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​​Macroeconometrics

Bayesian Estimation of RANK and HANK Business Cycle Models

Advanced Bayesian Methods for Estimating Structural Business Cycle Models

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17.5h (5 days)
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€775 - €1,400
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Face to Face
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English
Program date: July 14 - 18, 2025
Early bird deadline: April 15, 2025
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Bayesian Estimation of RANK and HANK Business Cycle Models
Applications for 2025 Summer School programs are now open!
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This course aims to teach students to use advanced Bayesian methods for estimating and analyzing structural business cycle models. It covers Bayesian inference foundations, model solution methods, MCMC posterior sampling, and key aspects of Bayesian analysis and model evaluation.

Teaching Faculty

Do you want to learn more about Bayesian Macroeconometrics and RANK and Hank Business Cycle Models?

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.

Take a deeper look at Bayesian Estimation in Macroeconomics

Upon completion of this course, you will have :

  • Learned how to formulate, solve and estimate both representative (RANK) and heterogeneous (HANK) New Keynesian models.
  • Learned how to construct posterior probability distributions for model outputs.
  • Learned how to evaluate the relative role of prior information, the data and model structure for model outputs.
  • Gained an understanding of the challenges and opportunities involved with solving and estimating HANK models relative to RANK models.

Program Syllabus for Bayesian Estimation of RANK and HANK Business Cycle Models

This course will cover the following:

Introduction to Bayesian inference and Representative Agent New Keyensian (RANK) models

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  • Introduction to Bayesian analysis.
  • Macro models as data generating processes.
  • Formulating and solving a representative agent New Keynesian business cycle model.

State space models and likelihood based estimation

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  • State space models.
  • The Kalman filter.
  • Likelihood based estimation.
  • Numerical maximization.

Bayesian Estimation of linearized RANK models

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  • Bayesian computation and sampling from a target distribution.
  • Formulating priors for a macroeconomic model.
  • Simulating from the posterior distribution of a business cycle model.

Bayesian Analysis of structural model

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  • Efficient and robust posterior simulation.
  • Constructing probability intervals of model outputs.
  • Prior predictive analysis.
  • Bayesian model averaging.

Bayesian Estimation of Heterogeneous Agent New Keynesian (HANK) models

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  • Specifying, solving and estimating heterogeneous agent models. What are the key differences and challenges compared to RANK models?
  • Solving HANK models.
  • Evaluating the likelihood function for a HANK model.
  • Formulating priors and sampling from the posterior.

List of References

Below is a list of textbooks that may be useful before, during, and after the course:

Articles and books

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  • Acharya, S., Chen, W., Del Negro, M., Dogra, K., Gleich, A., Goyal, S., Matlin, E., Lee, D., Sarfati, R. and Sengupta, S., 2023. Estimating HANK for Central Banks.
  • Ahn, S., Kaplan, G., Moll, B., Winberry, T. and Wolf, C., 2018. “When inequality matters for macro and macro matters for inequality.” NBER macroeconomics annual, 32(1), pp.1-75.
  • Auclert, A., Rognlie, M. and Straub, L., 2020. Micro jumps, macro humps: Monetary policy and business cycles in an estimated HANK model (No. w26647). National Bureau of Economic Research.
  • Auclert, A., Bard ́oczy, B., Rognlie, M. and Straub, L., 2021. “Using the sequence-space Jacobian to solve and estimate heterogeneous-agent models.” Econometrica, 89(5), pp.2375-2408.
  • Berger, J.O., 2013. Statistical decision theory and Bayesian analysis. Springer Science & Business Media.
  • De Finetti, B., 2008. Philosophical Lectures on Probability: collected, edited, and annotated by Alberto Mura (Vol. 340). Springer Science & Business Media.
  • del Negro, M. and Schorfheide, F., “Bayesian Macroeconometrics.” In The Oxford Handbook of Bayesian Econometrics.
  • Gelman, A., Carlin, J.B., Stern, H.S., Dunson, D.B., Vehtari, A. and Rubin, D.B., 2013. Bayesian data analysis. CRC press.
  • Koop, G. and Korobilis, D., 2009. “Bayesian multivariate time series methods for empirical macroeconomics.” Foundations and Trends in Econometrics, 3(4), pp.267-358.
  • Robert, C., 2007. The Bayesian choice: from decision-theoretic foundations to computational implementation. Springer Science & Business Media.
  • Robert, C. and Casella, G., 2013. Monte Carlo statistical methods. Springer Science & Business Media.
  • Winberry, T., 2018. “A method for solving and estimating heterogeneous agent macro models.” Quantitative Economics, 9(3), pp.1123-1151.

Software / Hardware

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  • Participants must bring their own laptop to participate in the practical sessions.
  • Participants in the Macroeconometrics Summer School 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.

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.

Program date: July 14 - 18, 2025
Early bird deadline: April 15, 2025

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 Bayesian Estimation of RANK and HANK Business Cycle Models

  • Basic knowledge of time series econometrics
Apply now

Schedule

Here is your schedule for this edition of BSE Macroeconometrics Bayesian Estimation of RANK and HANK Business Cycle Models Summer School course.

Time
14
mon
15
tue
16
wed
17
thu
18
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 not interested in credit transfer will instead receive a Certificate of Attendance free of charge. These Participants will not be graded or assessed during the course.

Fees for 2025

Multiple course discounts are available, see more information about available discounts. Fees for courses in other Summer School programs may vary.

Course
Introduction to Time Series Analysis
Introductory Bayesian Macroeconometrics
Time Series Models for Macroeconomic Analysis I
High-Dimensional Time Series Models
Time Series Models for Macroeconomic Analysis II
Bayesian Estimation of RANK and HANK Business Cycle Models
Introduction to Nowcasting and Forecasting
Modality
Online
Face to Face
Face to Face
Face to Face
Face to Face
Face to Face
Face to Face
Total Hours
10
10
10
10
10
10
10
ECTS
1
1
1
1
1
1
1
Regular Fee
775€
1,400€
1,400€
1,400€
1,400€
1,400€
1,400€
Reduced Fee*
475€
775€
775€
775€
775€
775€
775€

FAQ’s

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

Is accommodation included in the course fee?

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Unfortunately, accommodation is not included in the course fee. Participants are responsible for finding accommodation.

Are the sessions recorded?

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Sessions will be recorded and videos will be available for a month once the course has finished.

How much does each Summer School course cost?

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Fees for each course may vary. Please consult each course page for accurate information.

Are there any discounts available?

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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?

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

Cancelation and Refund Policy

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Please consult BSE Summer School policies for more information.

Are there any evening activities during the course?

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

Contact our Admissions Team

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