Nowcasting (NWC)

Source details

Training Program: Nowcasting
Session No.: SA 25.01
Deadline passed
Location: New Delhi, India
Date: February 17-28, 2025 (2 weeks) New dates
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.

Expected background:
- An advanced degree in economics or equivalent experience.
- A basic understanding of time-series econometrics.
- Be comfortable using EViews (econometric software package).
Strong recommendation:
- Completion of a few general macroeconomic courses, such as Macroeconomic Forecasting and Analysis (MFA) and Macroeconomic Diagnostic (MDS), in-person or online.

Purpose:
- Familiarize participants with cutting-edge nowcasting tools that facilitate the use of mixed-frequency data in regression models.
Motivation:
- Establishes the importance of nowcasting for more timely and appropriate policy formulation during crisis periods such as the GFC or COVID-19.
Statistical methods and procedures covered:
- Statistical methodology used to generate nominal and real GDP estimates.
- Box-Jenkins time-series analysis.
- Replacement of missing values.
- Seasonal adjustment procedures.
- Frequency conversion.
- Identification and preparation of high-frequency indicators.
Nowcasting estimators and frameworks introduced:
- BRIDGE estimator.
- MIDAS estimator.
- U-MIDAS estimator.
- Each estimator covered both with and without factors.
- State-space/Kalman filter approach for mixed-frequency nowcasting models.
Model combination and evaluation:
- Procedures for combining nowcasts from distinct models.
- Statistical procedures for evaluating the accuracy of a sequence of nowcasts.

Hands-on workshops and assignments:
- Each topic is complemented by hands-on workshops and an assignment using country-specific data.
- Workshops and assignments use the EViews econometric package.
- Workshops and assignments are an integral component designed to illuminate the actual steps required to generate a nowcast.

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.