Time series econometrics and forecasting constitute a dynamic research area that combines sophisticated statistical methodologies with economic theory to model, interpret and predict economic and ...

Learn about Robert F. Engle III, a Nobel laureate credited with developing the ARCH model for analyzing financial market ...

This course has a broad structure and covers many aspects of modeling and estimating financial/economic time series. In particular, we will be focusing on (i) linear regression models involving ...

Time series forecasts are used to predict a future value or a classification at a particular point in time. Here’s a brief overview of their common uses and how they are developed. Industries from ...

In this paper, we consider a nonparametric model with a time-varying regression function and locally stationary regressors. We are interested in the question whether the regression function has the ...

The paper introduces “system priors”, their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes ...

Will the world still need economists in 2030? With skin in the game, we certainly hope so — but artificial intelligence is already transforming economic analysis. In our own work — and in a review of ...

This course, presented by the Institute for Capacity Development, gives government officials a rigorous foundation estimating of macro-econometric models and their application for nowcasting, ...