Advanced Topics in State Space Models and Dynamic Factor Analysis

2010 Washington, DC (TBA), USA

Level: Intermediate  

Course Length: 2-days

Overview:

This course will cover the theory and application of state space models to time series analysis and forecasting.  It will also cover the theory and application of dynamic factor analysis to problems in the social, financial, econometric and policy sciences.   Analytical examples will use Stata, space and dfactor. Datasets will come from these subject areas, but delegates may also bring their own datasets.



Topics Include:

Principal Component Analysis

State space models and the kalman filter

Canonical decomposition

Local level model

Component extraction

Local Linear trend model

Components rotation

State space models: seasonality, interventions, exogenous covariates

Static vs. dynamic factor analysis

Forecasting with state space models

Single and multiple common factor models

Programming state space models in Stata

Forecasting with dynamic factor models

Who should attend: Persons interested in the theory and application of state space models to solving problems of signal extraction, interpolation, forecasting and control in time series analysis and forecasting as well as those interested in applying dynamic factor analysis.

Prerequisites: Basic Stata, basic linear algebra, some multivariate statistical analysis, and a basic course in time series analysis. Some work experience with time series analysis would be advantageous.


Cost - The course fees are

Prices
 2 day course only
Non-Academic
$1500
Academic
$1000

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

Terms and Conditions

Registration closes 14 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