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Macroeconometrics

Spectral Analysis in Macroeconomics

An introductory course on spectral analysis methods for macroeconomic analysis.

20h (10 days)

€795 - €1,375

Online

English

Program date: February 16-27, 2026

Early Bird deadline: January 19, 2026

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Macroeconometrics

Spectral Analysis in Macroeconomics

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Who is this Course for?

Spectral Analysis in Macroeconomics

Course overview

This introductory course explores spectral analysis methods and their application to macroeconomic data. Originally developed in engineering and physics, these techniques are increasingly used in economics to study dynamic systems with recurring patterns, such as business cycles and seasonal fluctuations.

The course has two main objectives. First, it introduces the mathematical foundations of Fourier analysis, including the definition and interpretation of the spectral density function. Second, it focuses on applying frequency domain methods to macroeconomic analysis.

Participants will learn how to:

Filter macroeconomic time series to separate trend and cyclical components
Identify macroeconomic shocks in Structural VAR models using frequency-based restrictions
Apply spectral methods to estimate and identify Dynamic Stochastic General Equilibrium (DSGE) models

By the end of the course, participants will be able to decompose time series into their key frequency components, interpret frequency-domain causality, and gain a clearer understanding of the timing, duration, and structure of economic fluctuations.

This course would be ideal for PhD students and practitioners at central banks and policy institutions who are eager to explore Spectral Analysis in Macroeconomics, a powerful analytical tool that’s gaining renewed interest in the field.

Whether you’re new to the topic or looking to deepen your understanding, this course provides a strong foundation in a technique that’s becoming increasingly relevant in modern macroeconomic research.

Faculty

Discover what makes this course exceptional

1

Introductory and applied focus: Designed for those new to spectral methods, with an emphasis on practical applications in macroeconomics

2

Hands-on decomposition of time series: Gain the skills to extract trend and cyclical components from economic data.

3

Structural VAR and DSGE model integration: Apply frequency domain techniques to identify shocks and estimate macroeconomic models.

4

Real-world relevance: Understand how to analyze and interpret recurring economic patterns such as business cycles and seasonal fluctuations.

5

Clear interpretation of frequency-domain causality: Learn how timing and structure of fluctuations can be analyzed through spectral tools.

6

Enhanced empirical toolkit: Equip yourself with spectral analysis skills that complement traditional time domain approaches, broadening your macroeconometric toolkit.

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 this course, participants will be able to:

Understand the mathematical foundations of Fourier analysis and interpret the spectral density function
Apply frequency domain methods to analyze macroeconomic time series
Filter time series data to separate cyclical and trend components
Identify macroeconomic shocks in Structural VAR models using frequency domain restrictions
Use spectral analysis techniques for the estimation and identification of DSGE (Dynamic Stochastic General Equilibrium) models

These outcomes combine theoretical knowledge with applied skills relevant to macroeconomic research.

Key topics for Spectral Analysis in Macroeconomics course

Take a look at the themes covered during this course.

Introduction

Basic elements of Hilbert spaces
The Fourier transform

Univariate spectral analysis

Spectral representation theorem and the definition of the spectrum
Filters and their spectral properties (band pass, first difference, moving averages)
Estimation of the spectrum: Periodogram, smoothed periodogram, and “parametric” spectrum.
Application: Measuring the Business Cycles

Multivariate spectral analysis

Cross-spectra, coherency and cohesion
Estimation of the spectrum: Periodogram, smoothed periodogram, and “parametric” spectrum

Shock identification in the frequency domain

SVAR models and restrictions in the frequency domain
Application: US Business Cycle Anatomy

DSGE models in the frequency domain, the Whittle Likelihood

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 Spectral Analysis in Macroeconomics Executive Education course? Check you meet the requirements below.

Program date: February 16-27, 2026

Early bird deadline: January 19, 2026

Requirements

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

Spectral Analysis in Macroeconomics Requirements

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 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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Week 2

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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.

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

Fees for other Executive Education programs may vary.

Course

Spectral Analysis 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

Need more information?

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.