Economic modelling and forecasting - Centre for Central Banking Studies
This two-week seminar aims to improve participants’ understanding of current modelling strategies and forecasting techniques. The following topics will be covered: - unit roots, cointegration and error-correction mechanisms; - techniques for modelling unobserved economic components, state-space models and the Kalman filter; - models of volatility and non-linearity; - Bayesian estimation; - dynamic stochastic general equilibrium (DSGE) models; - panel data methods; - vector autoregressions (VARs), structural VARs and their identification, and recent extensions of VAR modelling, such as Bayesian VARs, factor-augmented VARs and DSGE-VARs; • estimation using the generalised method of moments (GMM); and • statistical and computational issues in the construction of fan charts.
|Event dates:||2014-12-01 – 2014-12-12|
|Organizer:||Centre for Central Banking Studies, Bank of England|
|Classification:||C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|