Time Series Econometrics and Macroeconomic Forecasting Training Course for Economists

Module 1: Time Series Fundamentals, Stationarity, and Diagnostic Testing

ü  Properties of stochastic processes, ergodicity, and stationarity

ü  Identifying trend, seasonality, and cyclical components in macroeconomic data

ü  Unit root testing methodologies: ADF, PP, and KPSS tests

ü  Addressing structural breaks: Zivot-Andrews and Clemente-Montañés-Reyes tests

ü  Practical Session: Importing raw macroeconomic series, testing for unit roots, and applying stationarity transformations

Module 2: Univariate Time Series Modeling and Forecasting (ARMA/ARIMA)

ü  Box-Jenkins methodology: Identification, estimation, and diagnostic checking

ü  Autoregressive Moving Average (ARMA) and Autoregressive Integrated Moving Average (ARIMA) models

ü  Seasonal ARIMA (SARIMA) for quarterly and monthly macroeconomic indicators

ü  Model selection criteria: Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC)

ü  Practical Session: Estimating an ARIMA model for inflation forecasting and checking residual diagnostics

Module 3: Cointegration and Error Correction Frameworks

ü  Spurious regression phenomena and long-run equilibrium relationships

ü  Engle-Granger two-step cointegration test procedure

ü  Johansen cointegration methodology: Trace test and Maximum Eigenvalue test

ü  Vector Error Correction Models (VECM) specification and estimation

ü  Practical Session: Testing for long-run cointegrating relationships between monetary aggregates and price levels

Module 4: Multivariate Modeling with Vector Autoregressions (VAR)

ü  Specification, lag selection, and stability conditions of VAR models

ü  Impulse Response Functions (IRFs) and forecast error variance decompositions

ü  Granger causality testing in multivariate environments

ü  Cointegration vs. VAR in levels trade-offs in macroeconomic modeling

ü  Practical Session: Building an unrestricted VAR model to analyze interest rate, growth, and inflation dynamics

Module 5: Structural VARs and Macroeconomic Policy Analysis

ü  The identification problem in multivariate systems

ü  Short-run Cholesky identification vs. structural parameter constraints

ü  Long-run identification restrictions (Blanchard-Quah decomposition)

ü  Sign-restricted SVARs for identifying monetary and fiscal policy shocks

ü  Practical Session: Identifying a monetary policy shock using Structural VAR identification techniques

Module 6: Volatility Modeling for Financial and Macroeconomic Dynamics

ü  ARCH effect identification and volatility clustering in economic data

ü  Estimation of GARCH(p,q) and asymmetric GARCH models (EGARCH, GJR-GARCH)

ü  Modeling exchange rate and commodity price volatility dynamics

ü  Conditional variance forecasting and Value-at-Risk (VaR) application

ü  Practical Session: Estimating a GARCH model on foreign exchange rate volatility and generating dynamic risk forecasts

Module 7: Panel Time Series Econometrics for Cross-Country Analysis

ü  Introduction to non-stationary panel data and cross-sectional dependence

ü  First and second-generation panel unit root tests (LLC, IPS, CADF)

ü  Panel cointegration tests (Kao, Pedroni, Westerlund)

ü  Mean Group (MG), Pooled Mean Group (PMG), and Dynamic Fixed Effects estimators

ü  Practical Session: Running a panel cointegration analysis on growth rates across developing economies

Module 8: High-Dimensional Data, Nowcasting, and Dynamic Factor Models

ü  Overcoming the curse of dimensionality in macroeconomic forecasting

ü  Dynamic Factor Models (DFM) and Principal Component Analysis (PCA)

ü  Real-time data processing, mixed-frequency data, and nowcasting GDP growth

ü  MIDAS (Mixed-Data Sampling) regression frameworks

ü  Practical Session: Constructing a dynamic factor model to nowcast real-time quarterly economic growth

Module 9: Machine Learning and Non-Linear Approaches in Macro Forecasting

ü  Non-linear time series: Markov-switching and Threshold Autoregressive (TAR) models

ü  Penalized regression techniques for big data: Lasso, Ridge, and Elastic Net

ü  Random Forests and Neural Networks in macroeconomic time series context

ü  Hybrid forecasting frameworks combining econometrics and machine learning

ü  Practical Session: Comparing predictive accuracy between Lasso regression and traditional VAR models for inflation

Module 10: Forecast Evaluation, Scenario Analysis, and Policy Reporting

ü  Out-of-sample forecasting protocols: Rolling vs. expanding windows

ü  Forecast accuracy metrics: RMSE, MAE, MAPE, and Diebold-Mariano test

ü  Constructing fan charts and probability density forecasts for central bank communications

ü  Translating econometric forecasting outputs into actionable policy briefings

ü  Practical Session: Generating fan charts for macroeconomic projections and conducting out-of-sample forecast comparisons

About Our Trainers

Our trainers are seasoned economists, quantitative researchers, and former central bank econometrics consultants with extensive experience in empirical macroeconomic research and policy modeling. Each trainer holds an advanced degree in Economics or Econometrics and possesses proven expertise in applying complex time series models to real-world policy problems across regional and international institutions.

Quality Statement

Phoenix Training Center is committed to delivering excellence in professional capability development. We ensure superior learning outcomes by combining rigorous academic theory with practical software application, continuously updating our course content to reflect advancements in econometric practice, and maintaining high standards of instructional quality.

Tailor-Made Courses

We understand that every organization has unique challenges and opportunities as well as unique training needs. Phoenix Training Center offers tailor-made courses designed to address specific requirements and challenges faced by your team or organization. Whether you need a customized curriculum, a specific duration, or on-site delivery, we can adapt our expertise to provide a training solution that perfectly aligns with your objectives. We can customize this Course to focus on your industry, specific risk profile, or internal stakeholder dynamics. Contact us to discuss how we can create a bespoke training program that maximizes value and impact for your team. For further inquiries, please contact us on Tel: +254720272325 / +254737296202 or Email training@phoenixtrainingcenter.com.

Admission Criteria

ü  Participants should be reasonably proficient in English.

ü  Applicants must live up to Phoenix Center for Policy, Research and Training admission criteria.

Terms and Conditions

ü  Discounts: Organizations sponsoring Four Participants will have the 5th attend Free

ü  What is catered for by the Course Fees: Fees cater for all requirements for the training – Learning materials, Lunches, Teas, Snacks and Certification. All participants will additionally cater for their travel and accommodation expenses, visa application, insurance, and other personal expenses.

ü  Certificate Awarded: Participants are awarded Certificates of Participation at the end of the training.

ü  Course Improvement: The program content shown here is for guidance purposes only. Our continuous course improvement process may lead to changes in topics and course structure.

ü  Approval of Course: Our Programs are NITA Approved. Participating organizations can therefore claim reimbursement on fees paid in accordance with NITA Rules.

Booking for Training

Kindly send an email to the Training Officer on training@phoenixtrainingcenter.com and we will send you a registration form. We advise you to book early to avoid missing a seat to this training. Or call us on +254720272325 / +254737296202

Payment Options

We provide 3 payment options, choose one for your convenience, and kindly make payments a week before the training starts (at least 5 to 7 days before the Training start date) to reserve your seat:

ü  Groups of 5 People and Above – Cheque Payments to: Phoenix Center for Policy, Research and Training Limited should be paid in advance, a week before the training starts.

ü  Invoice: We can send a bill directly to you or your company.

ü  Deposit directly into Bank Account (Account details provided upon request)

Cancellation Policy

ü  Payment for all courses includes a registration fee, which is non-refundable, and equals 15% of the total sum of the course fee.

ü  Participants may cancel attendance 14 days or more prior to the training commencement date.

ü  No refunds will be made 14 days or less before the training commencement date. However, participants who are unable to attend may opt to attend a similar training course at a later date or send a substitute participant provided the participation criteria have been met.

Accommodation and Airport Pick-up

For physical training attendees, we can assist with recommendations for accommodation near the training venue. Airport pick-up services can also be arranged upon request to ensure a smooth arrival. Please inform us of your travel details in advance if you require these services. For reservations contact the Training Officer on Email: training@phoenixtrainingcenter.com or on Tel: +254720272325 / +254737296202.