Question: Give the basic structure of a two variable VAR model. What is the identification problem in the context of VAR models? 7 What are the

  • Give the basic structure of a two variable VAR model.
  • What is the identification problem in the context of VAR models?

7

  • What are the methodologies for choosing the appropriate lag length for a VAR model
  • What is Granger Causality and how would you test for it?

8

  • Outline the structure of a Monte Carlo experiment.
  • What are antithetic errors?
  • What is moment matching and why is it useful?

9

  • What is an IGARCH model?
  • What is a factor GARCH model?

10

  • Outline the three generations of dynamic factor models.

11

  • How would you use a dynamic factor in forecasting?

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