Bayesian Methods for Empirical Macroeconomics

This is a hands-on course on Bayesian time series econometrics. It starts from basic Bayesian Econometrics, and deals with VARs and models which can be put in state space form (i.e. linearized DSGE models, model with multivariate stochastic volatility and Time Varying Parameter-VARs).

 This course was recently given in the Bundesbank, Bank of England, Czech Central Bank, Ministry of Finance (Poland). Lectures will take place in the mornings followed by hands-on computer sessions in the afternoons.

Bayesian time series models have become very popular with empirical macroeconomists. This is because they are especially suited to deal with great number of parameters such as the ones characterizing commonly employed macroeconomic models. The latter may include many variables and may feature time changing parameters and changes in the error covariance matrix.