Time Series Models for Macroeconomic Analysis

Learn with our expert faculty

facultyLuca Gambetti
PhD, Universitat Pompeu Fabra
UAB and BSE

Director Instructor

Course overview

The objective of the Barcelona School of Economics Intensive Course on ​​Time Series Models for Macroeconomic Analysis is twofold: First, we will look at some of the most popular time series models designed to analyze propagation mechanisms and measure the effects of economic shocks. Second, we will discuss and present some recent empirical applications, focusing on monetary and fiscal policy shocks as well as non-policy shocks such as technology shocks, news shocks and uncertainty shocks.  

The first part of the course will cover Structural Vector Autoregressive models, with  special attention to shock identification strategies. It will also present a nonlinear extension of the standard model represented by the Smooth Transition SVAR. 

In the second part of the course, we will discuss how to perform structural macroeconomic analysis with large-N structural models, namely Factor Augmented SVARs and Factor Models. Special emphasis will be put on how these models can cope with the problem of limited information sets typically arising in SVARs. 

The course includes theory sessions (10 hours) and practical sessions (10 hours). In the practical sessions, we will work in MATLAB to implement the techniques and methodologies covered in the theory lectures. 

INTENSIVE COURSE

Time Series Models for Macroeconomic Analysis

Applications will open soon!
  ONLINE
Regular Fee 1200 €
Reduced Fee 720 €

10% early-bird discount applies to payments made on or before January 14, 2022 at 23:59 (CET)

See below for reduced fee eligibility


Early-bird payment deadline: January 14, 2022

  ONLINE
Regular Fee 1200 €
Reduced Fee 720 €

10% early-bird discount applies to payments made on or before January 14, 2022 at 23:59 (CET)

See below for reduced fee eligibility


Last day to apply: February 7, 2022

  ONLINE
Regular Fee 1200 €
Reduced Fee 720 €

10% early-bird discount applies to payments made on or before January 14, 2022 at 23:59 (CET)

See below for reduced fee eligibility

This edition is closed. Next edition TBA.

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