The course focused on the estimation and evaluation of dynamic stochastic equilibrium (DSGE) models and vector autoregressions (VAR). The course was organized around empirical methods: Bayesian inference, estimation of DSGE models, posterior odds comparisons and predictive checks, estimation and identification of VARs, comparing and combining DSGE models and VARs. The methods are applied to neoclassical stochastic growth models and New Keynesian monetary DSGE models. Applications included, but were not limited to the following issues: estimation of monetary policy rules, the effects of technology shocks and unanticipated changes in monetary policy in estimated VARs and DSGE models, the sensitivity of parameter estimates to prior distributions, forecasting with vector autoregressions and DSGE models.

Professor Frank Schorfheide, from University of Pennsylvania, taught the course which was primarily aimed at participants in the Euro Area Business Cycle Network (EABCN). The course consisted of five days lectures and practical classes and its objective was to introduce the students to the topics and enable them to extend and apply the new methods and analyses.