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

Structural Macroeconometrics: Advanced Topics

Advanced techniques for identifying causal relationships and analyzing macroeconomic shocks. PT II.

17.5h (5 days)

€1,470

Face-to-face

English

Next edition: July 5-9, 2027

Early Bird deadline: April 15, 2027

Learn more

Macroeconometrics

Structural Macroeconometrics: Advanced Topics

Complete your details and we'll keep you informed about the next edition

First Name*

Last Name*

Email Address*

Message

I give my consent to be contacted by BSE with information about related academic offers in the future.

Who is this Course for?

Structural Macroeconometrics: Advanced Topics

Course Overview

The course focuses on the identification and estimation of causal relationships in macroeconomics. The course represents a continuation of Time Series Models for Macroeconomic Analysis I but can be taken independently.

The goal of the course is to discuss and present a variety of advanced time series methods to estimate causal relationships in macroeconomics, identify macroeconomic shocks and estimate their propagation mechanisms. Special emphasis will be put on Bayesian analysis.

Matlab programs to implement the theoretical methods and replicate the applications studied in class will be made available to students.

Faculty

Who is this course for?

This course is designed for:

Researchers and practitioners working at central banks as well as other private and public institutions
Master’s and PhD students who want to extend their knowledge in macroeconometrics and learn more about frontier research topics

Learning outcomes

Upon completion of this course, you will have:

Discussed and understood a variety of advanced time series methods
Learned to estimate causal relationships in macroeconomics
Understood and identified macroeconomic shocks and estimated their propagation mechanisms

Key topics for Structural Macroeconometrics: Advanced Topics course

This course will follow this syllabus:

The identification problem

Structural and reduced-form representations of the economy
Properties of representations: invertibility, fundamentalness, and recoverability
Relationship between representations
Identification of structural shocks

Identification in High-Dimensional Models

Structural Dynamic Factor Models (SDFM)
Structural Factor-Augmented Models (SFAVAR)
Common Components SVAR (CCSVAR)
Applications: Monetary policy shocks; aggregate supply and demand shocks in the frequency domain

Identification without invertibility

SVAR-IV /Proxy-SVAR: Internal Instruments and Generalized External Instrument
Local Projections – Instrumental Variables (LP-IV)
Dynamic rotations: Blaschke Matrices
Applications: Monetary policy shocks; News shocks

Identification in Nonlinear Models

Threshold and Smooth-Transition SVAR
Nonlinear Local Projections
Nonlinear Structural Vector Moving Averages
Applications: Government spending shocks in booms and recessions; asymmetric effects of monetary policy tightening and easing; sign asymmetries of supply and demand shocks

List of References

Participants will receive a reading list on the first day of the course.

Software / Hardware

MATLAB will be used during the course. Participants will receive a free, time-limited MATLAB license before the program starts. Please install MATLAB on your computer before the course begins for use in practical sessions
Matlab programs to implement the theoretical methods and replicate the applications studied in class will be made available to students
Participants must bring their own laptop to participate in the practical sessions

Why join our Summer School?

All BSE Summer courses are taught to the same high standard as our Master’s programs. Join us to:

1

Network with like-minded peers

2

Study in vibrant Barcelona

3

Learn from world-renowned faculty

Admissions and Requirements

All BSE Summer School applicants must meet the entrance requirements.

Next edition: July 5-9, 2027

Early Bird deadline: April 15, 2027

Requirements

Summer School applicants normally demonstrate one or more of the following:

A strong background in Economics or a field closely related to the course topic (Statistics, Law, etc.)
Postgraduate degree or current Master’s/PhD studies related to the course topic
Relevant professional experience

Requirements for Structural Macroeconometrics: Advanced Topics

A foundational knowledge of reduced-form and structural VAR models is strongly recommended to fully benefit from this course

Schedule

Here is your schedule for this edition of BSE Macroeconometrics Summer School Time Series for Macroeconomic II course.

Time

5

mon

6

tue

7

wed

8

thu

9

fri

09:00-11:00

Lecture

14:30-16:00

Practical

Credit Transfers (ECTS)

To be eligible for credit transfer, students must complete a final project.

Students will deliver a short final project one week after the summer school finishes. It will consist in solving a final problem that will include the practical and empirical issues worked on in class.

Consult the Summer School Admissions page for more information about this option.

Certificate of Attendance

Participants who attend more than 80% of the course will receive a Certificate of Attendance, free of charge.

Course

Structural Macroeconometrics: Advanced Topics

Advanced Bayesian Macroeconometrics

Bayesian Estimation of RANK and HANK Business Cycle Models

Forecasting with Machine Learning

Introductory Bayesian Macroeconometrics

Introduction to Nowcasting and Forecasting

Structural Macroeconometrics: Foundations

Modality

Face-to-face

Total Hours

17.5

ECTS

1

Regular Fee

€1,470

Reduced Fee*

€840

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

Multiple discounts are available.

For more information on discounts for participants funding their own course, please click here.

For more information on discounts for companies and institutions enrolling their employees, please click here.

Full discount conditions are available here.

FAQ

Here are some commonly asked questions by participants. Any further queries, please contact our Admissions Team.

Can I see the full Summer School calendar?

You can view the full Summer School calendar here.

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 NOT be recorded; however, the materials provided by the professor will be available for a month after the course has finished.

How much does each Summer School 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 Summer School courses. See more information about available discounts or request a personalized discount quote by email.

Can I take more than one course?

Yes! you can combine any of the Summer School courses (schedule permitting). See the full course calendar.

Cancelation and Refund Policy

Please consult BSE Summer School policies for more information.

Are there any evening activities during the course?

Yes, a social dinner is held once a week for all participants, it is free to attend.

Contact our Admissions Team

Mix and match your summer courses!

Remember that you can combine this program with courses in any of the other BSE Summer School programs (schedule permitting). Maximise your learning this summer and take advantage of our multiple-course discount.

Founding Institutions

Distinctions

Quality Transparency Legal Cookie Policy Contact Us Site map