Macroeconometric Forecasting

The course by IMF focuses on the application of econometric techniques for modelling the dynamic behavior of macroeconomic variables, like, consumption, investment etc. and their response to policy changes.

I.  EViews Basics

II. Introduction to Forecasting

    - Introduction

    - Estimating/Forecasting Linear equation

    - Forecasting

III. Statistical properties of time series data

    - Introduction to time series data

    - Introduction to stationary processes

    - Estimation of stationary time series and model selection

    - Testing for non-stationarity and unit roots

IV. Forecast uncertainty and model evaluation

    - Introduction

    - Sources of uncertainty

    - Statistics for forecast assessment

    - Theil's U statistics

    - Introduction to forecasting strategies

    - Introduction to structural breaks

    - Fan charts

V. VAR

    - Introduction

    - Estimating VARs

    - Forecasting with VARs

    - Introduction to SVARs

    - SVARs - identification, Impulse response and variance decomposition

    - Recursive identification

    - Non-recursive indentification

VI. Co-integration and VECM

    - Introduction to cointegration and ECM

    - VECM and Johansen cointegration

    - Identifying restrictions

    - Forecasting VECM and multiple cointegration equations

VII. Evaluating regression models

    - Introduction to model evaluation and key assumptions

    - Consequences for forecasting

    - Model testing

    - Dealing with error irregularities and structural breaks

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