The Practice of Econometrics with EViews and PcGets
29 Marzo - 1 Aprile 2004
Fondazione Eni Enrico Mattei, Corso Magenta 63, 20123 Milano, Italia
Contents
Course description
Course Programme
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Terms and Conditions
About EViews
Timberlake Consultants Ltd, the UK distributor of EViews, invite you to attend a two or four-day course in Milano centro, covering the use of econometrics with EViews 4.0, the well known econometrics software package developed by Quantitative Micro Software (USA).
Il corso – Lo scopo principale del corso è quello di illustrare il ruolo dell'econometria nella verifica empirica dei modelli economici e finanziari teorici. Durante il corso verranno discussi diversi casi empirici (funzioni di consumo, di domanda di lavoro, di domanda di moneta, tasso di cambio, volatilità dei prezzi azionari…) dedicate all’introduzione e all'uso del pacchetto econometrico Eviews, allo scopo di illustrare empiricamente l'importanza delle problematiche metodologiche trattate nel corso. Durante l’ultimo giorno verra’ illustrato l’utilizzo di PcGets e la metodologia econometrica sottostante. Le implementazioni empiriche verranno fatte utilizzando dati finanziari e monetari.
Who should attend - The course, given in English, 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
- University Instruction
- and more
Advantages - The course will
The Principal Lecturers - The principal lecturers are:
Dr Sean Holly, Deputy Director of the Department of Applied Economics and Fellow of Fitzwilliam College, University of Cambridge.
He was formerly Professor of Economics at the University of Sheffield (1991-1996) and Director of Research at the Centre for Economic Forecasting, London Business School (1983-1991). He has published widely on optimal control theory, forecasting, applied econometrics and macro-modelling.
Dr Paul Turner is Lecturer in Economics in the Department of Economics at the University of Sheffield and has previously taught at the Universities of Leeds and Southampton.
His teaching and research interests are in the areas of quantitative macroeconomics. He has published many papers in this area.
Cost - The cost of the course are:
| 1st delegate |
Euro 2.400 + IVA = Euro 2.880
|
| 2nd delegate |
Euro 1.950 + IVA = Euro 2.340 |
The cost includes course materials, course dinner, lunch, 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.
Day 1 - Using EViews for Time Series Forecasting
Session 1: Introduction to EViews
- Data Entry and Management
- Seasonal Adjustment of Time Series
- Differencing and Stationarity
- Modelling a Time Series – the Box-Jenkins Approach
- Seasonal Integration
Session 2: Practical Session
- Tests for Orders of Integration
- Building a Time Series Model
- Tests of Seasonal Integration
Session 3: Error Correction Models
- Using a Time Series Model for Forecasting
- Dealing with Trends
- Mixing Variables in Levels and Differences
- A First Introduction to Cointegration
Session 4: Practical Session
- Estimation of an Error Correction Model
- Forecasting Using an Error Correction Model
Day 2 - Regression Analysis Using EViews
Session 1: The Classical Linear Regression Model
- Methods of Estimation – Least Squares, Maximum Likelihood, Method of Moments
- Approaches to Testing – Wald, Likelihood Ratio and Lagrange Multiplier
- Diagnostic Testing Using EViews
Session 2: Practical Session
- Estimating a Model Using the General to Specific Approach
- Reparameterising the Model
- Diagnostic Testing
Session 3: Error Correction Models
- Dealing with Cointegrated Variables
- The Engle-Granger Two Stage Procedure
- Common Stochastic Trends
Session 4: Practical Session
- Testing for Cointegration
Day 3 - Specialised Topics
Session 1: GARCH Processes and Exogeneity
- Introduction to GARCH Processes for Time Series
- Hausmans Test for Exogeneity
- Weak and Strong Exogeneity
- Granger Causality
Session 2: Practical Session
- Estimating GARCH Processes
- Testing for Exogeneity
Session 3: Vector Autoregression Models and Monte Carlo Methods
- The VAR Methodology
- The Johansen Test for Cointegration
- EViews Programming for Monte Carlo Analysis
Session 4: Practical Session
- Estimation and Forecasting Using a VAR
- A Simple Monte Carlo Analysis of the Spurious Regression Problem
Day 4 - Using EViews for Modelling
Session 1: Building a Model
- The Process of Estimating and Setting up a Model Within EViews
- Dynamic and Static Solutions of a Model
- Forecasting With a Model
- A Small Macroeconomic Model of the United States Economy
Session 2: Practical Session
- Setting up a Model and Generating a Forecast
Session 3: Economic Theory and Econometric Models
- The Importance of Long Run Theoretical Restrictions
- The Effects of a Non Unit Income Elasticity of Consumption on Model Simulation Properties
- Rational Expectations in Macroeconomic Models
Session 4: Practical Session
- A Policy Game Using the Fair Model of the US Economy
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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