Summer Schools
Previous Summer / Winter Schools
14-16 December 2011
2nd Winter School: Bayesian Methods for Empirical Macroeconomics
By Professor Gary Koop, University of Strathclyde
This is a hands-on course, which starts from basic concepts in 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). The econometrics of these models will be the focus of the course. However, some discussion of the implications of the theory for the econometrics will be provided.
Lectures are followed by hands-on computer sessions in the afternoons.
Courses similar to this were previously given by Prof. Koop to the Bank of England, Bundesbank, the Polish Ministry of Finance, Czech National Bank, and Queen Mary, University of London.
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 for instance time changing parameters and changes in the error covariance matrix.
27-29 June 2011
Summer School: Bayesian Methods for Empirical Macroeconomics
By Professor Gary Koop, University of Strathclyde
June 2009 and June 2010
Time Series Modelling and Analysis
Professor Andrew Harvey
The course provides understanding and insight into the methods used for analysing time series in Finance and Economics. It is suitable for economists and statisticians with a basic background in time series or econometrics and it is also useful for people working in other fields such as Geography, Engineering and Biology. Statistical modelling is demonstrated using STAMP and participants are given the opportunity to use the package in class.
June 2010
Econometric Methods for Demand Systems in Economics and Marketing
Melvyn Weeks (Cambridge)