TI Econometrics Lectures 2012
Lecture title: Recent Theory and Applications of DSGE Models, June 6 - 7
Prof. Frank Schorfheide from the University of Pennsylvania will give the Tinbergen Institute Econometrics Lectures 2012. These lectures are a joint event of the Econometric Institute, Tinbergen Institute and Princeton University Press, and are combined with an international workshop, intended for Ph.D. students, fellows, and qualified external participants.
The lectures will discuss recent advances in the literature on the econometric analysis of Dynamic Stochastic General Equilibrium (DSGE) models, covering both methods and applications. We begin with an introduction to the Bayesian estimation of linearized as well as nonlinear DSGE models and review algorithms to generate draws from the posterior distribution of DSGE model parameters. Once these parameter draws are obtained the DSGE models can be used to provide quantitative answers to a variety of questions, e.g. about the sources of business cycle fluctuations, relative importance of endogenous propagation mechanisms, the effects of monetary and fiscal policy interventions. We present tools to evaluate the fit of DSGE models, review the forecasting performance of estimated DSGE models, and discuss novel methods of incorporating external information (about the current state of the economy and the long-run outlook) into DSGE model forecasts. Finally, we consider empirical models that relax some of the restrictions imposed by DSGE models. These specifications include VARs with priors derived from DSGE models, DSGE models that are embedded in state-space models, and mixtures of DSGE models.
Background reading: Marco Del Negro and Frank Schorfheide (2011): “Bayesian Macroeconometrics,” in J. Geweke, G. Koop, and H. K. van Dijk (eds): The Oxford Handbook of Bayesian Econometrics, Oxford University Press.
Introductory Bayesian Macro-econometrics Lectures, June 4 - 5
There will be an introductory Bayesian macro-econometrics lectures of one day scheduled and, as extra, a second “one-day Tutorial” and also some Laboratory sessions.
Instructors: Prof. Herman K. van Dijk and Dr. Nalan Basturk, Tinbergen Institute.
One day tutorial: We provide a concise introduction to Bayesian inference for econometrics and economics and discuss the usefulness of basic Monte Carlo simulation methods like Gibbs, Metropolis Hastings and Importance sampling in this context. Applications include standard univariate and multivariate macroeconomic time series models and some instrumental variable models that all serve as background for DSGE models.
The one day lectures assume basic background on simulation based Bayesian econometric inference. The focus is on more advanced, recently developed simulation methods and filtering methods that may be useful for the analysis of flexible dynamic time series models like GARCH processes, time varying parameter models, dynamic mixture models and further for Bayesian model averaging involving marginal and predictive likelihoods. A laboratory session is included.
Background reading: Course material and relevant chapters - later indicated - from: J. Geweke, G. Koop, and H. K. van Dijk (eds): The Oxford Handbook of Bayesian Econometrics, Oxford University Press.
Workshop on Recent Theory and Applications of DSGE Models, June 8
Keynote speaker: Frank Schorfheide (University of Pennsylvania).
Invited speakers: Wouter Den Haan (London School of Economics), Kirstin Hubrich (ECB), Domenico Giannone (University of Brussels, Ecares); Anders Warne (ECB), Gianni Amisano (ECB), Fabio Canova (Pompeu Fabra University).
Click here for the lecturer poster of this event.
Keynote speaker: Frank Schorfheide (University of Pennsylvania).
Invited speakers: Wouter Den Haan
(London School of Economics), Kirstin Hubrich (ECB), Domenico Giannone (University of Brussels,
Ecares); Anders Warne (ECB), Gianni Amisano (ECB), Fabio Canova (Pompeu Fabra University).
Organizing committee: Nalan Basturk, Cem Cakmakli, Lennart Hoogerheide, Dick van Dijk, Herman K. van Dijk
(Chair) and Carolien Stolting
Date: June 4-8, 2012
Venue: Tinbergen Institute Rotterdam
Registration for the lectures: Fee is € 700 for the whole week including the tutorial day (registration
before May 1) and € 900 (if you register after May 1). Participation in the exam costs € 100. External
participants need to send their vitae and a short letter in which they motivate their participation.
Participation is free for TI-Mphil and PhD students.
Qualified external students are explicitly invited to participate.
You can register here. The registration code for this Lectures is: TI1115