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Macroeconometrics

Macroeconomic Forecasting: Machine Learning vs Time Series Methods

Learn advanced techniques for economic modeling, policy analysis, and forecasting.

20h (10 days)

€775 - €1,325

Online

English

Program date: February 3 - 14, 2025

Applications for this edition are now closed

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Macroeconometrics

Macroeconomic Forecasting: Machine Learning vs Time Series Methods

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Executive education

Macroeconometrics

Macroeconomic Forecasting: Machine Learning vs Time Series Methods

This course explores advanced forecasting methods literature from classic time series to modern machine learning and review techniques for out-of-sample evaluation. Participants will compare which methodologies are more advantageous in real-world situations.

Faculty

Discover what makes this course different

1

Expert Instruction: Led by experienced economists specializing in macroeconomic forecasting.

2

Interactive Online Format: Live online sessions, recorded for flexible review, with practical exercises in R.

3

Real-world applications: Receive both theoretical knowledge and practical skills for immediate industry application

4

Dual approach: Develop expertise in both traditional and modern forecasting methods

5

Get guidance and feedback: BSE Faculty and peers are available to discuss research projects, enhancing your analytical and research capabilities.

Are you interested in learning the latest developments in macroeconomic forecasting?

This program is intended for:

Researchers who want to use the latest advances in macroeconometrics
Master’s and PhD students who want to extend their knowledge in macroeconometrics and learn more about frontier research topics
Central bank practitioners and those in private and public institutions seeking to update their knowledge and acquire the latest techniques

Learn state-of-the-art techniques for macroeconomic forecasting

Upon completion of this course, participants will have:

Reviewed state-of-the-art techniques for forecasting in macro using large datasets from both the time series and machine learning literature
Learned prediction methodologies with real-world applications like FRED-MD and Growth-at-Risk for the US

Program Syllabus for Macroeconomic Forecasting: Machine Learning vs Time Series Methods

Here is the list of topics that will be covered in the course.

Foundations of Forecasting

Forecasting as a Decision Theory Problem
Econometric and Machine Learning Approaches to Forecasting
Forecast Performance Evaluation:
- Equal Predictive Ability Test
- Superior Predictive Ability Test
- Model Confidence Set

Predicting the Conditional Mean

A brief review of linear regression and ARMA models
Penalized linear regression: Ridge and LASSO
Principal component regression
Random forests
Regularization parameter tuning: cross-validation
Application: Forecasting Policy Relevant Variables in the FRED-MD database

Predicting Conditional Quantiles

Quantile Regression
Time Series Model-Based Quantile Prediction
Application: Forecasting Macroeconomic Downside Risk

List of References

Articles

Bai, J. and Ng, S. (2008). Forecasting economic time series using targeted predictors. Journal of Econometrics, 146, 304-317.
Barigozzi, M. and Brownlees, C. NETS: Network Estimation for Time Series. Journal of Applied Econometrics, 2019, 34, 347-364
Bühlmann, P. and S. van de Geer (2011). Statistics for High–Dimensional Data: Methods, Theory and Applications. New York: Springer.
Diebold, F. and K. Yilmaz (2015). Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring. Oxford University Press.
Stock, J. H. and Watson, M. W. (2002). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association, 97, 1167–1179.
Stock, J. H. and Watson, M. W. (2004). Combination forecasts of output growth in a seven-country data set. Journal of Forecasting, 23, 405–430.

Why should you attend BSE Executive Education courses?

All BSE Executive Education courses are taught to the same high standard as our Master’s programs.

1

Network with like-minded peers from around the world

2

Short courses allow you to learn without a big time commitment

3

Try something new and expand your knowledge and career prospects, or advance your thesis

Admissions

If you want to apply for this Machine Learning course, ensure you meet the criteria below.

Program date: February 3, 2025

Applications for this edition are now closed

Requirements

Candidates are assessed on an individual basis according to their professional or academic background
Students must have their own laptop or desktop computer and good Internet connection to be able to follow and fully benefit from the course

Requirements for Machine Learning vs Time Series course

Designed for intermediate-level students and practitioners, this course requires a basic understanding of econometrics and time series econometrics

Course Schedule

The times listed are Central European Time (CET). Compare with your time zone on time.is

Instructors, topics, and schedules are subject to change.

Week 1

Time

1
Mon

2
Tue

3
Wed

4
Thu

5
Fri

17:00 - 19:00

Lecture

Practical

Lecture

Practical

Lecture

Week 2

Time

1
Mon

2
Tue

3
Wed

4
Thu

5
Fri

17:00 - 19:00

Practical

Lecture

Practical

Lecture

Practical

Course Materials and Software

Every participant will receive a free, limited-time MATLAB license. You’ll need to install it on your computer for practical sessions before the course start date. Additional materials will also be provided

Certificate

Participants who attend at least 80% of the course will receive a Certificate of Attendance free of charge. Participants will not be graded or assessed during the course.

Fees

A 10% discount applies when the confirmation payment is completed on or before the announced Early Bird deadline.

Multiple course discounts are available. Find out more information in our Fees and Discounts pdf.

Fees for courses in other Executive Education programs may vary.

Course

Macroeconomic Forecasting: Machine Learning vs Time Series Methods

Modality

Online

Total Hours

20

Regular Fee

1,325€

Reduced Fee*

775€

* Reduced Fee applies for PhD or Master’s students, Alumni of BSE Master’s programs, and participants who are unemployed.

FAQ

Interested in applying but need more information?

Are the sessions recorded?

Sessions will be recorded and videos will be available for a month once the course has finished.

How much does each Executive Education course cost?

Fees for each course may vary. Please consult each course page for accurate information.

Are there any discounts available?

Yes, BSE offers a variety of discounts on its Executive Education courses. See more information about available discounts or request a personalized discount quote by email.