Описание:It is somewhat rare that a single variable can describe complex phenomenons like modern economics and finance. Instead, it is far more common to use two or more variables to model their dynamics. Therefore, in this course, we turn our attention to the joint modelling of two or more time series. Particularly, I will focus on four methodologies:
• Vector Auto-Regression (VAR) models;
• Vector Error-Correction (VEC) models;
• Bayesian VAR models;
• High-dimensional VAR models with LASSO.