Lecture 13: VAR, impulse response functions (IRFs) and variance decomposition

This course is tailored for academics and postgraduate students (Masters and PhD) in Economics, as well as practitioners and government officials with at least a Masters degree, with limited training in econometrics and quantitative methods. It aims to enhance participants’ proficiency in time-series econometric techniques. Reneé van Eyden is a Professor of Economics at the University of Pretoria and a researcher with academic expertise in developing, presenting, and coordinating courses in economics and econometrics. Her research experience includes applied macroeconomic analysis, macroeconomic modelling, and development economics, with a special interest in the role of human empowerment and institutional quality in economic development, prosperity, and liberal democracy. LECTURE 13: ⁃ Vector Autoregressive (VAR) models ⁃ Simultaneous equation models ⁃ estimation and identification ⁃ impulse response functions ⁃ variance decomposition ⁃ Granger Causality To view accompanying resources, visit: https://econrsa.org/events/training-o...