Econometric Modeling using PcGive™ and an Introduction to Forecasting and Analysing Time Series using Kalman filter methods within OxMetrics™

2 - 3 April 2007

The George Washington University, 2121 Eye Street, N.W. Washington, D.C. 20052 A.

Contents

Course Description
Course Programme
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Terms and Conditions
About PcGive and STAMP

Timberlake Consultants Ltd, the distributor and publisher of the OxMetrics™ software, would like to invite you to attend a two-day course, in Washington DC. This is a short and intensive course providing an overview of the OxMetrics system and the econometrics features of PcGive. The second day of this course provides an introduction to modeling and analysing time series using the Kalman filter methods within OxMetrics. Hands-on sessions are included.

Participants may want to combine this course with one or more of the following courses:

Participants may want to combine this course with one or more of the following courses/events:

The Course - Several major advances in optimization and software engineering have occurred in the past few years. These advances provide major breakthroughs in the modelling of time series embodied in easy-to-use software and advanced programming languages. The objective of the course is to allow the participants to make effective use of the many facilities provided in two of the OxMetrics modules: PcGive and STAMP. Some hands-on experience forms part of the course. No experience with OxMetrics is required but a reasonable level of econometrics will be assumed.

Who should attend - The course, given in English, is aimed at forecasters and researchers in

  • Economic Research/ Model Building
  • Financial Modelling/ Arbitrage Trading
  • Quantitative Investment Management
  • Sales and Inventory Forecasting
  • Traffic Modellers
  • Energy Load Forecasting
  • Academic lecturers and researchers
  • and more

The principal lecturer: - The principal lecturers are
Dr. Jurgen Doornik is the managing director of OxMetrics Technologies Ltd. and Research Fellow at Nuffield College, Oxford. He is the originator of the Ox Object-Oriented Programming language, and contributed to many Ox packages (including the Arfima package) and works with David Hendry on PcGive. He has published papers in the Econometrics Journal, Journal of Economic Surveys, and Scottish Journal of Political Economy.
Prof. Siem Jan Koopman is a Professor in Econometrics at the Vrije Universiteit Amsterdam. He gained his Ph.D. (from LSE) in 1992 and worked earlier at the LSE and Tilburg University . He has published articles in Biometrika, JASA, J Business and Economics Statistics, and J Royal Statistical Society - Series B. He is co-editor of Econometrics J and J of Forecasting and is editorial board member of J of Applied Econometrics. He is the main contributor to the OxMetrics™ module STAMP™ and developed the Ox package SsfPack.

Cost - The cost of the course is:

Organization Type
1st Participant
2+ Participants
Commercial
$1,800.00
$1,620.00
Government
$1,350.00
$1,215.00
Academic
$1,080.00
$1,080.00

Discounts

  • 20% discount for attending 2 courses
  • 30% discount for attending 3 courses
  • 10% for holders of the OxMetrics Enterprise Edition
  • a further 5% discount is provided to subscribers of the Foresight magazine

The number of delegates is restricted. Please register early to guarantee your place. Further instructions will be sent with the joining instructions. If you need assistance in locating hotel accommodation in the area, request the help of our Training Department.The cost includes course materials, course dinner, lunch, refreshments and the use of computers.

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Agenda
(subject to minor changes)

Day 1

9.30 Coffee and registration

10.00 Welcome

Overview of OxMetrics and PcGive

Graphical facilities * loading and saving data * data transformations

Dynamic econometric models

univariate models * vector autoregressions * cointegration analysis

Other Econometric models

Introduction to ARFIMA * estimating ARFIMA models * introduction to GARCH models * estimating GARCH models

Automatic model selection

overview of the facilities provided * examples and applications * pitfalls and extensions

Review and discussion

17H00 Close

Day 2

10.00 Start

Introduction to Unobserved Components Time Series Models:

univariate models * statistical properties * connection with ARIMA * trends * unobserved components

Hands-on session with STAMP

Lunch

Signal Extraction and Seasonal Adjustment:

weights * filters * forecasting * seasonal adjustment * business cycles

Hands-on session with STAMP

17.00 Close

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Terms and Conditions

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

Cancellations:

  • full fee returned for cancellations made over 28 calendar days prior to start of the course
  • half-fee returned for cancellations made 14 calendar days prior to he start of the course
  • no fee returned for cancellations made less than 14 calendar days prior to the start of the course.

    Payment of course fees required prior to the course start date

For Timberlake Consultants Terms and Conditions click here