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Macroeconometrics

Introduction to Time Series Analysis

Explore foundational concepts of time series econometrics and popular time series models.

17.5h (5 days)

€475 - €775

Online

English

Program date: June 23 - June 27, 2025

Early bird deadline: April 15, 2025

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Macroeconometrics

Introduction to Time Series Analysis

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Summer school

Macroeconometrics

Introduction to Time Series Analysis

The course is an introduction to time series analysis. The goal of the course is to provide students with the foundational concepts of time series econometrics and the knowledge of some popular time series models.

Faculty

Do you want to learn the basics of Time Series Analysis or need a refresher of your knowledge?

This course is designed for:

Anyone interested in Time Series Analysis
BSE Macroeconometrics Summer School participants who need to review key concepts

Delve into core principles of time series econometrics and widely used models for time series analysis

Upon completion of this course, you will:

Understand the fundamental concepts of Autoregressive (AR) and Moving Average (MA) models
Develop the ability to estimate AR and MA models using likelihood-based methods
Gain proficiency in applying and estimating Vector Autoregressive (VAR) and Vector Moving Average (VMA) models for multivariate time series analysis
Explore the properties and estimation techniques of the likelihood function in both AR/MA and VAR models
Acquire foundational knowledge in Bayesian econometrics methods and how they apply to model estimation and inference

Program Syllabus for Introduction to Time Series Analysis course

Here is a brief outline of what is covered during the course.

Course Outline

Preliminary Concepts
Autoregressive (AR) and Moving Average (MA) models
Likelihood function and the estimation of AR and MA models
Introduction to Vector Autoregressive (VAR) and Vector Moving Average (VMA) models
Likelihood function and the estimation of VAR models
Bayesian econometric preliminaries

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

Participants must check they are eligible to take the course before applying.

Program date: June 23 - June 27, 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

Schedule

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

The times listed are Central European Time (CET). Compare with your time zone on time.is

Instructors, topics, and schedules are subject to change.

Time

23

mon

24

tue

25

wed

26

thu

27

fri

13:30 - 15:30

Lecture

16:30 - 18:00

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 of 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.

Are the sessions recorded?

Sessions are NOT recorded; however, the materials that the professors provide 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.