Event Details

The Economics Department are delighted to host the Summer School

A Bayesian Approach to Identification of Structural VAR Models - 👩‍🏫 Instructor: Christiane Baumeister (University of Notre Dame, NBER, and CEPR)

This course will focus on estimation and inference in structural vector auto regressive ( SVAR) models which are the workhorse models in empirical macroeconomics. The goal of this course is to equip participants with state-of-the art Bayesian methods for empirical research and policy analysis. The course challenges the current practice of identification of VAR models by introducing a more general Bayesian framework that encompasses standard identification approaches as special cases. Drawing structural inference from VAR models requires making use of prior information. This course provides formal tools of Bayesian analysis that allow to incorporate prior beliefs about structural coefficients, the impacts of shocks, and other structural objects of interest in a flexible way. The methods introduced in the lectures will be illustrated with applications to monetary policy, labor market dynamics, and oil price fluctuations as well as hands-on programming in Matlab.

Topics Covered

• Identification of Structural VAR Models

• The Role of Prior Information

• Inference in Set-Identified SVAR Models

The summer school is open to PhD and Master Students, Academics, and Practitioners from other Institutions who wish to deepen their understanding of Bayesian methods for identifying Structural VAR models, combining theoretical foundations with practical insights.

The programme offers high-level teaching, interactive sessions, and the opportunity to engage with an international research community in an intensive learning environment.

Timetable can be found here

Syllabus can be found here

HOW TO APPLY

Please submit your short bio and cover letter using this Google Form (Deadline April 15 2026)

Organizers: Mirela Sorina Miescu, Spyridon Lazarakis and Lorenza Rossi