Why VAR Models?
Single-equation models work well for many applications, but they have a fundamental limitation when it comes to macro analysis: they assume everything else stays constant. In practice, economic variables are interconnected in ways that create cascading effects through the entire system. When inflation moves, it doesn't happen in isolation—central banks adjust policy, growth expectations shift, and market dynamics change simultaneously.
VAR modeling captures these dynamic relationships by treating variables as endogenous—each one both influences and is influenced by the others. This is why central banks from the Fed to the ECB rely on VAR frameworks for policy analysis, and why sophisticated institutional investors use them to understand how shocks propagate through markets. It's not that single-equation approaches are wrong, but they're incomplete when you need to understand the full system response to economic changes.
The practical difference matters: a single-equation inflation forecast might tell you where prices are headed, but a VAR framework shows you how that inflation shock will likely affect rates, growth, and market conditions—giving you the complete picture you need for institutional decision-making.
What You'll Master
Morning Session (9:00 AM - 12:00 PM)
VAR model fundamentals and practical specification for macro analysis
Python implementation using statsmodels and essential libraries
Lag selection criteria and diagnostic testing that actually matter
Hands-on coding with real economic data and current market conditions
Afternoon Session (1:30 PM - 5:00 PM)
Structural identification and policy transmission analysis in Python
Impulse response functions and forecasting diagnostics
Factor-augmented VAR models using principal component analysis
Case studies: modeling inflation, interest rates, and growth dynamics
Who Should Attend
Economists, analysts, and research directors at investment firms, central banks, policy institutions, and research organizations. This workshop assumes familiarity with basic econometric concepts but focuses on practical implementation rather than theoretical derivations.
Particularly valuable for professionals who need to move beyond single-equation OLS forecasting to capture complex macro interactions and policy transmission mechanisms.
Python Experience: Basic familiarity helpful but not required. We'll cover the essential Python techniques needed for VAR modeling as we go.
Workshop Details
Date: August 7, 2025
Time: 9:00 AM - 5:00 PM
Location: Midtown Manhattan (exact venue provided upon registration)
Investment: $699
Includes: All course materials, Python code, data sets, and follow-up resource access.