Forecasting and Nowcasting with High-Frequency Information

Learn with our expert faculty

facultyLuca Gambetti
PhD, Universitat Pompeu Fabra
UAB and BSE

Director
facultyGabriel Pérez-Quirós
PhD, University of California San Diego
Senior Economist - Financial Stability Department, Bank of Spain

Instructor

Course overview

The Covid-19 crisis and the Ukrainian war revealed the need to address current conditions of the economy with higher frequency than the traditional methods allowed. Weekly and daily variables shed light on the timing and the magnitude of the actual developments of the economy while traditional monthly and quarterly variables were silent about it.

Besides this, the lack of representativeness of these new high-frequency information variables, together with  noise, non-linearities, and seasonal effects, also mislead our assessment of the dynamics of the economy. New methods are being developed to combine traditional variables with new information sets, to create timely and robust indicators to address the current conditions of the economy, in real-time, daily or weekly.

This brand-new course teaches you the most recent techniques in macroeconomic nowcasting and forecasting, with particular attention to “special situations” that most courses do not cover, those in which traditional econometric models either fail or are silent about informing the economic developments. For example, after the covid crisis, the magnitude of the shock was unprecedented, the uncertainty in those months was so high that either nothing could be said or whatever we could say had such an uncertainty that it was not informative. This course will provide participants with tools to address those special situations.

You will be able to produce forecast and nowcast even when standard techniques fail due to exceptional economic conditions

If you are a macroeconomist and need to understand how economic analysis in real-time can be provided, you will find this course extremely useful as it is one of the very few courses on this topic.

Having successfully completed this course, you will be also able to create your own tools, based on your specific problem, to inform decision-makers even when uncertainty is high and standard techniques are useless. You will learn to do so through the presentations in class, the reading of the material, and especially, through the detailed analysis of computer codes. If you have a specific problem to solve, you will be able to apply directly the techniques covered in class to your case.

The course consists of theory sessions (10 hours) and practical sessions (10 hours). During the practical sessions, we will use MATLAB to replicate the methodology as well as the empirical findings documented in the lectures.

You will participate in an active and fruitful environment with international colleagues without incurring high costs, thanks to online live delivery.

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

Learn to analyze current economic conditions and produce forecast using high-frequency data

This course will be taught online but it will be live and interactive.

INTENSIVE COURSE

Forecasting and Nowcasting with High-Frequency Information

Applications will open soon!
  ONLINE
Regular Fee 1250 €
Reduced Fee 750 €

10% early-bird discount applies to payments made on or before January 20, 2023 at 23:59 (CET)

See below for reduced fee eligibility


Early-bird payment deadline: January 20, 2023

  ONLINE
Regular Fee 1250 €
Reduced Fee 750 €

10% early-bird discount applies to payments made on or before January 20, 2023 at 23:59 (CET)

See below for reduced fee eligibility


Last day to apply: February 8, 2023

  ONLINE
Regular Fee 1250 €
Reduced Fee 750 €

10% early-bird discount applies to payments made on or before January 20, 2023 at 23:59 (CET)

See below for reduced fee eligibility

This edition is closed. Next edition TBA.

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