SEACEN-BOJ Intermediate Course on Econometric Modeling and Forecasting (Coordinator: Ms. Haslina)

Event Code : MP1B Date : 02.10.2017 to 06.10.2017
Venue : Mongolia Co-ordinator : Ms. Haslina Muda
Host : Bank of Mongolia


This course focuses on several advanced modelling and estimation techniques that are increasingly becoming available and therefore more widely used in central banks. These approaches include state-space modeling and applications using the Kalman filter; Bayesian estimation; extensions of conventional VAR analysis to SVAR, TV-SVAR, FAVAR and BVAR models; and Nowcasting. 

Objectives: At the end of the course, participants will be able to: (1) specify and estimate state-space models; (2) estimate, manipulate and interpret different types of VAR models; (3) specify and estimate univariate and multivariate models using Bayesian techniques such as the Gibbs sampler; and, (4) use mixed-frequency data models for nowcasting purposes. 
Target Participants: This course is intended for central bank staff whose duty involves significant quantitative analysis and research. Participants are expected to have excellent quantitative skills and extensive experience using computer programs such as EViews.

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