IV Workshop
Mond 29 Jan 2018 – Wed 31 2018 | "Macroeconomic Forecasting and Uncertainty. Advanced course in macro econometrics"
- Event website: ICAE | 4thWorkshopMacroFinance
- Organized by: the Research group on "Identification and prediction of systemic shocks. Analysis of the macroeconomic determinants of financial risks and its cross-sectional implications."
- Sponsored by: Bank of Spain, FAE II and ICAE
- Date: Mond 29 Jan 2018 – Wed 31 2018
- Venue: Instituto Complutense de Análisis Económico (ICAE) - Universidad Complutense de Madrid
- Speaker: Andrea Carreiro | School of Economics and Finance, Queen Mary, University of London
- Subjet: Macroeconomic Forecasting and Uncertainty. Advanced course in macro econometrics:
- i) Bayesian VARs,
- ii) Forecasting with MIDAS
- iii) Uncertainty (Measuring uncertainty and its impact on the economy; Endogeneity of uncertainty; The predictive ability of uncertainty)
- Monday 29
- 10:00 - 11:30: Introduction to Bayesian methods
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11:30-12:00: Coffee break
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12:00: 13:30: Bayesian treatment of the classical linear regression model
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14:00-15:30: Lunch
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15:30-17:00: Models with time varying coefficients and volatilities
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Tuesday 30
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10:00 -11:30: Bayesian Vector Autoregressions – part A (homoskedastic
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11:30-12:00: Coffee break
- 12:00: 13:30: Bayesian Vector Autoregressions and this paper – part B (heteroskedastic)
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14:00-15:30: Forecasting with MIDAS – presentation of the paper Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
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Wednesday 31
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10:00 - 11:30: Measuring Uncertainty – presentation of the paper Measuring uncertainty and it impact on the economy
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11:30-12:30: Coffee break
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12:00- 13:30: Endogenous uncertainty
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14:00-16:00: Lunch
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