Technical Cooperation Programme

Workshop on Advanced econometrics: introduction to Bayesian econometrics

The workshop on Advanced econometrics: introduction to Bayesian econometrics organized jointly by the Financial Stability Department and Economic Research Department took place on 18-19 September 2018 at the NBP Head Office in Warsaw.

During the sessions the NBP experts lectured on topics such as:

  • Bayes’ formula;
  • Elements of Bayesian inference: estimation, prediction and model comparison;
  • Pooling inferences from individual models (Bayesian Model Averaging);
  • Linear regression model from Bayesian point of view;
  • Basic Markov Chain Monte Carlo (MCMC) methods;
  • Bayesian Vector AutoRegression (VAR);
  • Bayesian Structural VAR;
  • Sign and zero restrictions in Bayesian Structural VAR.

Narodowy Bank Polski would like to thank all guests for active participation and all experts for their valuable contribution.

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