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General Macroeconomic Analysis

Nowcasting (NWC)

Deadline passed

Session No.: SA 23.32

Location: New Delhi, India

Date: September 18-29, 2023 (2 weeks)

Delivery Method: In-person Training

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) and Macroeconomic Diagnostic (MDS), in-person or online.

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    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 also reviews the statistical methodology used to generate nominal and real GDP estimates and several statistical procedures useful for nowcasting such as Box-Jenkins time-series analysis, replacement of missing values, seasonal adjustment procedures, frequency conversion, and the identification and preparation of high-frequency indicators. It then introduces the standard nowcasting regression-based procedures available, including the BRIDGE, MIDAS, and U-MIDAS estimators, both with and without 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.

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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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