The National Centre for Econometric Research (NCER) will hold a Macroeconometric Modelling workshop at QUT, on Tuesday 15 and Wednesday 16 June in the afternoon. A light afternoon tea will be provided. If you are interested in attending, please contact the Administration Coordinator.
The workshop will be held in Room Z850, the Securities Dealing Room in the School of Economics and Financ, from 2pm to 5pm..
Workshop Convener
Gunnar Bårsden is Professor of Economics at the Norwegian University of Science and Technology in Trondhiem, Norway.
Course Overview
The workshop will provide students with practical tools for analysis of the economy through estimation and construction of macroeconometric models to test theories, do policy simulations and provide forecasts
Contents
• Background and examples.
• Approximating general continuous-time non-linear systems by cointegrated VARs.
• Estimation by means of of automated model selection techniques.
• Estimating and constructing dynamic simultaneous equation models.
• Simulation, policy scenarios and forecasting.
Workshop slides
Tuesday, 15 June
Oxmetrics program files (zip, 8kb)
Wednesday, 16 June
Eviews program files - one (zip, 10kb) and two (zip, 39kb)
Suggested reading
G. Bårdsen and R. Nymoen (2009), "Macroeconometric modelling for policy", in Mills, T. C. and K.Patterson (eds.), Palgrave Handbook of Econometrics Vol. 2, ch. 17, 851-916, Palgrave-Macmillan, 2009.
G. Bårdsen, Ø. Eitrheim, E. S. Jansen and R. Nymoen (2005), The Econometrics of Macroeconomic Modelling, Oxford University Press.
Doornik, J. A. (2009), “Autometrics”, in J. L. Castle and N. Shephard (Eds.), The Methodology and Practise of Econometrics, Chapter 4, pp. 88-121, Oxford University Press.
Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis, Springer.
Enquiries and Registration
For further details please contact the NCER Administration Coordinator:
Angela Fletcher
Queensland University of Technology
Email: a.fletcher@qut.edu.au