Introduction to the OxMetrics™ System
13 December 2004

plus

Time Series Analysis with STAMP™
14 December 2004
or

Introduction to Ox
14 December 2004

IBMEC, São Paulo, Brazil

Contents

Courses Description
Courses Programmes

Cost of courses
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Terms & Conditions

IBMEC and Timberlake Consultores (Brazil), the distributor of OxMetrics in Brazil, would like to invite you to attend the following training courses:

Ox Professional™ (Object-Oriented Programming Language) and STAMP™ (Stuctural Time Series Analyser, Modeller and Predictor) are two of the OxMetrics modules. All modules of OxMetrics use GiveWin™ as a front-end for input and output of data and production of graphs. Other modules are:

  • PcGive™ - Econometric Modelling
  • PcGets™ - Automatic Econometric Model Selection (data mining)
  • PcNaive™ - Interactve Monte Carlo Experimentation in Econometrics
  • G@RCH™ - GARCH modelling
  • TSP/GiveWin

The courses: Advances in time series, forecasting and software engineering are continuously being introduced. These advances provide major breakthroughs in the modelling of time series embodied in easy-to-use software and advanced programming languages.

Who should attend ?
The course is aimed at anyone who works with time-series data in government, industry, the financial sector or academia, specifically forecasting or researching with economic or financial data. A basic knowledge of time-series analysis and econometrics is assumed. Lunch is provided to those participants attending the full day. The number of places is limited and early registration is highly recommended.

Course 1 – Introduction to the OxMetrics™ System

The course aims to introduce participants to the OxMetrics software, designed for econometric and time series modelling. Hands-on exercises are used througout.

The speakers:
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. http://www.nuff.ox.ac.uk/users/doornik/
http://www.pcgive.com/

Prof. Dr. Siem Jan Koopman is a Professor in Econometrics at the Free University of Amsterdam. He gained his Ph.D. (from LSE) in 1992. He has published papers in Biometrika, JASA, J Business and Economics Statistics, and J Royal Statistical Society Serie B. He is a member of the editorial board of the J Applied Econometrics. He is main contributor to the STAMP module and developed the Ox package SsfPack.
http://www.econ.vu.nl/koopman/
http://stamp-software.com
http://www.ssfpack.com/

Course Programme
Top

Course 2 - Introduction to Ox™

This course provides an introduction to programming in Ox, treating the basic language constructs. Hands-on exercises are used througout.

The speaker:
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.
http://www.nuff.ox.ac.uk/users/doornik/
http://www.pcgive.com/

Course Programme
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Course 3 - Time-series modelling with STAMP and SsfPack

This one day course will discuss the ideas behind structural time series modelling and show how the methodology can be implemented using the STAMP and SsfPack. The STAMP manual- Koopman et al (2000) - indicates the nature and scope of the course, as well as giving an indication of further reading.

The speaker:
Prof. Dr. Siem Jan Koopman is a Professor in Econometrics at the Free University of Amsterdam. He gained his Ph.D. (from LSE) in 1992. He has published papers in Biometrika, JASA, J Business and Economics Statistics, and J Royal Statistical Society Serie B. He is a member of the editorial board of the J Applied Econometrics. He is main contributor to the STAMP module and developed the Ox package SsfPack.
http://www.econ.vu.nl/koopman/
http://stamp-software.com
http://www.ssfpack.com/

Course Programme
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Cost - The course fees for any of the days:

2-days course Non-academic Organisations 1st participant R$2,500
2-days course Non-academic Organisations 2nd+ participants R$2,000
2-days course Academic Organisations 1st participant R$1,750
2-days course Academic Organisations 2nd+ participants R$1,490
2-days course Student (requires proof) All participants R$ 800
1st Day only Non-academic Organisations All participants R$1,000
1st Day only Academic Organisations All participants R$ 700
1st Day only Student (requires proof) All participants R$ 400
2nd Day only Non-academic Organisations All participants R$2,125
2nd Day only Academic Organisations All participants R$1,490
2nd Day only Student (requires proof) All participants R$ 600

The cost includes course materials, all lunch and refreshments and the use of computers. 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 course costs do not include any applicable taxes.

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Agenda
(subject to minor changes)

Contents

Course 1 Programme - Introduction to the OxMetrics™ System

Lecturers: Jurgen Doornik and Siem Jan Koopman

09:00 Coffee and Registration - start at 9H15

Topics

  • Overview of the OxMetrics system
    • GiveWin
    • Modules: PcGive, STAMP, PcGets, etc.
  • Using PcGive
    • Introduction
    • Arfima and Garch modelling
    • Cointegration analysis and vector autoregressions
  • Using STAMP
  • Using PcGets
    • Introduction
    • Overview of the principles underlying PcGets
    • Some examples
    • Further uses (and abuses)

17:30 Close

Hands-on exercises are used througout

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Course 2 Programme - Introduction to Ox™

Lecturer: Jurgen Doornik

09:00 Coffee and Registration - start at 9H15

Topics

  • Introduction to Ox
    • work environment
    • basic Ox programming
  • Ox programming
    • Using functions for program structure
    • Matrix and other operators
    • Loops and conditional statements
  • Practical issues
    • Input and output
    • Program design and program style
    • Graphics
    • Ox optimization functions
    • Efficient programming
  • Introduction to object-oriented programming using Ox
    • Basic concepts
    • Benefits
    • Some examples
    • Using the Modelbase class
    • Using Ox packages

17:30 Close

Hands-on exercises are used througout

Course 3 - Time-series modelling with STAMP™ and SsfPack™

Lecturer: Siem Jan Koopman

9H00 - Coffee and registration - start at 9H15

Topics:

  • Introduction to unobserved components time series models
    • statistical properties; relationship to ARIMA models
    • trends and cycles
    • seasonality
  • Introduction to Kalman filtering
    • filtering and smoothing
    • prediction error decomposition and likelihood
    • diagnostic checking
    • signal extraction, detrending and seasonal adjustment
    • missing values and forecasting
  • STAMP with applications
    • business cycles
    • default and credit risk
    • inflation
  • Ox and Ssfpack with applications
    • convergence
    • synchronization of business cycles

17:30 Close

Hands-on exercises are used througout

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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

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Last revised:30/06/2004