GVAR Course

The GVAR course is a three to four day course taught by Dr L. Vanessa Smith which is a combination of theory and practice, offered by the EcoMod Modeling School or delivered privately. For further details and information through EcoMod visit the link here. For private provision of the course to your institution please contact Dr L. Vanessa Smith directly.

Course Objective:

The objective of the course is to introduce the necessary tools and econometric techniques used in the development and analysis of a GVAR model for policy analysis and forecasting. The course is primarily tailored to participants who are interested in using the GVAR methodology, or new users, wishing to familiarise themselves with the use of the Toolbox and underlying econometric techniques in a short time frame.

By the end of the course the participants will have acquired detailed knowledge of and hands-on experience in:

• • setting up the database for such models

  • specifying and estimating individual VECMX* models

  • conducting diagnostic tests for the individual model equations

  • testing for weak exogeneity

  • testing over-identifying restrictions on the cointegrating vectors

  • testing for structural breaks within the estimated VECMX* models

• including a dominant unit model in the GVAR

  • solving the GVAR model using fixed/time-varying weights

  • performing dynamic analysis using the GVAR model including: persistence profiles, impulse response functions and forecast error variance decomposition

• forecasting with the GVAR

  • trend/cycle decomposition of the GVAR.

Methodology:

The course includes both theoretical and practical sessions. The theoretical sessions cover the theoretical foundations underlying the GVAR modelling approach. This knowledge provides useful background for the practical sessions. These include hands on use of the GVAR Toolbox 2.0 that will give the participants the opportunity to build their own GVAR model with step by step guidance from the instructor Dr L. Vanessa Smith.

Scholarships:

EcoMod offers a limited number of partial scholarships to candidates from developing countries and transition economies. For more information on submitting an application for a scholarship visit the link here. The deadline to apply is two months before the beginning of the course.