Econometric Modelling with PcGive™ and Autometrics™ - an intensive course

TBA

Centre for Econometric Analysis (CEA@Cass)
Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ, UK.

Contents

Course Description
Course Programme
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Terms and Conditions
About Ox Professional

Timberlake Consultants Ltd, the distributor and publisher of the OxMetrics™ software, would like to invite you to attend a two-day course in Central London. The course is an intensive course providing an overview of the OxMetrics system and the econometric features of PcGive™. Special attention is givento Autometrics™, which implements automatic model selection.

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

Definitions - OxMetrics is a modular system for the econometric and statistical analysis of economic, financial and marketing data. PcGive is the module that provides a graphical user interface for dynamic econometric models, optionally using Autometrics. Autometrics is the procedure for automatic model selection. Ox is the matrix and statistical programming language which is used to compliment the graphical facilities in PcGive and other OxMetrics modules.

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 course is an intensive course providing an overview of the OxMetrics system and the econometric features of PcGive. Special attention is given to Autometrics, which implements automatic model selection.The objective is to allow the user to make effective use of the many facilities provided. 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 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 course is, therefore, suitable for anyone who works with econometric modelling data in business, industry and government or for those who teach or research time series at universities. Only a basic knowledge in regression and time series analysis is assumed. Familiarity with the software is not required. If you want to get some familiarity with the software prior to the course, please request a demo copy.

The principal lecturer: - The principal lecturer is
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 - now integral part of PcGive) 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.

Cost - The cost of the course is:

Organization Type
1st Participant
2+ Participants
Non Academic
£1,000.00+VAT=£1,175.00
£900+VAT=£1,057.50
Academic
£900.00+VAT=£1,057.50
£850+VAT=£998.75
Student
£300.00+VAT=£352.50
N/A

Discounts

Early registrations 5% discount (registrations done at least 1 calendar month prior to the start of the course. In addition:

  • 10% discount for those attending 2 OxMetrics courses in 2008 (this includes the OxMetrics User Conference)
  • 25% discount for those attending 2+ OxMetrics courses in 2008
  • an additional 10% discount for holders of the OxMetrics Enterprise Edition with maintenance

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.

Agenda
(subject to minor changes)

Day 1: Registration starts at 9H30. Course starts at 10H00 and ends at 17H00.

Introduction to OxMetrics and PcGive
  • Overview of the OxMetrics system
    • PcGive
    • Ox Console and Ox Professional
    • Other components of OxMetrics
  • Exploratory data analysis with OxMetrics
    • loading saving data
    • graphical analysis of time-series properties
    • data transformations* Practical session
  • Introduction to dynamic econometric models
    • univariate econometric models
    • diagnostic testing and model evaluation
  • Getting started with PcGive
    • univariate dynamic econometric models
    • PcGive Batch
    • Using Ox as a batch language
  • Practical session

DAY 2: Course starts at 9H00 and ends at 17H00.

Econometric modelling with PcGive

  • Getting started with Autometrics
    • automated general-to-specific modelling
    • overview of the facilities provided by PcGive
    • using Autometrics in practice
    • interpreting the output of Autometrics
  • Practical session
  • Properties of automatic model selection
    • the principles behind Autometrics
    • why never to use stepwise regression
    • the experimental properties of Autometrics
  • Extensions of Automatic model selection 
    • pitfalls and extensions
    • more variables than observations
    • further examples and applications
  • Practical session   

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

Copyright of Timberlake Consultants Limited
Last Revised:11/18/2008