SEB LU offers PhD course Topics in Structural VAR Modeling , thought by Professor Luca Fanelli (University of Bologna, Italy)

School of Economics and Business, University of Ljubljana offers PhD course Topics in Structural VAR Modeling , thought by Professor Luca Fanelli, University of Bologna, Italy, on June, 19-23, 2023

Course topic

Structural vector autoregression models (SVARs) represent an important set of time-series models used by macroeconomists. This course aims to introduce students to up to date SVARs methods. After introducing small-scale monetary dynamic stochastic general equilibrium models (DSGEs) and basics of structural VARs (impulse response functions, forward error variance decomposition), the course will cover specification, identification and estimation of structural VARs. Among the novel estimation approaches, the course will cover also sign restrictions to identification, statistical approach to identification (e.g. based on heteroskedasticity), and a more “structural” approach to identification-through-heteroskedasticity and the external variables approach.

Lecturer

Professor Luca Fanelli is professor at the University of Bologna, Italy. His  fields of research are Macroeconometrics, Time Series Econometrics and Applied Macroeconomics.

The course is delivered in cooperation with the Bank of Slovenia.

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