Technical Cooperation Programme

Webinar on Advanced econometrics: introduction to Bayesian econometrics

The first of the NBPs’ webinar on Advanced econometrics: introduction to Bayesian econometrics organized jointly by the Financial Stability Department and Research and Financial Innovation Department took place on 29 September – 1 October 2020.

Fifty eight central bank representatives had an opportunity to enhance their knowledge of Bayesian econometrics.

During the sessions the NBP’s 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;
  • Reduced form VAR with Minnesota prior;
  • Reduced form VAR with Normal-Wishart prior;
  • Structural VAR with flat prior;
  • Structural VAR with Sims and Zha prior setup;
  • Structural VAR with zero/sign restriction.

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

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