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Macroeconometrics

Introduction to Nowcasting and Forecasting

An interactive course that presents participants to state-of-the-art tools used in data science.

17.5h (5 days)

€775 - €1,400

Face-to-face

English

Program date: July 14 - 18, 2025

Application deadline: July 7, 2025

Learn more

Introduction to Nowcasting and Forecasting

Applications for 2025 Summer School programs are now open!

Summer school

Macroeconometrics

Introduction to Nowcasting and Forecasting

Course Overview

Recent economic events, financial crises, the COVID crisis, the Ukraine war, rising inflation, etc., have sparked a great interest in understanding the real-time economic situation. Optimal investment decisions and economic policy choices in this rapidly shifting environment require a careful analysis of the real-time economic landscape, which is often characterized by scant, unbalanced, revised, non-seasonally adjusted, and noisy data.

In the midst of this whirlwind, analysts responsible for deciphering these complex dynamics often find themselves overwhelmed by the sea of available techniques and information, as well as the pressure to produce reliable forecasts. There’s no easy guide for comparing methods, understanding data filtration, determining the number of variables for forecasting, or gauging the complexity of the models. It’s within this challenging space that our course finds its purpose.

Starting from the bedrock of undergraduate econometrics, this course steers students through a spectrum of techniques. It commences with fundamental ARIMA models and concludes with advanced state-of-the-art models that introduce non-linear and machine learning concepts.

The course not only covers a theoretical description of these models but also includes practical applications through computer programs implemented in Matlab, R, and Python(*). However, it is important to emphasize that the course is not solely a technical description of the models themselves. Special attention will be given to the motivation for using each model, highlighting the distinct properties of each and assessing their optimality in providing the simplest and most effective solution to various economic policy questions.

The course is designed for professionals, master and Ph.D students, who want an introduction to forecasting techniques that is both suitable for beginners and offers a comprehensive and up-to-date approach

(*) No previous knowledge of these languages is needed although some basic notions in any of them are welcomed

Faculty

Are you passionate about learning more about the latest developments in nowcasting and forecasting?

This course is useful for:

Researchers and practitioners working at central banks as well as other private and public institutions
Masters and PhD students who want to extend their knowledge in macroeconometrics and learn more about frontier research topics

Learn to analyze current economic conditions and produce more accurate forecasts

Upon completion of this course, you will:

Understand the impacts of recent economic events, including financial crises, COVID, and the Ukraine war
Learn to navigate and interpret the complexities of real-time economic data
Acquire the ability to analyze and make optimal investment decisions and economic policy choices in a rapidly changing environment
Understand and apply non-linear and machine learning concepts in economic forecasting
Develop skills to compare different forecasting methods and select the appropriate technique based on the data and context

Program Syllabus for Introduction to Nowcasting and Forcasting

Here is a brief outline of what we will cover.

Basic Concepts and Definitions

Forecasting Models

ARIMA Models and VARs
Local Projections
Static and Dynamic factor models
Non-linear specifications: Smooth threshold and Markov switching
Introduction to Machine Learning

Special Issues

Filtering, data mining and model selection
Forecast evaluation
Forecasting with High-Frequency Data

List of References

There will be specialized readings on each of the topics covered in the course, but some basic books recommended are:

Books

James Hamilton. “Time Series Analysis” Princeton. (1994).
Chang-Jin Kim, Charles R. Nelson. “State-Space Models With Regime.
Switching: Classical and Gibbs-Sampling Approaches With Applications”. MIT Press (1999).
Andrew Blake and Haroon Mumtaz. “Applied Bayesian Econometrics for Central Bankers” (2007). Bank of England.
Helmut Lütkepohl “New Introduction to Multivariate Time Series Analysis” (2005).
Fabio Canova.” Methods for Applied Macroeconomic Research” (2007).
Frank Diebold. “Elements of forecasting” (2007).
Juana Sanchez. “Time series for data scientists: data management, description, modeling and forecasting (2023).

Software / Hardware

MATLAB will be used during the course. Participants will receive a free, time-limited MATLAB license before the program starts. Please install MATLAB on your computer before the course begins for use in practical sessions
Participants must bring their own laptop to participate in the practical sessions

Why join our Summer School?

All BSE Summer courses are taught to the same high standard as our Master’s programs. Join us to:

1

Network with like-minded peers

2

Study in vibrant Barcelona

3

Learn from world-renowned faculty

Admissions and Requirements

Participants must check they are eligible to take the course before applying.

Program date: July 14 - 18, 2025

Application deadline: July 7, 2025

Requirements

Summer School applicants normally demonstrate one or more of the following:

A strong background in Economics or a field closely related to the course topic (Statistics, Law, etc.)
Postgraduate degree or current Master’s/PhD studies related to the course topic
Relevant professional experience

Requirements for Introduction to Nowcasting and Forecasting

Knowledge of Econometrics at Undergraduate level
Basic knowledge of Python or MATLAB is welcomed, although it is not mandatory

Schedule

Here is your schedule for this edition of BSE Macroeconometrics Summer School Nowcasting and Forecasting course.

Time

14

mon

15

tue

16

wed

17

thu

18

fri

11:30 - 13:30

Lecture

16:15 - 17:45

Practical

Credit Transfers (ECTS)

To be eligible for credit transfer, students must complete a final project.

Students will deliver a short final project one week after the summer school finishes. It will consist in solving a final problem that will include the practical and empirical issues worked on in class.

Consult the Summer School Admissions page for more information about this option.

Certificate of Attendance

Participants who attend more than 80% of the course will receive a Certificate of Attendance, free of charge.

Fees

Multiple course discounts are available; see more information about available discounts. Fees for other courses listed in other Summer School programs may vary.

Course

Introduction to Time Series Analysis

Introductory Bayesian Macroeconometrics

Time Series Models for Macroeconomic Analysis I

High-Dimensional Time Series Models

Time Series Models for Macroeconomic Analysis II

Bayesian Estimation of RANK and HANK Business Cycle Models

Introduction to Nowcasting and Forecasting

Modality

Online

Face-to-face

Total Hours

17.5

ECTS

1

Regular Fee

775€

1,400€

Reduced Fee*

475€

775€

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

FAQ

Here are some commonly asked questions by participants. Any further queries, please contact our Admissions Team.

Can I see the full Summer School calendar?

You can view the full Summer School calendar here.

Is accommodation included in the course fee?

Unfortunately, accommodation is not included in the course fee. Participants are responsible for finding accommodation.

Are the sessions recorded?

Sessions will NOT be recorded; however, the materials provided by the professor will be available for a month after the course has finished.

How much does each Summer School 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 Summer School courses. See more information about available discounts or request a personalized discount quote by email.