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Time Series Econometrics and Macroeconomic Forecasting
Last Updated: 2026-02-05 16:16:52
Abstract
This course introduces the methods for analyzing and forecasting macroeconomic activity using multivariate time series analysis. We will study econometric models that central banks, government agencies and other research institutions use to analyze and forecasts macroeconomic variables.
Objective
How will the overall economy develop during the next quarters and years? What is the impact of the exchange rate on economic activity and inflation? How should we derive macroeconomic scenarios under alternative assumptions about the evolution of key variables like oil prices, exchange rates or the world economic activity? What are the effects of changes in monetary policy, fiscal policy or COVID-19 on economic activity? After completing this course, students will be able to tackle these and related questions using multivariate time series methods as applied by researchers and professional forecasters.
Content
The course covers the following topics: • Vector autoregressive (VAR) models • Identification of macroeconomic shocks • Conditional forecasting (macroeconomic scenario analysis) • State space models • Macroeconometrics and Big Data During computer exercises, we utilize the time series models to study real world examples using R. Prerequisites: • Principles of Macroeconomics • Principles of Econometrics
General Information
- Language
- English
- Levels
- MSC
- Frequency
- Yearly recurring
Examination
- Type
- graded semester performance
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture | Time Series Econometrics and Macroeconomic Forecasting |
|
2 h weekly |
Offered In
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Management, Technology and Economics Master (Welcome and Introduction to MSc ETH MTEC Monday, 18.09.2023, 14.00 - 16.45 h, Room tba)
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