MEFMI Conducts training on Time Series Modelling and Forecasting

MEFMI conducted a virtual workshop on Time Series Modelling and Forecasting using EViews, from 13 – 19 April 2023, followed by a face-to-face one from 22 – 26 May 2023 for the Bank of Mozambique.

The objective of the training was to enhance the theoretical and practical knowledge of the Bank of Mozambique (BoM) staff in estimating, evaluating, and interpreting econometric models using time series data, and to develop the capacity of the BoM staff in macroeconomic modelling using EViews and MATLAB, the two leading modelling software used by central banks around the world.

Macroeconomic modelling and forecasting have over the years become an important tool for policymakers in government and other relevant institutions in quantifying the impact of policy, and the future direction of the same. It is on this basis that the Bank of Mozambique (BoM), in its capacity-building initiatives, requested an in-country workshop in this area for its staff. Specifically, the BoM requested a two-phased capacity-building activity with the first phase covering Time Series Modelling and Forecasting using EViews, and the second phase covering Time Series Modelling and Forecasting using MATLAB.

The workshop took participants through various techniques in macroeconomic modelling and forecasting. It was designed to build and strengthen the participants’ knowledge, understanding and application of standard econometric techniques, ranging from analysis of data properties, data processing/transformation, macroeconomic forecasting methods: in-sample vs. out-of-sample, 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. The workshop also took participants through the fundamentals of EViews and programming in EViews. Upon completion, MEFMI anticipates that participants will have the requisite skills needed to build a macroeconomic model in EViews 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. Csaba Kober from the OG Research in Prague, Czech Republic, and Dr. Frank Chansa from MEFMI.

Prepared by Frank Chansa.