IMF | STI

Details

Start: 
July 3, 2023

End:
July 14, 2023

Course Number:
ST23.40

Application Deadline

March 24, 2023

In-Person : Nowcasting (NWC)

July 3 - 14  

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:

• Understand and be proficient in the steps required to manage time-series data in EViews, estimate an OLS regression and calculate its associated forecasts in EViews.
• Formulate several useful statistical procedures in EViews, including consolidation of time series from higher to lower frequencies; interpolation techniques; seasonal adjustment; and use of leading indicators.
• 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 (including Bridge, MIDAS, and U-MIDAS estimators).
• 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 own country data and interpret the nowcast appropriately in policy making settings.