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General Macroeconomic Analysis

Cancelled : Nowcasting (NWC)

Cancelled

Session No.: SA 23.01

Location: New Delhi, India

Date: March 13-17, 2023 (1 week)

Primary Language: English

    Target Audience

    Junior and middle-level officials from Ministries of Finance, Central Banks, and other interested public institutions.

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    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.

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    Course Description

    The Nowcasting course, presented in-person by the Institute for Capacity Development and South Asia Regional Training and Technical Assistance Center, 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 workshop and assignment using country-specific data and the EViews econometric package. The workshops and assignments are an integral component of the course, and are designed to illuminate the actual steps required to generate a nowcast.

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    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.
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