In a world with sometimes abrupt changes in uncertainty, breakdowns of economic structures and policy shifts (e.g unconventional policies), economic participants must take into account the possibility of such events occurring and reoccurring. This course will provide PhD students with the necessary analytical tools and applications to analyse regime switching in dynamic economic models (mainly SVARs and DSGE but more general model applications as well).
The course participants will master a range of tools for solving and estimating Bayesian Vector Autoregressive (BVAR) and Dynamic Stochastic General Equilibrium (DSGE) models in which parameters (or more general regimes) change subject to a switching process that is potentially endogenous. The course will be based on the Rationality In Switching Environments (RISE) Toolbox developed in Matlab and designed by the lecturer of the course; software made available to participants for the duration.
The economic problems tackled by the tools developed in this 4-day course tend to be nonstandard, computationally challenging and massively difficult to solve. The skills gained in this sequence of lectures and tutorials will equip students with the necessary tools to address important economic and policy-relevant issues.
PhD students are required to participate actively in class, as well as solve and hand in solutions to exercises and problems in daily labs sessions. Lecture notes, recordings and other additional readings and exercises and application material will be supplied by the instructor at the time of delivery. Format: morning lecture and afternoon computer lab exercises and applications.
Who is this for?
Economics and Finance and some Financial Mathematics PhD students are welcome to attend. The interdisciplinarity is contained and inherent in the methods and computational techniques offered which encompass other disciplines: such as economics, statistics and applied mathematics or computational finance.
Are there any pre-requisites?
This event is best suited to PhD students in Economics / Finance / Econometrics, with some knowledge of time series modelling and basic programming skills using MATLAB. Minimal exposure to programming and Matlab or Python is expected.
When and where is it?
This is a four-day event taking place at Heriot-Watt University from 28th-31st October 2024. Accommodation can be provided on request where needed, and travel expenses can be reimbursed in accordance with our expenses policy.