マクロ数量分析特研II
| 第 １回 | １０月 | ３日 | pp. 270-285. | Estimation of a simple special case VECM |
| 第 ２回 | １７日 | pp. 286-309 | Estimation of general VECMs, estimating VECMs with parameter restrictions | |
| 第 ３回 | ２４日 | 休講 | ||
| 第 ４回 | ３１日 | pp. 315-324 | Forecasting estimated integrated and cointegrated systems, testing for Granger-causality, impulse response analysis | |
| 第 ５回 | １１月 | ７日 | pp. 325-343 | Lag order selection, testing for the rank of cointegration |
| 第 ６回 | １４日 | pp. 343-352 | Subset VECMs, model diagnostics | |
| 第 ７回 | ２８日 | pp. 357-372 | Structural vector autoregressions, Structural vector error correction models | |
| 第 ８回 | １２月 | ５日 | pp. 372-386 | Estimation of structural parameters, impulse response analysis and forecast error variance decomposition |
| 第 ９回 | １２日 | pp. 387-400 | Systems with unmodelled variables, estimation | |
| 第１０回 | １９日 | pp. 401-413 | Forecasting, multiplier analysis, optimal control | |
| 第１１回 | ２６日 | pp. 419-446 | Finite order MA processes, VARMA processes, The autocovariances and autocorrelations of VARMA, forecasting VARMA processes | |
| interpretation of VARMA models | ||||
| 第１２回 | １月 | １６日 | pp. 447-492 | The identification problem |
| 第１３回 | ２３日 | pp. 493-514 | Specification of the final equations form, specification of Echelon forms | |
| 第１４回 | ３０日 | pp. 515-529 | The VARMA framework for I(1) variables, estimation, specification of EC-ARMA_RE, forecasting cointegrated VARMA | |
| 第１５回 | ２月 | ６日 | pp. 531-553 | Multivariate LSE, forecasting, impulse response analysis and forecast error variance decomposition, cointegrated infinite VARs |