A step-by-step introduction to VAR models (with simulations on Matlab)
Identification of VARs using external instruments
notes, Version: July 2017
Bayesian VARs, step-by-step derivations of posteriors
notes, Version: June 2019
I was invited to teach courses based on this material at
Feel free to use this material for your own teaching and research. I am available to lecture on this topic, either on zoom or in person.
Introducing Bayesian Econometrics using 4 examples
The role of prior beliefs for identified and nonidentified parameters + Interpreting the effective sample size in importance sampling
notes, Version: May 2019
These notes provide two illustrative examples behind the paper "Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses", with Martin Bruns
Probability distributions frequently used in Bayesian Econometrics
notes, Matlab codes coming soon. Version: June 2019
Bayesian VARs, step-by-step derivations of posteriors (see link in VAR section above)
Introducing OLS estimation using simulations on Matlab
Notes here.
Some notes that I was asked to put together to explain yields, interest rates, government bonds, and how all this is affected by central bankds. Link here.
If you find typos and mistakes, please do get in touch