Lectures
The lectures follow the sequence below. Each session has webnotes, a PDF, worked solutions, and a corresponding practicum. The source code is included in the notes where it enters the argument.
| Session | Topic | Materials |
|---|---|---|
| 01 | Reduced-form VARs | Lecture · Practicum |
| 02 | Structural identification | Lecture · Practicum |
| 03 | Impulse responses and decompositions | Lecture · Practicum |
| 04 | Sign and narrative restrictions | Lecture · Practicum |
| 05 | External instruments | Lecture · Practicum |
| 06 | Local projections and fiscal multipliers | Lecture · Practicum |
| 07 | State-dependent and nonlinear models | Lecture · Practicum |
| 08 | Quantile SVARs | Lecture · Practicum |
| 09 | Factor-augmented VARs | Lecture · Practicum |
| 10 | Dynamic factor models | Lecture · Practicum |
I have grouped the course topics for these notes; the numbers do not correspond to the original class dates.
Start with the first three sessions if VAR notation is unfamiliar. The local projections lecture can be read separately with a background in least squares and instrumental variables. Sessions 09-10 use principal components, developed in the FAVAR lecture. The revision logs distinguish comparisons with the classroom code from corrected specifications and additional teaching examples.