Details
Start:
Dec 1, 2022
End:
Dec 9, 2022
Course Number:
ST22.31
Application Deadline
Sep 23, 2022
Nowcasting (MFA-NWC)
Nov 21 - Nov 25
Target Audience
Junior and middle-level officials from Ministries of Finance, Central Banks, and other interested public institutions.
Qualifications
Participants are expected to have an advanced degree in economics or equivalent experience, a basic understanding of time-series econometrics and be comfortable using EViews (econometric software package). It is strongly recommended that applicants havecompleted a few general macroeconomic courses, such as Macroeconomic Forecasting and Analysis (MFA), Macroeconomic Diagnostic (MDS), face-to-face or online.
Course Description
Nowcasting refers to the practice of using recently published data to update key economic indicators that are published with a significant lag, such as real GDP. The aim of this course is to familiarize participants with cutting-edge nowcasting tools that facilitate the use mixed-frequency data in regression models. The course begins by establishing the importance of nowcasting for more timely and appropriate policy formulation during crisis periods such as the GFC or COVID-19. It then reviews the standard nowcasting regression-based procedures available, including the BRIDGE, MIDAS, and U-MIDAS estimators, both with and without dynamic factors. The course also reviews the more general state-space/Kalman filter approach to formulating and estimating a nowcasting model with mixed-frequency data. Procedures for combining nowcasts from the distinct models are considered, along with statistical procedures for evaluating the accuracy of a sequence of nowcasts. Each topic is complemented by a hands-on workshops and assignment using country-specific data using the EViews econometric package. The workshops and assignments are an integral component of the course designed to illuminate the actual steps required to generate a nowcast.
Course Objectives
Upon completion of this course, participants should be able to:
- Identify appropriate high-frequency indicators useful for the nowcasting macroeconomic variables and prepare them for use in a nowcasting exercise.
- Formulate and estimate a nowcasting regression using several approaches.
- Generate a nowcast from the base regression and consolidate competing forecasts using combination forecasts.
- Evaluate the accuracy of the nowcast using several forecasting performance indicators.
- Apply the nowcasting tools to their country data and interpret the nowcast appropriately in policy making settings.
Language: | English |
Application process: | Please apply online |