Time Series: Analysis, Modelling and Forecasting , by Prof. Andrew Harvey 



                       Date: 16 – 17 September
                       Place: Universidad Carlos III de Madrid 
                                    C/ Madrid, 126. 28903 Getafe (Madrid)
                        Level: Intermediate 


Overview: 
The course will show how economic and financial time series can be modelled and analysed. The aim is to provide understanding and insight into the methods used, as well as explaining the technical details. However, the lectures will stress the concepts and the implications for applied work, rather than the mathematical details. Statistical modelling will be demonstrated using the STAMP package and participants will be given the opportunity to use the package in class. 



Topics Include: 

Stationary vs. Non Stationary time series Structural time series models
ARIMA models State Space models and the Kalman Filter
Unobserved Components and signal extraction Seasonality, Trends and Cycles 



The course is suitable for graduate students, researchers in universities, and economists and statisticians working in government, industry or the financial sector. 







Prerequisites:
 Participants are expected to have taken an introductory course in econometrics or time series analysis. No previous experience with STAMP is required. Work experience with econometrics would be advantageous. 





Prof. Andrew Harvey: Andrew Harvey is Professor of Econometrics at the University of Cambridge with a Fellowship at Corpus Christi College. He is also a Fellow of the Econometric Society and a Fellow of the British Academy (FBA). Previously he was a Professor of Econometrics at the London School of Economics. His research interests focus on time-series econometrics, macro-econometrics, financial econometrics, state space models, signal extraction, volatility, quantiles and copulas. Professor Harvey is also one of the main developers of STAMP, an OxMetrics module for structural time-series analysis and forecasting. 

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