Introduction to Vector Autoregressions in Econometrics
Explore the world of Vector Autoregressions (VARs) in econometrics with Tony Yates. This lecture provides an overview of VARs, including motivation, estimation techniques, and key concepts such as identification and factors models. Learn about the applications of VARs in macroeconomics and the resou
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Structural Identification in Vector Autoregressions
Explore the algebra of identification problems in VARs, including Cholesky factorization, timing restrictions, long-run impact restrictions, sign restrictions, and identification through heteroskedasticity. Discover why structural identification is crucial for policy design, economic modeling, and u
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Media Influence on Investor Sentiment and Stock Market Behavior
This literature review by Paul C. Tetlock explores the role of media in shaping investor sentiment and impacting stock market dynamics. The study delves into the correlation between media pessimism, market prices, trading volume, and volatility, providing insights into how media content affects mark
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MSc Time Series Econometrics
This lecture covers Vector Autoregressions (VARs), including motivation, estimation methods (MLE, OLS, Bayesian), identification criteria, factor models, TVP VAR estimation, and useful sources in the field. It also discusses matrix/linear algebra prerequisites and applications in macroeconomics. The
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