Events

Events 2011

December

November

October

School of Economics and Finance at Victoria University of Wellington, in conjunction with Centre for Applied Macroeconomic Analysis at ANU, are organizing the First Annual VUW Macro Workshop. The workshop aims to establish a regular venue for advancing research in macroeconomics in New Zealand, Australia, and the wider region

Program

September

August

July

This nine-day course provides an introduction to contemporary Bayesian econometric modelling, with an emphasis on time series modelling. An undergraduate training in econometric or statistical methods will be assumed, although some foundations of matrix algebra and distributional theory will be introduced. The topics include basic principles of Bayesian inference, different types of priors, shrinkage and model uncertainty. The main focus of the first week (June 11-15, covered by Michael Smith) will be on developing Bayesian inferential methodology for a number of popular econometric models. The methods will include traditional closed-form Bayesian econometric computations, and those computed using simulation-based Markov chain Monte Carlo methods. The Gibbs sampler and Metropolis-Hastings (MH) algorithm will be introduced, along with how to compute posterior inference from the resulting Monte Carlo samples, model averaging in linear regression, seemingly unrelated regression. The second week (June 18-21) will focus on recently developed methods for topics in time series analysis. The techniques will include: copula models and their estimation using maximum likelihood and Bayesian methods (covered by Michael Smith); Kalman and alternative filters, time-varying parameter models, stochastic volatility, dynamic mixtures (covered by Rodney Strachan); and, prediction with vector autoregressions, dynamic stochastic general equilibrium models, and prediction pools (covered by Shaun Vahey). Lab sessions will work through problem sets, based on MATLAB code (supplied).

June

May

April

CAMA will be holding a special session at the Royal Economic Society Annual Conference 2011 which will focus on an exciting area of macroeconomic research: communicating probabilities and forecast densities for monetary policy. Following The Bank of England, fan charts have been adopted by many central banks. Recent research has pursued two streams: ex post evaluations of density forecasting performance; and, the usefulness of probabilistic information for monetary policy communication. Both research streams are explored in the papers presented in this session, with monetary policymakers as discussants.

March

February

January

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