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Macroeconometrics

Introductory Bayesian Macroeconometrics

Foundations and Applications in Bayesian Macroeconometric Modeling

17.5h (5 days)

€775 - €1,400

Face to Face

English

Program date: June 30 - July 4, 2025

Early bird deadline: April 15, 2025

Learn more

Introductory Bayesian Macroeconometrics

Applications for 2025 Summer School programs are now open!

Apply

Summer school

Macroeconometrics

Introductory Bayesian Macroeconometrics

This introductory Bayesian econometrics course focuses on empirical macroeconomic models, starting with Bayesian theory and regression models, then covering state space models, including time-varying parameters, autocorrelated disturbances, and stochastic volatility.

Teaching Faculty

If you’re interested in learning more about Bayesian Macroeconometrics this could be the course for you

This course has been 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.

Understand the fundamental concepts of Bayesian theory and its application to econometric models

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

Apply Bayesian methods to regression models to see how these techniques function in familiar contexts.
Master the computational methods for modern Bayesian econometrics, ensuring practical proficiency.
Estimate state space models, including those with time-varying parameters, autocorrelated disturbances, and stochastic volatility.
Explore how the covered models and methods can be applied to real-world macroeconomic issues.

Program Syllabus for Introductory Bayesian Macroeconometrics course

This introductory course will cover the following topics:

Introduction

Review of the classical linear regression model.
Maximum likelihood estimation.
The Bayesian approach to the classical linear regression model.
Bayes formula.
The likelihood principle.
James – Stein result.
Ridge regression.

Bayesian estimation of the CLRM

Theil mixed estimator.
Prior selection via the marginal data density.
The independent Normal-Inverse Gamma prior.
Treatment of the error variance.
The chi-square, gamma, and inverse gamma distributions.
Gibbs sampling.
Convergence and mixing.
The Natural – Conjugate prior. Marginal data density.
The normal diffuse and Jeffrey’s prior.

The Generalized Linear Regression Model

Autocorrelation and Heteroskedasticity.
Stochastic volatility models.
Metropolis Hastings algorithms.
Independence Metropolis.
Random Walk Metropolis.

Linear and Gaussian state space models

Forward filtering/backward sampling algorithms.
Carter-Kohn algorithm models with time varying coefficients.

Non-linear non-Gaussian state space models

The Kim, Shepard, and Chib algorithm for stochastic volatility models.
Sequential Monte Carlo methods.

List of References

Here is a list of texts that may help you to prepare for this course

Articles and books

Koop, G. (2003). Bayesian Econometrics, published by Wiley.
Koop, G. (2016). Bayesian Methods for Fat Data.
Chan, J., Koop, G., Poirier, D. and Tobias, J. (2019). Bayesian Econometric Methods, second edition, published by Cambridge University Press.

Software and 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

All BSE Summer School applicants must meet the entrance requirements.

Program date: June 30 - July 4, 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 Introduction to Bayesian Macroeconometrics course

Participants must have a basic knowledge of time series econometrics.

Apply now

Schedule

Here is your schedule for this edition of BSE Macroeconometrics Summer School Introductory Bayesian Macroeconometrics course.

Time

30

mon

1

tue

2

wed

3

thu

4

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 other courses listed 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’s

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

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 be recorded and videos will be available for a month once 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.