Macroeconomic Modeling and Forecasting Using R-Studio (INS-CRS)

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Apply online by March 19, 2018
Course No.: IT 18.05
Location: Washington, D.C., United States
Date: June 12, 2018-June 15, 2018 (4 Days)
Language: English

Target Audience:

Officials, primarily in ministries of finance, economy, and planning, or in central banks.


It is required that candidates have an advanced degree in economics, strong analytical skills, and a very good knowledge of English. Courses will be conducted in English with no interpretation.

Course Description:

This course introduces parametric models for macroeconomic modeling and forecasting. Starting with a brief description of distributed-lag models, Professor Tsay will discuss various models for multivariate time series analysis with/without exogenous variables. The models to be discussed include vector autoregressive models with exogenous variables, vector autoregressive moving-average models, multivariate volatility models, and error correction models for co-integrated system. Properties of a given model such as identification, model presentations, stationarity, and impulse response functions will be given. Professor Tsay will also discuss high-dimensional time series models and mixed frequency data models. Penalized methods such as the Lasso procedure for dependent data are also given. He will compare the Lasso methods with mixed frequency data analysis (MIDAS) in out-of-sample prediction. Data analysis is an integral part of the course. Various packages in R and R Studio will be discussed, especially the Multivariate Time Series (MTS) package. Participants will be required to perform empirical data analysis for forecasting. If time permits, the course will also cover various factor models for high-dimensional data analysis.

Some prior knowledge of scalar time series analysis would be helpful, but no prior experience with R is needed.

Important Note for Online Courses:

For Online Learning (OL) courses, which are delivered through the edX platform, you will need an additional piece of information to register: you will be prompted for your edX.org username. If you do not already have a username, please go to https://courses.edx.org/register and sign up for a free account. Once you have created an account, you may complete the IMF Institute application. If you already have an edX account, your username can be found on the top right of the screen after logging in.

Important Note for Internal Economics Training Courses:

Internal Economics Training (IT) courses are self-financed. The IMF will not charge officials for attending courses. However, all travel, insurance, hotel, and living costs will need to be covered by the agency sponsoring the participants.