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
Essential VAR Implementation (4 Hours with Break)
VAR model fundamentals and specification for macro analysis
Python implementation using Statsmodels and core libraries
Lag selection and essential diagnostic testing procedures
Building your first VAR model with real economic data
Basic impulse response analysis and interpretation
Understanding when VAR results make economic sense
Haver Analytics data used throughout the training
This intensive online session covers the core VAR essentials every macro practitioner needs. You'll leave with working Python code and the foundational knowledge to implement VAR models in your institutional environment.
Who Should Attend
Economists, analysts, and research directors at investment firms, central banks, policy institutions, and research organizations who need practical VAR implementation skills. This workshop assumes familiarity with basic econometric concepts but focuses on hands-on implementation rather than theory.
Ideal for professionals who need solid VAR foundations with focused time commitment—perfect for building essential skills or preparing for more advanced multivariate modeling.
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: Friday August 8, 2025
Time: 8:00 AM - 12:00 PM Mountain Standard Time
Format: Live online with interactive coding
Investment: $299 (Discounted rate for all Haver Analytics clients - Please contact for more info)
Includes: All course materials, Python code, data sets, and follow-up resource access.