The course materials from our e-course on Vector Autoregressions is available for sale. The course covers identifying and estimating VAR models, computing impulse responses and variance decompositions, historical decomposition and counterfactual simulations, structural and semi-structural VARs, and sign restrictions. We focus on techniques designed to elicit information from the data without the use of informative Bayesian priors (see the Bayesian Econometrics course for a treatment of Bayesian techniques).
The course materials package includes a 104 page PDF e-book, along with the accompanying example programs, sample data files, and procedures. The workbook and materials are $50. You can order on-line at:
You can view the Preface and Table of Contents at http://www.estima.com/ecourse/samples/contents_vars.shtml