040039 UK Macroeconomic Forecasting with Theory-Based Models (MA) (2014W)

This course introduces tools for forecasting macroeconomic time series using theory-based DSGE models. The course will be split into two parts. The first part is a series of lectures covering topics such as (i) DSGE modeling, (ii) (Log-)linearization, (iii) The Kalman filter, (iv) Classical and Bayesian inference in linearized DSGE models, (v) Forecasting with linearized DSGE models, (vii) Forecast evaluation, (viii) applied forecasting using MATLAB/DYNARE. The second part will include presentations by students of (i) selected research papers and (ii) of their individual applied forecasting project.