Structural Modeling of Economic Time Series

Christopher A. Sims gave the Tinbergen Econometrics Lectures in 2015. These lectures are a joint event with the Econometric Institute of the Erasmus School of Economics.

Chris Sims is the John F. Sherrerd ’52 University Professor of Economics at Princeton University, United States. Together with Thomas Sargent, Sims won the Nobelprize in economics in 2011.

These lectures start with a discussion of standard structural Vector AutoRegressive (VAR) Models. The usual identification strategies where use is made of information on contemporaneous coefficients, on long-run restrictions, and on “sign restrictions” is covered. Further, identification through heteroskedasticity and Markov switching is treated. Panel VAR’s are covered with special attention on identification using heteroskedasticity and hierarchical modeling.

The topics are summarized and given as: setting priors, handling initial conditions, identification, and testing restrictions.

Introductory Lectures on Markov Chain Monte Carlo and Kalman Filters were presented by Professor Herman van Dijk.