A Basic Text on Vector Autoregressions is
James Hamilton, Time Series Analysis,
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
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.