Title: Introduction to Multivariate Time Series Models
Instructor: Professor Patrick Brandt (Ph.D. University of Indiana) of the University of North Texas
Location: Irving Hoch Conference Room (GR3.606)
The course focuses on various vector autoregression models and considers Bayesian VARs, vector error correction models, impulse response analyses, and forecasting with VARs. The course is based on Dr. Brandt’s new Sage book on these topics, as well as work underway on an NSF project with John Freeman at University of Minnesota. The course emphasizes applications, and examples will be presented using the RATS and R programs.
Course Notes: The course slides are available in PDF format and can be downloaded together in this ZIP file.