This course focuses on selected modelling and estimation techniques that are increasingly becoming available in econometric software packages and therefore more widely used in central banks. These approaches include state-space modelling and applications using the Kalman filter; Bayesian econometrics and extensions of conventional VAR analysis to structural approaches such as SVARs, TVP-SVAR and FAVARs using Bayesian estimation techniques; dynamic factor models and nowcasting approaches.
At the end of the course, participants will be able to: (1) specify and estimate state-space models; (2) estimate, manipulate and interpret different types of VAR models; (3) specify, estimate and interpret univariate and multivariate models using Bayesian techniques such as the Gibbs sampler; and (4) use mixed-frequency data models for nowcasting purposes.
This course is intended for central bank staff whose duty involves significant quantitative analysis and research. Participants are expected to have excellent quantitative skills and extensive experience using econometric computer programs such as EViews. Some experience in the use of the computer software R would be ideal but is not required.
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