Time Series Models for Macroeconomic Analysis

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. 

Course director and faculty

facultyLuca Gambetti


Key benefits

  • Review some of the most popular time series models for macroeconomic analysis
  • Apply recent techniques to identify macroeconomic shocks
  • Study the transmission mechanisms of policy shocks
  • Understand the role of large information for structural analysis
  • Acquire the tools to design new shocks identification strategies
  • Assess policy implications

Course dates: February 14-25, 2022

Apply to Time Series Models for Macroeconomic Analysis

Early-bird payment deadline: January 14, 2022

Applications close: February 7, 2022

See below for reduced fee eligibility or email us to request more information

This course is part of the BSE Macroeconometrics study itinerary. You may also be interested in this related course:

See all available Macroeconometrics courses below