VAR E-Course Materials (2nd Edition)

[TomDoan]

The course materials from our e-course on Vector Autoregressions has been updated to a 2nd edition. The course covers identifying and estimating VAR models, computing impulse responses and variance decompositions, historical decomposition and counterfactual simulations, structural and semi-structural VARs, and sign restrictions. We focus on techniques designed to elicit information from the data without the use of informative Bayesian priors.

The course workbook has been expanded by over 50% from the first edition. It includes a 171 page PDF e-book, along with the accompanying example programs, sample data files, and procedures.

These are included in the "Other Resources" on RATS distributions beginning with version 11.1.

For more information, check out:

Preface and Table of Contents

Sample Chapter

Download a zip which includes the course document, programs and data.