MEFMI Conducts in-country training on Time Series Modelling and Forecasting using MATLAB for Bank of Mozambique

Macroeconomic modelling and forecasting is a powerful tool for policymakers in government and other relevant institutions to understand the impact of policy decisions and predict future economic trends. It is on this basis that the Bank of Mozambique (BoM) requested a two-phase capacity-building technical assistance (TA) in this area for its staff.

The first phase of the TA, which was conducted over the period 22 – 26 May 2023, involved structured training in Time Series Modelling and Forecasting using EViews, covering standard econometric techniques, ranging from analysis of data properties, data processing/transformation, macroeconomic forecasting methods, diagnosis of relative predictive ability of macroeconomic forecasting models and significance of the results, as well as estimation and inference in AR models and ARDL. It was primarily focused on EViews and the introduction to univariate and multivariate models.

The second phase of the training was on Time Series Modelling and Forecasting using MATLAB and took place from 14 – 25 August 2023 in Maputo. The main objective of the second phase of the TA was to enhance the skills of the BoM staff in near-term forecasting using time series tools and to build upon the knowledge gained during the first phase of the TA. Additionally, the workshop aimed to train BoM staff in programming with MATLAB and the IRIS Toolbox to enhance their technical abilities to set up, estimate, and operate different types of time series models. These models can be utilised for near-term forecasting of GDP and inflation. The workshop took participants through an introduction to MATLAB and IRIS Toolbox as well as various multivariate time series techniques including Bayesian VAR, Structural VAR, Dynamic Factor Models and State-space modelling. Upon completion, MEFMI anticipates that participants will have the requisite skills needed to build a macroeconomic model in MATLAB and a better understanding of policy analysis.

A total of 14 officials from the Bank of Mozambique attended the workshop. The workshop was facilitated by Mr. Aron Iker from the OG Research in Prague, Czech Republic, and Dr. Frank Chansa from MEFMI.

Prepared by Frank Chansa.