Macroeconometrics

Macroeconometrics is an important area of research in economics. Time series methods for empirical macroeconomics have become very popular and widely used in the academia as well as in public and private institutions.

In general, the courses will have an empirical orientation. Although econometric theory will have a central role, special attention will be paid to the applications and data. The level of the courses should be comparable to those taught in the Barcelona GSE master programs.

Course list for 2021
Week 1 (June 28 - July 2, 2021)

Bayesian Time Series Methods I: Introductory ONLINE
Instructor: Gary Koop (University of Strathclyde)
Week 2 (July 5-9, 2021)

Bayesian Time Series Methods II: Advanced ONLINE
Instructor: Andrea Carriero (Queen Mary University of London)
Time Series Models for Macroeconomic Analysis I ONLINE
Instructor: Luca Gambetti (UAB and Barcelona GSE)
Course runs Monday through Wednesday.
Time Series Models for Macroeconomic Analysis II ONLINE
Instructor: Gabriel Pérez-Quirós (Bank of Spain)
Course runs Thursday through Saturday (Jul 10).
Week 3 (July 12-16, 2021)

Bayesian Time Series Methods III: DSGE Models Estimation ONLINE
Instructor: Kristoffer Nimark (Cornell University)
High-Dimensional Time Series Models I: Factor Models ONLINE
Instructor: Luca Sala (Bocconi University)
Course runs Monday through Wednesday.
High-Dimensional Time Series Models II: Big Data and Machine Learning ONLINE
Instructor: Christian Brownlees (UPF and Barcelona GSE)
Course runs Thursday through Saturday (Jul 17).

Course leader

It is directed by Luca Gambetti, Professor of Economics at Universitat Autònoma de Barcelona and Barcelona GSE Affiliated Professor.

Target group

Who will benefit from this program?

Researchers and practitioners working at central banks as well as other private and public institutions whose work would benefit from a course focused on the latest advances in macroeconometrics.
Masters and PhD students who want to extend their knowledge in macroeconometrics and learn more about frontier research topics.

Course aim

The goal of the Barcelona GSE Macroeconometrics Summer School is to offer courses covering a wide range of topics in macroeconometrics. The courses have the following objectives:

To provide students with knowledge of a set of modern time series methods necessary for empirical research in macroeconomics.
To present a variety of empirical applications in macroeconomics.
To survey some of the recent developments in macroeconometrics.