Master's Degree in Economics and Finance

Master's Degree in Specialized Economic Analysis

Master's Degree in Data Science

Admissions

Career Services

Alumni Community

Economics Program

Financial Economics Program

PhD Economics Track Program

Go to Master's degrees

Close

Macroeconometrics

Bayesian Macroeconometrics

Learn Advanced Techniques for Economic Modeling, Policy Analysis, and Forecasting

20h (10 days)

€775 - €1,325

Online

English

Program date: February 3 - 14, 2025

Early bird deadline: January 7, 2025

Learn more

Bayesian Macroeconometrics

Applications for 2025 Executive Education courses are now open!

Apply

Executive education

Macroeconometrics

Bayesian Macroeconometrics

This course aims to introduce state-of-the-art methods for structural analysis and forecasting with Bayesian Vector Autoregressions (BVARs) and explores advanced methods for economic model development, trend forecasting, and policy analysis.

Teaching Faculty:

Learning Bayesian Macroeconometrics with BSE gives participants a unique experience

1

Master Bayesian Techniques for Macroeconomic Analysis: Learn to apply Bayesian Vector Autoregressions (BVARs) with advanced models including time-varying coefficients and volatilities.

2

Hands-on MATLAB Training: Practical sessions with MATLAB code to implement theoretical concepts in real-world scenarios.

3

Guidance from Expert Economists: Instruction by leading researchers in Bayesian econometrics.

4

Flexible Online Learning: Live sessions with recorded content for flexible learning

5

Get guidance and feedback: BSE Faculty and peers are available to discuss research projects, enhancing your analytical and research capabilities.

Apply Bayesian methods for more robust decision-making in macroeconomic analysis and forecasting.

The course has been designed for the following profiles:

Researchers who want to use the latest advances in Bayesian Time Series Analysis.
Master’s and PhD students who want to extend their knowledge of Bayesian Methods and learn more about frontier research topics.
Central bank practitioners and those in private and public institutions seeking to update knowledge and acquire the latest techniques.

Understand and apply the most recent techniques in Bayesian Macroeconomic Analysis

By the end of this course, participants will have:

Developed a deep understanding of advanced Bayesian methods for macroeconomic modeling using Bayesian BVARs.
Gained practical skills in applying Bayesian techniques to real-world macroeconomic data for forecasting and policy analysis.
Learned to construct various Bayesian models such as BVAR, DSGE, and Factor-Augmented VARs, with practical exercises in model specification, estimation, and evaluation.

Program Syllabus for Bayesian Macroeconometrics

Here is a brief outline of the topics that will be covered in the next edition of the course.

Course Outline

Introduction to Vector Autoregressions.
Forecasting formulae.
Classical estimation of VAR models.
Curse of dimensionality.
Bayes formula.
The likelihood principle.
Common misconceptions about unit roots and cointegration.
The Minnesota prior.
Bayesian Vector Autoregressions.
The independent Normal-Inverse Wishart prior.
Gibbs sampling.
The conjugate Normal-Inverse Wishart prior.
Monte Carlo sampling.
Marginal likelihood. Hierarchical priors.
Priors from DSGE models.
VARs with time-varying coefficients. Forward filtering/backward sampling algorithms.
Carter-Kohn algorithm.
VARs with time-varying volatilities.
The Kim, Shepard, and Chib algorithm.
Metropolis-Hastings algorithms.
The Jacquier-Polson-Rossi approach.
Volatility in mean model and leverage model.
Large Bayesian VARs.
Homoskedastic VARs with conjugate prior.
Triangularization.
Large Bayesian VARs with drifting volatilities and non-conjugate priors.
Density forecasting and fan charts.

Why should you attend BSE Executive Education courses?

All BSE Executive Education courses are taught to the same high standard as our Master’s programs.

1

Network with like-minded peers from around the world.

2

Short courses allow you to learn without a big time commitment.

3

Try something new and expand your knowledge and career prospects, or advance your thesis.

Admissions

Are you thinking of applying to BSE Bayesian Macroeconometrics Executive Education course? Check you meet the requirements below:

Course start date: February 3, 2025

Deadline to apply: January 30, 2025

Requirements

Candidates are assessed on an individual basis according to their professional or academic background.

Bayesian Macroeconometrics Requirements

To take part in this Macroeconomics course, participants must have a solid background in univariate time series econometrics and some knowledge of multivariate linear time series models.
Students must have their own laptop or desktop computer and good Internet connection to be able to follow and fully benefit from the course.
Get up to speed with the latest developments in Bayesian Macroeconometrics in a short time.

Apply now

Here is your course Schedule!

Times listed are Central European Time (CET). Compare with your time zone on time.is

Week 1

Time

1
Mon

2
Tue

3
Wed

4
Thu

5
Fri

14:00-16:00

Lecture

Practical

Lecture

Practical

Lecture

Week 2

Time

1
Mon

2
Tue

3
Wed

4
Thu

5
Fri

14:00-16:00

Practical

Lecture

Practical

Lecture

Practical

Course Materials and Software

Every participant will receive a time-limited personal free MATLAB license before the course starts. You’ll need to install it on your own computer for practical sessions.

Additional materials will be provided, and instructors will be available to discuss your research ideas and projects throughout the course.

Certificate

Participants will receive a Certificate of Attendance free of charge. Participants will not be graded or assessed during the course.

Fees

Fees for courses in other Executive Education programs may vary.

Multiple course discounts are available. Find out more information in our Fees and Discounts pdf.

Course

Bayesian Macroeconometrics

Modality

Online

Total Hours

20

Regular Fee

1,325€

Reduced Fee*

775€

* Reduced Fee applies for PhD or Master’s students, Alumni of BSE Master’s programs, and participants who are unemployed

FAQ’s

Interested in applying but need more information?

Is accommodation included in the course fee?

Accommodation is not included in the course fee. Participants are responsible for finding accommodation.

Are the sessions recorded?

Sessions will be recorded and videos will be available for a month once the course has finished.

How much does each Executive Education course cost?

Fees for each course may vary. Please consult each course page for accurate information.

Are there any discounts available?

Yes, BSE offers a variety of discounts on its Executive Education courses. See more information about available discounts or request a personalized discount quote by email.