Macroeconometric Forecasting (MFx)

Source details

Target audience: All government officials are welcome to register; particularly relevant for officials involved in developing forecasts used to design and implement macroeconomic policy.
Session No.: OL 23.199
Location: Course conducted online
Date: May 1, 2023 - August 31, 2023 (18 weeks)
Delivery Method: Online Training
Primary Language: English

Expected background: undergraduate statistics and basic econometrics.
Essential equipment: access to a computer with a reliable Internet connection and a Google Chrome web browser.
Software: demonstrations and applications conducted using EViews.
Licenses: Temporary licenses for EViews are made available for the duration of the course.

Presented by the Institute for Capacity Development to reinforce macroeconomic forecasting and modeling skills and the use of modern econometric techniques.
Lectures discuss underlying theory and demonstrations show how to conduct empirical analyses using EViews.
The course focuses on four aspects of empirical model building and forecasting:
- data and model properties, such as stationarity/non-stationarity and co-integration;
- dynamic specifications, especially the use of error correction models;
- model evaluation, design, and simulation; and
- forecast uncertainty and policy analysis.

Forecast time series and multiple equation models using EViews.
Assess the statistical characteristics of time series and apply appropriate methods for forecasting.
Construct a macroeconometric model using ARMA, VAR, and VECM methods.
Use a variety of statistical techniques to evaluate the performance of a forecasting model.