The topic of the 17th Advanced Summer School is “Bayesian Machine Learning Methods for Modeling Macroeconomic and Financial Time Series” and the guest lecturer is Prof. Dimitris Korobilis, Professor of Econometrics, Adam Smith Business School, University of Glasgow, UK.
The topics covered will include:
- Overview of Bayesian Inference and Computation
- High Dimensional Estimation using Shrinkage and Variable Selection
- Vector Autoregressions
- Time-Varying Parameters and Stochastic Volatility
- Bayesian Quantile Regression and Factor Models