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 modeling and applications using the Kalman filter; Bayesian estimation; extensions of conventional VAR analysis to SVAR, TVSVAR, FAVAR and BVAR models; dynamic factor models; and Nowcasting approaches.
Target Participants: 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.
At the end of the course, participants will be able to:
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