The Cointegrated VAR Approach: Methodology and Applications – University of Copenhagen

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The Cointegrated VAR Approach: Methodology and Applications 

Master Courses
Offered: 6th August - 26th August 2012
ECTS: 10

Teacher: Katarina Juselius, katarina.juselius@econ.ku.dk , Søren Johansen, soren.johansen@econ.ku.dk


The focus of this course is on likelihood based analysis of the cointegrated VAR model with an emphasis on applicability, particularly in the field of macroeconomics and international finance. Cointegration analysis is a means to uncover, estimate and test stationary relations among non-stationary variables. The reason why this is interesting is that such stationary relations often can be interpreted as equilibrium relations between economic variables. Within the cointegrated VAR model it is possible to investigate dynamic interaction and feed-back effects, in particular how deviations from a steady-state relation affect the economic system. Furthermore, it is also possible to make inference on the common driving trends which have generated the non-stationarity of the data. The reason why this is interesting is that these common trends can be interpreted in terms of unanticipated shocks to the variables of the system. In short the cointegrated VAR model allows us to investigate the economic reality as a system of pulling forces (the equilibrium correction forces) and the pushing forces (the common stochastic trends).
The course includes the topics:
(i) Introduction to central concepts: vector autoregressive processes, error-correction models, non-stationary processes and cointegration.
(ii) Representation of cointegrated processes.
(iii) Estimation and testing in the cointegrated VAR model.
(iv) Identification and estimation of structural econometric models and common trends models.
(iv) Introduction to processes integrated of order 2.

Teaching and Work Forms: Lectures, exercises, and individual project work under guidance.

More information in the course catalog

Scholarship

The Institute of New Economic Thinking www.ineteconomics.org has granted 10 scholarships of 4000$ each to cover tuition fee and other expenses associated with participation in the Cointegrated VAR Approach. Priority is given to students of less privileged background. To be selected for a scholarship the applicant needs to document (1) excellence in graduate/postgraduate studies, in particular in more demanding subjects such as econometrics, statistics, mathematics and economics and (2) her/his economic background, for example monthly allowances, parental support, etc.