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Introduction to Modelling and Forecasting with OxMetrics
TBA
Centre for Economics Analysis (CEA@Cass)
Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ, UK.
Contents
Course Description
Request an Enrolment Form Now
Terms and Conditions
Timberlake Consultants Ltd, the distributor and publisher of the OxMetrics™ software, would like to invite you to attend the following three-day courses in Central London.
Course Overview:
This course concerns the econometric modelling and forecasting of integrated economic processes. The course will examine the theory of reduction, which provides the basis upon which model selection and evaluation is conducted. Computer automation of selection algorithms has revealed high success rates, and allows operational studies of alternative strategies. Developments to Autometrics, embodied in PcGive, are explained. The performance of Autometrics will be considered across different states of nature, examining the extent to which model selection is non-distortionary at relevant sample sizes. Collinear data problems; impulse-indicator saturation methods and their generalization to more candidate variables than observations; and tests for, and modelling of, non-linearity and invariance will all be described.
Clements and Hendry (1998, 1999) develop the theory of forecasting for models that can be mis-specified in a world that is subject to structural breaks. In this course we look at the framework and basic concepts of the theory, and examine its main implications. Many famous theorems of economic forecasting no longer hold. For example, non-causal variables may outperform when the model and the mechanism differ. In this course, we analyse the forecasting problem and illustrate potential solutions using the model class of vector autoregression in integrated-cointegrated variables. Whilst forecast failure is prevalent, we develop an understanding of how forecast failure arises.
All topics discussed will be demonstrated in OxMetrics with examples and exercises.
Topics Include:
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Model formulation and evaluation |
Monte Carlo analysis |
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Theory and practice of model selection and reduction |
Multivariate modelling and forecasting |
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Autometrics (automatic model selection algorithm) |
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Who should attend ?
The course is aimed at those who have little experience of model selection and forecasting but who do have a basic knowledge of time-series analysis. The course would be useful to those working with time-series data in government, industry, or the financial sector. or academia.
Prerequisites:
A reasonable background in time-series econometrics. No previous experience with OxMetrics or any of its modules is required.
The principal lecturer:
Dr. Jennifer Castle - The principal lecturer is an Economics Fellow at Magdalen College, Oxford. She holds a PhD in Economics from Nuffield College, University of Oxford. Her research focuses on econometric modeling and the use of general-to-specific methodology in modeling economic time-series, modeling non-linear economic time-series and macro-economic forecasting in theory and practice.
Cost :
(per participant)
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Early Registrations
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Late Registrations
(6- weeks before the course starts) |
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Commercial/Government
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£840.00+VAT=£1,692.00 | £1,050+VAT= £1,233.75 |
| Academic/Non-Profit Research | £600.00+VAT= £705.00 | £750+VAT= £881.25 |
| Student | £405.00+VAT= £475.88 | £450+VAT= £528.75 |
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.
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
Copyright of Timberlake Consultants Limited
Last Revised:
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