Training course on Applied Econometrics for Central Bank Forecasting

Module 1: Introduction to Econometrics in Central Banking

Role of econometrics in economic forecasting and policy

Key data sources for central banks (national accounts, financial, and survey data)

Overview of econometric approaches

Module 2: Data Management and Preliminary Analysis

Time series and panel data characteristics

Stationarity, trends, and seasonality in macroeconomic data

Data cleaning, transformations, and descriptive statistics

Module 3: Classical Econometric Models

Simple and multiple linear regression models

Hypothesis testing and statistical inference

Addressing multicollinearity, heteroskedasticity, and autocorrelation

Module 4: Time Series Econometrics for Forecasting

ARIMA, ARDL, and VAR models

Cointegration and error-correction models

Forecast evaluation and accuracy measures

Module 5: Structural Econometric Models

Simultaneous equations and identification issues

Structural VAR (SVAR) models

Applications to monetary policy shocks

Module 6: Advanced Forecasting Techniques

State-space models and the Kalman filter

Bayesian econometrics in forecasting

Machine learning approaches in macroeconomic forecasting

Module 7: Inflation and Output Forecasting

Modeling inflation dynamics (Phillips curve models)

Output gap estimation methods

Policy relevance of inflation and growth forecasts

Module 8: Exchange Rates, Interest Rates, and Financial Variables

Forecasting interest rates and yield curves

Exchange rate determination models

Financial stress indices and macro-financial linkages

Module 9: Forecast Uncertainty and Scenario Analysis

Sources of forecast errors and model uncertainty

Fan charts and confidence intervals in forecasting

Scenario building for policy stress testing

Module 10: Econometric Software Applications

Hands-on training in software (EViews, Stata, R, or Python)

Automating econometric forecasting routines

Interpreting and presenting results

Module 11: Case Studies in Central Bank Forecasting

Forecasting inflation in an inflation-targeting regime

Policy analysis during external shocks (oil prices, pandemics, wars)

Experiences from advanced and emerging market central banks

Module 12: Capstone Project and Policy Simulation

Building an applied forecasting model using central bank data

Presentation of forecasts and policy implications

Final evaluation and feedback