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Macroeconometrics

Time Series Models for Macroeconomic Analysis I

Identifying causal relationships and analyzing macroeconomic shocks. PT I.

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

Time Series Models for Macroeconomic Analysis I

Applications for 2025 Summer School programs are now open!

Summer school

Macroeconometrics

Time Series Models for Macroeconomic Analysis I

Course Overview

This is the first part of a course focusing on the identification of causal relationships in macroeconomics, a key step to understand economic fluctuations, design sound economic policies, and assess economic theories. The course provides a variety of models and methods to identify macroeconomic shocks and estimate their propagation mechanisms.

The objective of this course is twofold:

First, to present some of the most popular time series models designed to analyze the propagation mechanisms and measure the effects of economic shocks. In particular, we will cover in detail Structural Vector Autoregressive models with a special focus on several identification schemes used in the literature and also present several extensions.

The second objective is to discuss some recent applications of these models in economics. The focus will be on monetary and fiscal policy shocks, news shocks, technology shocks.

Matlab programs to implement the theoretical methods and replicate the applications studied in class will be made available to students.

Faculty

Are you interested in learning more about causal relationships in Macroeconomics?

This course is designed for:

Researchers and practitioners working at central banks as well as other private and public institutions
Masters and PhD students who want to extend their knowledge in macroeconometrics and learn more about frontier research topics

Understand Causal Relationships in Macroeconomics

Upon completion of this course, you will have:

Identified causal relationships in macroeconomics to analyze economic fluctuations and policy design
Mastered time series models, particularly SVAR, for analyzing shock propagation
Studied various identification methods used in SVAR models to isolate economic shocks
Applied these models to key macroeconomic shocks, including monetary, fiscal, news, and technology shocks
Examined real-world applications of these models in economic research and policy evaluation

Course Outline

This course will explore the following topics:

Structural VAR

Large information

FAVAR
Factor Models
Common Components SVAR

Nonlinear SVAR

Smooth Transition SVAR
Nonlinear Moving Averages

Software / Hardware

MATLAB will be used during the course. Participants will receive a temporary personal license, provided by BSE, a few days before Summer School begins
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 and faculty

2

Study in vibrant Barcelona

3

Learn from some of the most acclaimed professors and industry experts

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 Time Series Models for Macroeconomic Analysis I course

Participants must have knowledge of univariate time series models (ARMA models) and basic knowledge of multivariate ARMA

Schedule

Here is your schedule for this edition of BSE Macroeconometrics Summer School Macroeconomic Analysis I course.

Time

30

mon

1

tue

2

wed

3

thu

4

fri

11:30 - 13:30

Lecture

16:15 - 17:45

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 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€

* Reduced Fee applies for PhD or Master’s students, Alumni of BSE Master’s programs, and participants who are unemployed.

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?

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

Are the sessions recorded?

Sessions will NOT be recorded; however, the materials provided by the professor 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.