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Wash, D.C. USA » Mar 2014 » OxMetrics » Bookmark and Share

2014 OxMetrics Spring School

Date:
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Software:
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Course Code:
17-19 March 2014
The George Washington University, Washington, D.C., USA
4 x 2.5-day courses (running simultaneously)
OxMetrics
Various Methods / Applications
(Introductory / Intermediate / Advanced)
Prof. Sir David F. Hendry, University of Oxford (View profile)
Dr. Jurgen A. Doornik, University of Oxford (View profile)
Dr. Jennifer Castle, University of Oxford (View profile)
Dr. Sébastien Laurent, Aix-Marseille Université (View profile)
Prof. Siem Jan Koopman, VU University Amsterdam (View profile)
OSS-147-USA
George Washington University, Washington, D.C. OxMetrics  Timberlake Consultants | Statistics | Econometrics | Forecasting
Overview Agenda Prerequisites Testimonials Prices Registration Terms & Conditions  

Overview

Timberlake Consultants invite you to attend the 2014 OxMetrics Spring School taking place at George Washington University, Washington, D.C, between 17-19 March 2014.

The Spring School consists of four 2.5-day courses that run simultaneously. The courses are to be delivered by leading econometricians, including OxMetrics developers: Prof. Sir David F. Hendry, University of Oxford, Dr. Jurgen A. Doornik, University of Oxford, Prof. Siem Jan Koopman, VU University Amsterdam, Dr. Sébastien Laurent, Aix-Marseille Université, and Dr. Jennifer Castle, University of Oxford.

This is a great opportunity for students, academics and professionals to expand their econometrics skills and learn how they can apply econometrics from leading econometricians who are currently pioneering research at the forefront of their specialist fields.

All courses utilise components of the OxMetrics software family, including Ox, STAMP, PcGive, and G@RCH, covering both theory and practice during hands-on sessions.

In addition, the Spring School precedes the 14th OxMetrics User Conference, also taking place at the George Washington University on 20-21 March 2014. Click here for more information about the upcoming OxMetrics User Conference.

 

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Agenda

Please note: All courses run simultaneously between 17-19 March 2014.

Course 1: Econometric Modeling

Delivered by: Prof. Sir David F. Hendry, Dr. Jurgen A. Doornik & Dr. Jennifer Castle

The course will cover the theory and practice of econometric modeling in a non-stationary and evolving world. The following topics will be explained in the course: the theory of model selection; how to embed theory models costlessly in selection; handling multiple breaks during selection jointly with modeling dynamics and non-linearity; and tests for super exogeneity and invariance for policy; with extensions to simultaneous systems and VAR modelling: applications will be based on Autometrics.

Course 2: Economic Forecasting

Delivered by: Prof. Sir David F. Hendry, Dr. Jurgen A. Doornik & Dr. Jennifer Castle

The course will cover the theory and practice of economic forecasting facing a non-stationary and evolving world, when the model differs from the data generation process. A generalized taxonomy of forecast errors is developed, allowing for structural change in the forecast period, the model to be mis-specified over the sample period, and selected from sample evidence, the parameters of the model to be estimated (possibly inconsistently) from the data, which might be measured with error, the forecasts to commence from incorrect initial conditions, and innovation errors to cumulate over the forecast horizon. The taxonomy reveals the central role of unanticipated location shifts, and helps explain the outcomes of forecasting competitions. The recommended procedure to robustify forecasts in the face of location shifts is shown to be differencing a congruent and encompassing empirical model selected by Autometrics. Recent attempts to forecast breaks and during breaks will be discussed.

Course 3: Modeling Volatility

Delivered by: Dr. Sébastien Laurent

The course will cover the theory and practice of volatility modeling and forecasting. Traditional regression tools have shown their limitation in the modeling of financial time-series. Assuming that only the conditional mean could be changing with covariates while the variance remains constant over time often revealed to be an unrealistic assumption in practice. The following topics will be described in the course: the ARCH model and some of its most important extensions, multivariate GARCH models, value-at-risk forecasting, ranking volatility models in terms of their forecasting power, introduction of continuous-time stochastic volatility models and non-parametric estimators of the volatility, how to disentangle jumps and the smooth part of volatility, how to forecast volatility in presence of jumps, how to identify jumps.

Course 4: Unobserved Components Time Series Econometrics

Delivered by: Prof. Siem Jan Koopman

This two-and-a-half-day course is aimed at everyone who is interested in the statistical analysis of time series and forecasting using state space methods. The course provides a practical guide to the general state space approach of time series analysis. We start with a simple model and discuss a selection of topics including its statistical properties, estimation and its ability to provide model-based forecasts. For example, we show that simple exponential smoothing methods are special cases of the Kalman filter. Different topics in state space time series analysis will be discussed including the Kalman filter, smoothing methods, unobserved components, signal extraction, forecasting, nonlinear filtering, Monte Carlo likelihood, importance sampling, particle filtering and other simulation methods. We introduce the concepts by referring to the basic model throughout the course and show the more general implications via sets of illustrations. Attendees of this course will gain a good knowledge of the basic ideas of state space time series analysis and its practical implications.

The course is designed for practitioners who require to use time series methods for modeling, forecasting, business cycle extraction, regression analysis, intervention analysis, dynamic factor analysis. The areas of applications are very broad and come from all kind of applications. The practical cases are illustrated using the OxMetrics software including the user-friendly packages STAMP and SsfPack.

Click here for further course information, including detailed agenda, learning ratio and course readings.

 

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Prerequisites

Course 1: Econometric Modeling

Knowledge of elementary econometrics, especially time series and regression analysis. Some experience with OxMetrics would be helpful, as would some practical knowledge of empirical applications.

Course 2: Economic Forecasting

Knowledge of elementary econometrics, especially time series and regression analysis. Some experience with OxMetrics would be helpful, as would some practical knowledge of empirical applications.

Course 3: Modeling Volatility

To be confirmed.

Course 4: Unobserved Components Time Series Econometrics

To be confirmed.

 

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Feedback & Testimonials

Delegate feedback from the 2013 Econometrics Summer School at the University of Oxford (taught by the same lecturers and consisting of the same course matter) is made available through our training associate profiles. Click on the professor names below to view their profile and feedback from each of last year’s courses:

 

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Prices

Cost (per participant):

Please note: Courses run simultaneously, so each participant can only attend one of four courses (reflected in the prices below):

Registration type Price
Commercial $1,250.00
Government / Non-profit Research $750.00
Academic and Student $400.00
Click here for Pricing FAQs »
  • All costs exclude local taxes, where applicable.
  • Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrollment).
  • Additional discounts are available for multiple registrations (non-academic only).
  • Cost includes course materials, lunch, refreshments and the use of computers (please advise us if you have any dietary requirements).
  • If you need assistance in locating hotel accommodation in the region, please notify us at the time of booking.

The number of delegates is restricted. Please register early to guarantee your place.

 

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Registration

We welcome delegates to find out more and register for the course by contacting our sales and training team either by email: info@timberlake-consultancy.com, phone: +1 908 686 1251 or by filling out an online registration form.

 

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Terms & Conditions

For full Training Courses Terms & Conditions please click here.

Payment of course fees required prior to the course start date.

Registration closes 5-calendar days prior to the start of the course.

  • 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
  • 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
  • No fee returned for cancellations made less than 14-calendar days prior to the start of the course.

 

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Última modificación: 2014-03-31 12:56:07
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