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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!

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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.

Teaching 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.

Resources

Software / Hardware

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

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.

Apply now

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 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 (Lecture)

Introductory Bayesian Macroeconometrics (Lecture)

Time Series Models for Macroeconomic Analysis I (Lecture)

High-Dimensional Time Series Models (Lecture)

Time Series Models for Macroeconomic Analysis II (Lecture)

Bayesian Estimation of RANK and HANK Business Cycle Models (Lecture)

Introduction to Nowcasting and Forecasting (Lecture)

Modality

Online

Face to Face

Total Hours

17.5

ECTS

1

Regular Fee

775€

1,400€

Reduced Fee*

475€

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?

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

Are the sessions recorded?

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.