Monday 25 August 2008

9:00 to 12:00

Christopher Sims (Princeton University): General introduction to the workshop. Bayesian  VARs. Choice of priors. Estimation of Bayesian VARs with dummy observations.

14:00 to 17:00

Tutored class: Estimation of Bayesian VARs with dummy observations. Application to VAR models of selected OECD countries.

Tuesday 26 August 2008

9:00 to 12:00

Benoit Mojon (FRB Chicago) and Daniel Waggoner (FRB Atlanta): Markov switching VARs.

14:00 to 17:00

Tutored class: Specification and estimation of Markov switching VARs. Application to the US Business cycle and the transmission of monetary policy in EMU.

Wednesday 27 August 2008

9:00 to 12:00

Tao Zha (FRB Atlanta): Spate space representation of structural models and estimation of time varying parameters.

14:00 to 17:00

Tutored class: Specification and estimation of New Keynesian model of the US and the euro area.

Workshop on Markov Switching Time Series Models.pdf