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Using PcGets™ in Financial Modelling
One Day Course
and
Time Series Modelling and Forecasting with STAMP™
One Day Course
3 July 2004
University of Technology, Sydney, PO Box 123, Broadway,
NSW 2007, Sydney, Australia
Contents
Course ProgrammeRequest an Enrolment Form Now
Terms & Conditions
The Quantitative Finance Research Centre and Timberlake Consultants Ltd, the distributor and publisher of the PcGets (Automatic Model Selection software package) and STAMP (Structural Time Series Modelling software), would like to invite you to attend a one-day courses in Sydney, Australia. Both PcGets and STAMP are modules of the OxMetrics™ software. All modules of OxMetrics use GiveWin™ as a front-end for input and output of data and production of graphs.
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.
Course 1 – Using PcGets™ in Financial Modelling
The course aims to introduce participants to the PcGets program, designed for automatic model selection (data mining). Demonstrations are part of the presentation.
The speaker:
Professor David F. Hendry (FBA, FRSE) is an ESRC Professorial Research Fellow in Economics, Chairman of the Oxford Economics Department and Fellow of Nuffield College, Oxford. He has published many books and papers, and is well-known for his contribution in the development of the theory and practice of econometric modelling. He is the original developer of PcGive and has co-authored the development of the first data mining package in
econometrics – PcGets – jointly with Dr. Hans-Martin Krolzig.
http://www.nuff.ox.ac.uk/users/hendry/
Who should attend ?
The course is aimed at anyone who works with time-series data in government, industry, or the financial sector, 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 2 - Time Series Modelling and Forecasting with STAMP™
This one day course will discuss the ideas behind structural time series modelling and show how the methodology can be implemented using the STAMP package. 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:
Professor Andrew Harvey is Professor of Econometrics in the Faculty of Economics and Politics, University of Cambridge. His research has been primarily in econometrics and time series and he has published nearly one hundred papers in a wide range of economic and statistical journals. He has written three books: The Econometric Analysis of Time Series, Time Series Models and Forecasting, Structural Time Series Models and the Kalman Filter. He was elected a Fellow of the Econometric Society (1985) and a Fellow of the British Academy (1999).
http://www.econ.cam.ac.uk/faculty/harvey/index.htm
Who should attend?
The course is suitable for anyone who works with time series data in government, industry or the financial sector. A basic knowledge of time series analysis and econometrics is assumed.
Preliminary Reading
Useful preliminary reading includes Harvey (1993) and the STAMP manual of Koopman et al (2000).
References
- Durbin, J., and S.J. Koopman (2001). Time series analysis by state space methods. Oxford University Press, Oxford.
- Harvey, A. C., Time Series Models (TSM), 2nd Edition, Harvester Wheatsheaf, 1993
- Harvey, A. C., Forecasting, Structural Time Series Models and the Kalman Filter (FSK), Cambridge University Press, 1989
- Hamilton, J. D., Time Series Analysis, Princeton University Press, 1994.
- Koopman, S.J., A.C. Harvey, J.A. Doornik and N. Shephard (2000). STAMP 6.0 Structural Time Series Analyser, Modeller and Predictor, London: Timberlake Consultants.
- Koopman, S.J., N. Shephard and J.A. Doornik (1999). Statistical algorithms for models in state space using SsfPack 2.2. Econometrics Journal, 2, 113-66.
- Mills, T., The Econometric Modelling of Financial Time Series, 2nd ed. Cambridge University Press, 1999
- Mills, T, Modelling Trends and Cycles in Economic Time Series. 2003. Palgrave
Cost - The course fees for any of the days:
| Commerical | 1st Participant | $AUD1,050 |
| Academic | 1st Participant | $AUD350 |
Contents
09:00 Coffee and Registration
09:30 Introduction to econometrics and time series analysis - Professor David Hendry and Professor Andrew Harvey
10:00 Introduction to Oxmetrics and Givewin - Professor David Hendry and Professor Andrew Harvey
11:15 Coffee
11:30 General-to-specific model selection: how PcGets works and why
12:15 Properties of PcGets automatic model selection procedures
13:00 Lunch
14:00 Applying PcGets to successful modelling (`Data mining’ using PcGets)
14:45 Quick modeller – a module for fast efficient modelling
15:45 Coffee
16:00 Tackling hitherto intractable problems
17:00 Further demonstrations
17:30 Close
Course 2 Programme -Time Series Modelling and Forecasting with STAMP
09:00 Coffee and Registration
09:30 Introduction to econometrics and time series analysis - Professor Andrew Harvey and Professor David Hendry
10:00 Introduction to Oxmetrics and Givewin - Professor Andrew Harvey and Professor David Hendry
11:15 Coffee
11:30 Lecture on structural time series models: univariate time series; trends, and cycles; model selection; seasonality and seasonal adjustment; forecasting.
13:00 Lunch
14:00 Hands-on session with STAMP
14:45 Lecture on modelling the relationship between variables: assessing the impact of changes in policy using intervention analysis; multivariate models; common factors and co-integration. Modelling volatility in financial series.
15:45 Coffee
16:00 Hands-on session with STAMP
17:30 Close
Terms and Conditions
You can cancel your enrolment without penalty until 14 June 2004. Should you need to cancel a booking, a full refund will be given if advised in writing at latest by 14 June 2004. Cancellations after 14 June 2004 will incur an administration fee, which is 20% of the registration price.
You may substitute another participant up to the start of a course without penalty. If you do not attend a course and have not advised us in writing before the commencement date, the full fee will apply.
UTS reserves the right to cancel, postpone or re-schedule a course if circumstances necessitate. A full refund will be provided in case of cancellation.
©Timberlake Consultants Limited
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