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A Bayesian Approach to Identification of Structural VAR Models

This course will focus on estimation and inference in structural vector autoregressive(SVAR) models which are the workhorse models in empirical macroeconomics. The goal of this course is to equip participants with state-of-the art Bayesian methods for empirical research and policy analysis. The course challenges the current practice of identification of VAR models by introducing a more general Bayesian framework that encompasses standard identification approaches as special cases. Drawing structural inference from VAR models requires making use of prior information. This course provides formal tools of Bayesian analysis that allow to incorporate prior beliefs about structural coefficients, the impacts of shocks, and other structural objects of interest in a flexible way. The methods introduced in the lectures will be illustrated with applications to monetary policy, labor market dynamics, and oil price fluctuations aswell as hands-on programming in Matlab.