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Macroeconometrics

High-Dimensional Time Series Models

Master advanced techniques for analyzing and forecasting complex, high-dimensional time series data.

17.5h (5 days)

€775 - €1,400

Face-to-face

English

Program date: July 7 - 11, 2025

Early bird deadline: April 15, 2025

Learn more

High-Dimensional Time Series Models

Applications for 2025 Summer School programs are now open!

Summer school

Macroeconometrics

High-Dimensional Time Series Models

This course covers factor models for large time-series, starting with principal components.

It explores “small N” factor models, the EM algorithm, and dynamic models using the Kalman filter, and examines static vs. dynamic factors and key applications like FAVAR and monetary policy analysis.

Faculty

Are you interested in learning more about Time Series Models?

This course is useful 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

Build a solid understanding of factor models for large cross-sectional time-series data

Upon completion of this course, you will be able to:

Apply the EM algorithm and Kalman filter to estimate factor models
Distinguish between static and dynamic factors, especially in large datasets
Apply FAVAR models and business cycle indicators in real-world scenarios
Manage macroeconomic data for forecasting and policy analysis
Gain hands-on experience using Matlab to replicate course applications

Program Syllabus for High-Dimensional Time Series Models course

Here is a brief outline of what you will cover.

Factor Models

Principal components estimator.
Small N, i.i.d. and dynamic, the EM algorithm, Kalman filter/smoother
Large N, i.i.d. and dynamic Consistency at large: a law of large numbers in the cross-section.
Applications: Commonality in European regions, new Eurocoin, monetary policy in real time, nowcasting, measuring macroeconomic uncertainty

Structural Factor model (SFM)

Specification and estimation
Tools: Impulse response functions, variance decomposition, historical decomposition
Identification: Short and long-run zero, sign restrictions, penalty function approach
DSGE and Factor models
Applications: Monetary policy shocks, house prices, disaggregated prices

Factor augmented VAR (FAVAR)

Applications: Monetary Policy, news shocks
Testing non-invertibility

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

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

Please check the Admissions criteria before applying to the course.

Program date: July 7 - 11, 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 BSE High-dimensional Time series models course

Participants must have a good knowledge of time series econometrics, in particular, VAR analysis

Schedule

Here is your schedule for this edition of BSE Macroeconomics Summer School High-dimensional Time Series Models course.

Time

7

mon

8

tue

9

wed

10

thu

11

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.

Fees

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

Total Hours

17.5

ECTS

1

Regular Fee

775€

1,400€

Reduced Fee*

475€

775€

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?

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

Are there 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.