• 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?