of the residuals, testing for nonnormality, tests for structural change |
| 13th | 9th | Cancelled | ||
| 14th | 18th | EViews | Estimate VAR, residual tests, Granger causality, impulse response, variance decomposition | |
| 15th | 23th | pp. 193-220 | Linear constraints | |