2nd Winter School: Bayesian Methods for Empirical Macroeconomics
CGR's Winter School a Huge Success
Despite battling an illness that recently took his life, Alvaro Angeriz (please see article 'In Memory of Dr. Alvaro Angeriz') co-ordinated a highly successful Winter School on Bayesian Methods for Empirical Macroeconomics through SBM's Centre for Globalisation Research (CGR) this past December. Held from December 14th to 16th, 2011 and taught by Prof. Gary Koop, the School attracted many high-level delegates. Organizations represented included the ILO, OECD, European Central Bank, Central Bank of Venezuela, Bank of Italy, Central Bank of Ireland, Indonesian Central Bank, and various governmental departments and research centres. Many delegates traveled quite far to attend, and those present hailed from Indonesia, Japan, Venezuela, the Netherlands, the Czech Republic, Italy, Belgium, Switzerland, Luxembourg, Hungary, and all over the UK. A lengthy waiting list indicated the extensive international interest in this School following the success of the 2011 Summer School run by Alvaro, and those who attended were incredibly enthusiastic about the opportunity to do so.
Many thanks to everyone who helped to make this School a big success! The next School will be held in Spring 2012, and this event will continue on as one of Alvaro's many legacies.
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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 will take place in the mornings from 09.00am to 1.00pm followed by hands-on computer sessions in the afternoons from 2pm to 4pm.
Courses similar to this were previously given by Prof. Koop to 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.
About Professor Gary Koop
Centre for Globalisation Research (CGR): http://hosted.busman.qmul.ac.uk/cgr/index.html