Time Series Models for Macroeconomic Analysis I
Identifying Causal Relationships and Analyzing Macroeconomic Shocks. PT I
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This course focuses on identifying causal relationships in macroeconomics to understand economic fluctuations, design policies, and assess theories. It covers models and methods to identify macroeconomic shocks and estimate their propagation. This is part one of a two-part course.
Teaching 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 for Time Series Models for Macroeconomic Analysis I program
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.
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:
Network with like-minded peers and faculty.
Study in vibrant Barcelona.
Learn from some of the most acclaimed professors and industry experts.
Admissions and requirements
All BSE Summer School applicants must meet the entrance requirements.
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
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.
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.
Can I take more than one course?
Yes! you can combine any of the Summer School courses (schedule permitting). See the full course calendar.
Are there any evening activities during the course?
Yes, a social dinner is held once a week for all participants, it is free to attend.
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