A Basic Text on Vector Autoregressions is James Hamilton, Time Series Analysis, Princeton University Press, 1994

Other background materials closely related to course:

· Christiano, Eichenbaum and Evans, Monetary Policy Shocks: What Have We Learned, and To What End, joint with Martin Eichenbaum and Charles Evans, in Taylor and Woodford, Handbook of Monetary Economics, 1999.

· Christiano, Eichenbaum and Evans, ‘Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy’. 

· Altig, Christiano, Eichenbaum and Linde, `Firm-Specific Capital, Nominal Rigidities and the Business Cycle’.

Another related reference:

· Christiano, Eichenbaum and Vigfusson, `What Happens After a Technology Shock’.

For in-depth discussions of computation of confidence intervals for VAR's see

· Sims and Zha's material, which can be found on Sims' web site: http://eco-072399b.princeton.edu/yftp/imperrs/

· See also the Sims-Uhlig paper for a discussion of Classical versus Bayesian confidence intervals.

· Some background notes on Sims-Uhlig appears here.