Studies

Estimation, Forecasting, and Policy Analysis with DSGE and Time-Series Models

Professor

 

Marco del Negro (Federal Reserve Bank of New York)

Dates

 

28 August – 1 September 2017

Hours

 

9:30 to 13:00

Intended for

 

Practitioners, researchers, and academics interested in time series methods, business cycle analysis, and forecasting.

Prerequisites

 

A good background in statistics and econometrics will be useful to follow the class, but no familiarity with the Bayesian approach is required, as the course will start with a brief introduction to Bayesian econometrics.

Overview

 

The course will offer an overview of modern tools in macroeconometrics, ranging from VARs, state-space models (such as time-varying coefficients models, factor models, models with stochastic volatility, etcetera), dynamic stochastic general equilibrium (DSGE) and DSGE-VARs models, pools and model averaging. The course will strive to offer enough theory to understand the tools' theoretical underpinnings, why they work, how and when they should be used, and what their limitations are. At the same time, it will emphasize their practical use in macro applications. The course will take a Bayesian perspective, both because this approach has shown itself to be useful in applied macroeconomics and because of its computational advantages relative to the frequentist approach. Monte Carlo methods, which lie behind the recent surge in popularity of the Bayesian approach, will be reviewed.

Topics

 

Basic notions of Bayesian econometrics and introduction into VARs
Time-series models
A Quick Overview of MCMC Methods
DSGE and DSGE-VARs
Model averaging/combination

     
 

Marco Del Negro is Vice President at the Federal Reserve Bank of New York, and co-leader of the DSGE Team there. His research focuses on the use of general equilibrium models in forecasting and policy analysis. He has published work in the American Economic Review, American Economic Journal: Macroeconomics, Journal of Econometrics, Journal of Applied Econometrics, Journal of International Economics, Journal of Monetary Economics, Journal of Money, Credit and Banking, International Economic Review, Journal of the European Economic Association, and the Review of Economic Studies. He is coauthor with Frank Schorfheide of a chapter on “Bayesian Macroeconometrics” in the "Oxford Handbook of Bayesian Econometrics", and of a chapter on “DSGE Model-Based Forecasting”, in the "Handbook of Economic Forecasting".

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