External: Notes on VARs and Bayesian Econometrics

Author: Michele Piffer

Notes on econometrics useful for macroeconomics. From simple hypothesis testing, VAR modes, Bayesian econometrics and VAR models with external instruments.

External: Econometrics Notes

Author: Ross Doppelt

Graduate econometrics notes

Vector Autoregressions (VARs)

Author: Ambrogio Cesa-Bianchi

A brief overview on Vector Autoregression models (VARs). The notes explain how to estimate reduced form VARs; how to identify structural shocks, with zero short-run restrictions (Cholesky), zero long-run restrictions (Blanchard-Quah), and sign restrictions; how to compute Impulse Response Functions (IRFs), Forecast Error Variance Decomposition (FEVDs), and Historical Decompositions (HDs); and present some "famous" applications as an example.

A primer on Global Vector Autoregressions (GVARs)

Author: Ambrogio Cesa-Bianchi

Explanatory notes on the basic functioning of Global Vector Autoregressive (GVAR) models. The notes build a very simple GVAR model as an example to provide intuition; describe the econometrics behind the model; and present two GVAR applications on the international transmission of shocks.

  • slides