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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 - July 18, 2025

Early bird deadline: April 15, 2025

Learn more

Introduction to Nowcasting and Forecasting

Applications for 2025 Summer School programs are now open!

Apply

Summer school

Macroeconometrics

Introduction to Nowcasting and Forecasting

Nowadays, there is a great need to understand economic situations in real-time.

Building on undergraduate econometrics, this course guides students from basic ARIMA models to advanced state-of-the-art models, incorporating non-linear and machine learning concepts.

Teaching 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

Participants in the Macroeconometrics Summer School 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 - July 18, 2025

Early bird deadline: April 15, 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.

Apply now

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 not interested in credit transfer will instead receive a Certificate of Attendance free of charge. These Participants will not be graded or assessed during the course.

Fees for 2025

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

Face to Face

Total Hours

17.5

ECTS

1

Regular Fee

775€

1,400€

Reduced Fee*

475€

775€

FAQs

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

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 be recorded and videos will be available for a month once 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.