The Practice of Econometrics with EViews

9-12 December 2008
Centre for Economics Analysis (CEA@Cass)
Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ, UK.

Course description
Course Programme
Request an Enrolment Form Now
Terms and Conditions
About EViews

Timberlake Consultants Ltd, the UK distributor of EViews, invite you to attend a four days course in Central London, covering the use of econometrics with EViews 5.0, the well known econometrics software package developed by Quantitative Micro Software (USA).

The Course - Several major advances in time series, forecasting and software engineering have occurred in the past few years. These advances provide a major breakthrough in the modelling of time series using easy-to-use object-oriented Windows based software. The course aims to provide delegates with background on econometric modelling methods and demonstrate, using real-life business and industrial data, how to interpret and report the results.

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

  • Review all major econometric modelling methods
  • Provide a practical and systematic approach to the modelling of business and financial time series data
  • Provide hands-on experience in building econometric models - each delegate is provided with a computer throughout the course
  • Provide an opportunity for you to meet with a panel of experienced modellers to discuss industry-specific applications related to forecasting and time series analysis
The Principal Lecturers - The principal lecturers are:

Dr Sean Holly, 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, Professor at the Department of Economics at Loughbrough, having previously been Senior Lecturer in Economics at the University of Sheffield . Previous academic appointments were at the Universities of Southampton and Leeds . His main research interests are in macroeconomics, monetary economics and applied econometrics – particularly in the interaction between the real and the monetary sectors of the economy. His publications include Modern Macroeconomic Analysis (McGraw-Hill, 1993) and papers in a wide variety of academic journals including the Manchester School , Scottish Journal of Political Economy, Economics Letters, Computational Economics and Applied Economics.

Cost - The cost of the course is:

1st Participant
 £1,600+VAT=£1,880.00
2nd+ Participant £1,450+VAT=£1,703.75

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.

Agenda
(subject to minor changes)

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

Session 5: 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 6: Practical Session

  • Estimating a Model Using the General to Specific Approach
  • Reparameterising the Model
  • Diagnostic Testing

Session 7: Error Correction Models

  • Dealing with Cointegrated Variables
  • The Engle-Granger Two Stage Procedure
  • Common Stochastic Trends

Session 8: Practical Session

  • Testing for Cointegration

Session 9: GARCH Processes and Exogeneity

  • Introduction to GARCH Processes for Time Series
  • Hausmans Test for Exogeneity
  • Weak and Strong Exogeneity
  • Granger Causality

Session 10: Practical Session

  • Estimating GARCH Processes
  • Testing for Exogeneity

Session 11: Panel Estimation

Session 12: State Space Estimation

Session 13: Vector Autoregression Models and Monte Carlo Methods

  • The VAR Methodology
  • The Johansen Test for Cointegration
  • EViews Programming for Monte Carlo Analysis

Session 14: Practical Session

  • Estimation and Forecasting Using a VAR
  • A Simple Monte Carlo Analysis of the Spurious Regression Problem

Session 15: 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 16: Practical Session

  • Setting up a Model and Generating a Forecast

Session 17: 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 18: Practical Session

  • A Policy Game Using the Fair Model of the US Economy

Terms and Conditions

Registration closes 3 calendar days prior to the start of the course. After registering, you are liable for the payment of the fee unless you cancel your registration.

Cancellation rules are listed below.

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 fees is required prior to the course start date

For Timberlake Consultants Terms and Conditions click here