Empirical

  1. Simultaneus equation models: interpretation of the coeffcients in structural and reduced form, interpretation of the of Sargan and Hausman tests
  2. General to specific methodology: choice of the set of explanatory variables, the optimum number of lags using information criteria and formal testing procedures (tests of joint hypotheses)
  3. ADL model: intepretation of coeffcients (impact and long run multipliers), ability to compute long-run equlibrium for ADL model, interpretation of mean lag and the consequences of autocorrelation test, interpretation of Granger causality tests
  4. Nonstationarity: intepretation of ADF test
  5. ECM: intepretation of the ADF cointegration test, interpretation of results of the two-step Engle-Granger procedure (long run coeffcients, adjustment coeffcients)
  6. VAR: verification of the stability of VAR system, interpretation of Granger causality tests, interpretation of impulse response functions graphs (for unit shocks and ortogonalized shocks), intepretation of the forecast variance decomposition graphs, intepretation of autocorelation tests, the choice of optimal number of lags
  7. VECM: the same alement as for VAR + interpetation of results of the Johansen test, identification of cointegrating vectors, intepratation of cointegreation vectors and adjustment coefficients