The Italian Econometric Association (SIdE-IEA) in collaboration with the Venice centre in Economic and Risk Analytics for Public Policies (VERA) organizes the course for PhD students in:
Advanced Bayesian Econometrics: Bayesian Multivariate Models and Forecasting in Economics and Finance
31 August - 4 September, 2026
Università Ca' Foscari Venezia (Italy)
Coordinator
Gaetano Carmeci
Università di Trieste
Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche “B. de Finetti” (DEAMS)
Piazzale Europa, 1
34127 Trieste
tel. +39 0405587100
e-mail: gaetano.carmeci@deams.units.it
Lecturers
Roberto Casarin , Ca’ Foscari University of Venice
Matteo Ciccarelli , European Central Bank, DG Economics
Karin Klieber, Oesterreichische Nationalbank (OeNB)
Francesco Ravazzolo, Free University of Bozen-Bolzano and BI Norwegian Business School, Norway
The maximum number of allowed participants in presence is 20.
Requirements
Intermediate knowledge of econometrics; intermediate knowledge of Bayesian statistics and MCMC methods.
Description
The course is advanced and covers state-of-the-art techniques and recent developments in Bayesian Multivariate Models for structural analysis and forecasting, such as bayesian machine learning models, nonparametric methods and forecast combinations, with a broad range of applications in economics and finance. The methods introduced in the lectures will be illustrated with hands-on applications in MATLAB and R.
Course outline:
1. Review of Bayesian estimation in standard models
1.1 Fundamentals and Bayesian Simulation
1.2 Linear Regression Model (LRM) with spherical and non-spherical errors
1.3 LRM with Time varying parameters and stochastic volatility
1.4 VAR and Panel VAR models
2. Bayesian Machine Learning Models
2.1 A brief history of ML in economics
2.2 Tree-based models
2.3 Neural networks and deep learning
2.4 Interpretability
3. Bayesian Markov-switching VAR models
3.1Markov-switching (MS) models and Hamilton Filter
3.2 MS-VAR and MCMC methods
3.3 Multi-country panel MS-VAR
3.4 VAR with MS Stochastic Correlation
3.5 Application to macroeconomics (e.g. business cycle) and finance (exchange rates and CDS on sovereign bonds)
4.Structural Graphical VAR Models
4.1 Bayesian Networks and MCMC methods for Graphical Models
4.2 Graphical VAR models
4.3 Applications to macroeconomics and financial contagion
5. Bayesian Nonparametric Models
5.1 Bayesian Nonparametric
- Dirichlet and Pitman-Yor process priors
- Infinite mixture representation
- Dependent Pitman-Yor process priors
- Slice sampling and MCMC sampling for nonparametric models
5.2 Nonparametric VAR models
5.3 Nonparametric density combination models
5.4 Applications to macroeconomics (business cycle) and finance (stock markets)
6. Forecasting with Bayesian (multivariate) models
6.1 How to compute point and density forecasts from Monte Carlo draws
6.2 Evaluation of forecasts
6.3 Applications to energy, macroeconomics and finance
7. Density forecast combinations
7.1 Bayesian model averaging
7.2 Extension to time-varying combination weights and learning
7.3 Combinations of large data sets
7.4 Applications to energy, macroeconomics and finance
Preliminary readings/Reference textbook for the course
See the file downloadable from the public attachment section in this page
Software
Participants will use their laptops with MATLAB and R already installed on them.
Venue and timetables
Each Module requires a full-time attendance and participation is not compatible with other jobs at the same time (e.g. preparation of other exams). Lectures and tutorials will be in English, with the following schedule (provisional):
- Monday to Friday: lectures: 9.00(9.30) -13.00, 15.00-18.00 (18.30).
The course will be held in the Campus Economico San Giobbe at Università Ca’ Foscari, Venezia, Italy. Address: Dipartimento di Scienze Economiche - S. Giobbe, 873 - 30121 Venezia.
Contacts
- For more information: Roberta Partisani phone: +39 0543446554 ; e-mail: info@side-iea.it
- For administrative issues : Fabrizio Zanotti (admin@side-iea.it), phone:0543446561;
- Local organizing contact: Centro VERA veraschool@unive.it, phone: +39 041 234 6844
Whit the collaboration of:
