Faculties and centres
Even though the course is self-contained, statistics and econometrics at an advanced undergraduate level are recommended. Computer applications will be based on GAUSS or MATLAB but no prior knowledge of this specific software is required because it will be quickly taught at the beginning.
General Competences (CG)
Specific Competences (CE)
The course is intended to provide participants with the necessary tools to apply state of the art techniques for the forecasting of macroeconomic and financial variables and turning points, with special emphasis on recent developments in “nowcasting” The course covers the required econometric theory but with the intention of putting it into practice in specific forecasting situations. Students will receive computer codes that exactly match the techniques covered in class in order to guarantee their applicability to real data.
Each session starts with the presentation of a forecasting technique, followed by the review of the econometric theory required for its analysis, and the detailed explanation of computer programs that can be used to obtain the forecasts. The syllabus covers a wide range of forecasting problems and linear and non-linear econometric methods, but it is designed to be self-contained.