This course is organized over 5 days. Participants will have access to 2 hours of training each day. Each day consists of lectures and hands-on training. At the end of the course participants should be able to estimate a macro model in DYNARE. 

​

The courses are organized to focus on the needs of each central bank.

​

Don't worry! We will find a suitable time of the day for you. Participants will be divided into groups by their time zones.

 

Day 1. Introduction to Bayesian Estimation.

Day 2. Database Management and Bayesian Basics:

• Constructing and updating historical and near-term forecasting database,

• Learning ML and Bayesian estimation in Dynare,

• Distributions for parameters and stochastic processes.

​

Day 3. Estimating Models with Generated Data:

• Generate data with very large samples,

• Constructing posterior distributions with the MH algorithm,

• Odds ratios.

​

Day 4. Estimate Small Model of the US economy:

• Graph and analyze data,

• Estimation of modes with priors.

​

Day 5. Estimate Small Model of the US economy:

• Estimation of modes with priors,

• Analyze model properties.

 

Prerequisites:

​

• ​Have at least intermediate knowledge in statistics and macroeconomics.

• MATLAB 2020a or later versions. 

• Being an intermediate user of Dynare/Matlab would be an asset but no previous knowledge of it is required as there will be a special mini-course for beginners.

• MiKTeX.

​

Requirements:

​

• DYNARE 4.6.3 or higher.

• MATLAB 2020a or higher.

​

The outcomes from the course:

​

• DYNARE code with Estimation examples.

• Certificate of completion.

• Further assistance (subject to discussion).

​

Reading Material

​​​

• Adrian T, D. Laxton, and M. Obstfeld 2018, "Advancing the Frontiers of Monetary Policy."

​

• The Dynare Reference Manual

​

• IRIS Toolbox Reference Manual​​

​

• Laxton, D., 2008, “Getting to Know the Global Economy Model and Its Philosophy,” IMF Staff Papers, Vol. 55, No. 2, pp. 213–42.​

​

• Carabenciov, I., C. Freedman, R. Garcia-Saltos, O. Kamenik, D. Laxton and P. Manchev. 2013, "GPM6: The Global Projection Model with 6 Regions," IMF Working Paper No. 13/87.

​

• Chen,H., K. Clinton, M. Johnson, O. Kamenik, and D. Laxton, 2009, "Constructing Forecast Confidence Bands During the Financial Crisis," IMF Working Paper 09/214 (September 2009).

​

• Carabenciov, I., I. Ermolaev, C. Freedman, M. Juillard, O. Kamenik, D. Korshunov, D. Laxton, and J. Laxton, 2008b, "A Small Multi-Country Global Projection Model with Financial-Real Linkages and Oil Prices," IMF Working Paper No. 08/280 (Washington, DC.: International Monetary Fund). 

​

• Carabenciov, I., I. Ermolaev, C. Freedman, M. Juillard, O. Kamenik, D. Korshunov, D. Laxton, and J. Laxton, 2008a, "A Small Multi-Country Global Projection Model," IMF Working Paper No. 08/279 (Washington, DC.: International Monetary Fund).

​

• Carabenciov, I., I. Ermolaev, C. Freedman, M. Juillard, O. Kamenik, D. Korsunmov, and D. Laxton, 2008, "A Small Quarterly Projection Model of the U.S. Economy," IMF Working Paper No. 08/278 (Washington, DC.: International Monetary Fund).

​

• Bayoumi, T., D. Laxton, H. Faruqee, B. Hunt, P. Karam, J. Lee, A. Rebucci and I. Tchakarov, 2004, GEM: A New International Macroeconomic Model, Occasional Paper, No. 239, (Washington: International Monetary Fund).

​​​

Participants interested in learning more about the details of this course should email us at 

douglaslaxton@thebetterpolicyproject.org  to request access to a series of video presentations. 

​