ECON 7305 - [Introduction to Bayesian Methods and Applications in Macroeconomics]

Spring (weeks 8-14). Next Offered: 2019-2020. 2 credits. Student option grading.

Prerequisite: ECON 6130, ECON 6140, ECON 6190, and ECON 6200.

Staff.

This course is composed of two parts. In the first half, we will cover an introduction to Bayesian Econometrics and standard methods such as Metropolis, Metropolis-Hasting, and Gibbs sampling. During the second half of the course, we will study how Bayesian methods have been used in the macroeconometric literature to handle DSGE’s, VAR’s, Markov-switching-VAR’s, Time-Varying VAR’s, with a special focus on general equilibrium models subject to parameter instability and the role of agents’ beliefs.