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Macroeconometrics

Local Projections in Macroeconomics

A comprehensive introduction to LPs in both time series and panel data settings.

20h (10 days)

€795 - €1,375

Online

English

Program date: March 02-13, 2026

Early Bird deadline: January 19, 2026

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Macroeconometrics

Local Projections in Macroeconomics

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Who is this Course for?

Local Projections in Macroeconomics

Course overview

Local Projections (LPs), introduced by Òscar Jorda` (2005), have rapidly become one of the most widely used tools in applied macroeconomic research and policy evaluation.

Their appeal lies in their transparency, ease of implementation, and flexibility, especially in contexts where the assumptions of traditional multivariate time series models, such as Vector Autoregressions (VARs), may not hold.

This course offers a comprehensive introduction to LPs in both time series and panel data settings. Participants will learn how to estimate impulse response functions, use external instruments, apply short- and long-run restrictions, and construct counterfactual scenarios. The course also covers cumulative multipliers and explores recent developments such as nonlinear and stratified LPs, decomposition techniques, and Bayesian smoothing.

This course is designed for Master’s and PhD students who want to build a solid understanding of Local Projections for their research, as well as for professionals working in central banks, policy institutions, or research departments who apply these methods in practice. Whether you’re diving into the topic for the first time or looking to strengthen your applied skills, this course offers valuable tools and insights for both academic and professional use.

The course includes five 2-hour sessions, each paired with a 2-hour tutorial focused on hands-on implementation and replication of empirical studies.

Faculty

Discover what makes this course exceptional

1

Theory and practice combined: Apply concepts directly through hands-on sessions designed to reinforce learning and support your own research.

2

Cutting-edge empirical methods: Go beyond VARs to explore LP-based estimation of impulse responses, cumulative multipliers, counterfactual scenarios, and heterogeneous effects in time series and panel data.

3

Bridge research and policy analysis: Build practical skills to implement and critically assess LP-based models in macroeconomic research, monetary and fiscal policy evaluation, and financial stability analysis.

4

Advanced empirical training: Work directly with MATLAB in guided tutorials that emphasize replicability, robustness, and transparency in time series and panel data applications.

5

Sharpen analytical thinking: Build problem-solving skills to tackle complex time series challenges across academic, policy, or industry contexts.

6

Personalized research support: Receive feedback on your own projects from instructors and peers to strengthen your applied research skills.

Who is this course for?

This course is specifically aimed at:

Researchers who want to use the latest advances in macroeconometrics
Master’s and PhD students aiming to extend their knowledge in macroeconometrics and explore frontier research topics
Central bank practitioners and those in private and public institutions seeking to update knowledge and acquire the latest techniques

Learning outcomes

By the end of the course, participants will:

Understand the statistical foundations of Local Projections, including their robustness to model misspecification and their relationship to VARs via the Wold decomposition
Learn how to estimate impulse response functions using LPs in both time series and panel data settings
Gain familiarity with key identification strategies, including the use of external instruments, short-run and long-run restrictions, and policy narrative approaches
Apply LPs to estimate cumulative multipliers and to construct counterfactual policy scenarios
Explore advanced topics such as nonlinear LPs, stratified LPs for heterogeneous effects, Kitagawa-Oaxaca-Blinder decompositions, and Bayesian smoothing of impulse responses
Critically engage with state-of-the-art empirical literature applying LPs to questions in monetary policy, fiscal policy, and financial stability

Structure of Sessions

Each session includes discussion of empirical papers addressing fiscal multipliers, monetary policy, financial instability, and international spillovers.

Key topics for Local Projections in Macroeconomics

Take a look at the themes covered during this course.

Course structure

The course is organized into five 2-hour sessions, plus one 2-hour tutorial for each session dedicated to hands-on implementation and replication of empirical studies.

Introduction to Local Projections: Intuition and Inference

Connection to VARs, Wold decomposition, bias corrections, local multipliers
Counterfactuals
Pointwise vs. simultaneous confidence intervals, lag augmentation, system estimation, significance bands
Best practices for estimation and diagnostics

Identification Strategies

Identification with short-run and long-run restrictions
Use of external instruments (proxy SVARs)
Interpretation of LP-identified shocks and impulse responses
Policy transmission analysis

Extensions I: Nonlinearities, Stratification, and Counterfactuals

LPs in nonlinear environments (e.g., state-dependent effects)
Stratified local projections (e.g., income, debt, firm heterogeneity)
Construction and interpretation of counterfactuals

Extensions II: Panel Data and the Kitagawa-Oaxaca-Blinder Decomposition

Panel LP methods and asymptotics
KOB decomposition: understanding group differences and dynamic channels

Extensions III: Smoothness, Bayesian LPs, and Time-Varying Responses

Smoothing impulse responses with Gaussian basis functions
Bayesian LPs: prior design, regularization, estimation
Time-varying parameter LPs and applications to evolving policy regimes

Course Materials and Software

MATLAB License

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

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

Admissions

Are you thinking of applying to BSE Local Projections in Macroeconomics Education course? Check you meet the requirements below.

Program date: March 02-13, 2026

Early Bird deadline: January 19, 2026

Requirements

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

Get up to speed with the latest developments in this area in a short period of time.

Course Schedule

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

Instructors, topics, and schedules are subject to change.

Week 1

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Certificate and Fees

Certificate

Participants who attend at least 80% of the course will receive a Certificate of Attendance free of charge. Participants will not be graded or assessed during the course.

Fees

A 10% discount applies when the confirmation payment is completed on or before the announced Early Bird deadline.

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

Fees for courses in other Executive Education programs may vary.

Course

Local Projections in Macroeconomics

Modality

Online

Total Hours

20

ECTS

0

Regular Fee

1,375€

Reduced Fee*

795€

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

FAQ

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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.