Time Series Models for Macroeconomic Analysis II
Advanced techniques for identifying causal relationships and analyzing macroeconomic shocks. PT II.
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Course Overview
The course focuses on the identification and estimation of causal relationships in macroeconomics. The course represents a continuation of Time Series Models for Macroeconomic Analysis I but can be taken independently.
The goal of the course is to discuss and present a variety of advanced time series methods to estimate causal relationships in macroeconomics, identify macroeconomic shocks and estimate their propagation mechanisms. Special emphasis will be put on Bayesian analysis.
Matlab programs to implement the theoretical methods and replicate the applications studied in class will be made available to students.
Faculty
Who should attend this course on Time Series Models for Macroeconomic Analysis?
This course is 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
Gain an advanced understanding of time series models
Upon completion of this course you will have:
- Discussed and understood a variety of advanced time series methods
- Learned to estimate causal relationships in macroeconomics
- Understood and identified macroeconomic shocks and estimated their propagation mechanisms*
* Special attention will be given to Bayesian Analysis.
Course Outline
This course will follow the following syllabus:
Local Projections (LP)
- Frequentist LP
- Bayesian LP
Bayesian VAR (BVAR)
- Small scall BVAR
- Large Bayesian SVAR
Noninvertible Models
- Blaschke factors
- Generalized SVAR-IV
List of References
Participants will receive a reading list on the first day of the course.
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
- Matlab programs to implement the theoretical methods and replicate the applications studied in class will be made available to students
- 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:
Network with like-minded peers
Study in vibrant Barcelona
Learn from world-renowned faculty
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 II
- Knowledge of univariate and multivariate time series models (ARMA and VARMA models)
- Basic knowledge of Bayesian Econometrics
Schedule
Here is your schedule for this edition of BSE Macroeconometrics Summer School Time Series for Macroeconomic II 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 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.
* 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.
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.
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.
Related Courses
Bayesian Estimation of RANK and HANK Business Cycle Models
Time Series Models for Macroeconomic Analysis I
Economics. All rights reserved.
