Recorded Webinar: Multivariate Time Series Analysis with the Econometrics Toolbox
Complete this request form for immediate access to this webinar and other recorded webinars
The Smets-Wouters model is a forecasting model used by the European Central Bank for monetary policy analysis of the euro area. This model can be used for a variety of purposes including studying the impact of friction and structural shocks on the economy, identifying sources of business cycle fluctuation, and describing the relationship between output and inflation.
This presentation demonstrates how to implement complex macroeconomic models like Smets-Wouters using MATLAB and Econometrics Toolbox with specific focus on:
• Importing data from the Federal Reserve Economic Database
• Managing data using the Financial Time Series Object
• Building and backtesting a Vector Autoregressive (VAR) model
• Modeling exogenous shocks using Impulse Response Analysis
• Estimating the accuracy of forecasts
A Q&A session will follow the presentation.
This presentation demonstrates how to implement complex macroeconomic models like Smets-Wouters using MATLAB and Econometrics Toolbox with specific focus on:
• Importing data from the Federal Reserve Economic Database
• Managing data using the Financial Time Series Object
• Building and backtesting a Vector Autoregressive (VAR) model
• Modeling exogenous shocks using Impulse Response Analysis
• Estimating the accuracy of forecasts
A Q&A session will follow the presentation.
This webinar was recorded on 23 Sep 2009