Economic modelling and forecasting

Centre for Central Banking Studies
London - United Kingdom
2nd December 2013 - 13th December 2013

This two-week seminar aims to improve participants? understanding of current modelling strategies and forecasting techniques. The event is a combination of lectures on the theory and methods of policy analysis and design, practical problems in modelling and forecasting and computer-based exercises. Topics: - 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.

Summary