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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

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.

Teaching 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 we will cover 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

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

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.

Apply now

Schedule

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

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 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

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.