The Practice of Pooled Time Series and Cross Section Econometric Modeling in EViews

TBA

San Francisco, CA

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 day course, covering the use of Pooled Time Series and Cross-Section econometric modelling in EViews 6.1, the well known econometrics software package developed by Quantitative Micro Software (USA).

The Course - Panel data modeling provides a means to estimate and test economic relations when there are samples containing a time series of observations for a cross section of individuals, firms, markets, and or countries. Recently, empirical research in economics and the social sciences in general, has been enriched by the availability of a wealth of new sources of this kind of data. The availability of panel data has stimulated a rapid growth in both methodological approaches and applications during the last 20 years. The panel data approach to economic research provides several major advantages over conventional cross-sectional or time-series approaches. This facilitates the construction and testing of more realistic behavioral models that could not be identified using only a cross section or a single time-series data set. These methodological approaches have extended major advances in time series techniques to panel data modeling. These include: endogeneity, serial correlation, stationarity, unit roots, cointegration and shrinkage estimation. In addition, the course will cover more traditional panel techniques like the selection of random effects versus fixed effects and treating for omitted variables through changes in the dependent variable. The course aims to provide participants with background on these econometric modeling methods, demonstrate in hands on fashion the use of the techniques with market and macroeconomic data samples, and how to interpret and report the results.

Who should attend -- The course, given in English, is aimed at economic analysts and researchers in

  • Economic Research/ Model Building
  • Economic Policy Analysis
  • Financial Modelling
  • Sales and Inventory
  • Economic Growth
  • Energy
  • University Instruction
  • and more

Advantages - The course will

  • Provide a brief historical overview of panel data methodology
  • Review the basics of panel data methods.
  • Cover Fixed and Random Effects Models: Background and Applications
  • Cover Two Period Models and Unobserved Heterogeneity
  • Provide background on the recent advances in time series techniques for panel data models.
  • Provide hands-on experience in the use of EViews to estimate both static and dynamic panel data models
  • Give an overview of competing estimators including Anderson and Hsiao (dynamic fixed effects) and the instrumental estimators of Arellano and Bond
  • Provide hands-on experience in formulating, testing, and interpreting panel data models - each delegate is provided with a computer throughout the course or may bring their own.
  • Provide an opportunity for you to meet with a panel of experienced modellers to discuss industry-specific applications.

The Principal Lecturers - The principal lecturers are:

Frederick L. Joutz, is Professor in the Department of Economics at George Washington University and Director of the Research Program on Forecasting. His areas of research interest are macroeconometrics, energy economics, time series, and forecasting. He contributes macroeconomic forecasts (known as the Benchmark Forecasts) to the Survey of Professional Forecasters (formerly the ASA/NBER Quarterly Outlook) produced by the Federal Reserve Bank of Philadelphia and the Ifo Institute for Economic Research. He is a former associate editor for Energy Economics and the International Journal of Forecasting

Cost - The course fees are

Prices
 Register before September 16, 2009 Register after September 16, 2009
Academic of Government
$800
$1000
Non Academic 1st participant
$1200
$1500
Non Academic 2nd participant
$960
$1200`

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.

Agenda
(subject to minor changes)

Day 1 - Using EViews for Panel Data Modeling
Session 1: Introduction

Overview of the Course

A Brief Tour of EViews

  • Data Entry and Management
  • Objects and their Many Uses
  • Graphs and Summary Statistics

Session 2: Practical Session

  • Distinguishing between Panels and Pools in EViews
  • Setting up Panel and Pool Objects for Analysis
  • Working with Sample Statements and Dummy Variables
  • Generating Data in Panel and Pool Objects

Session 3: An overview of Panel Data Estimators

  • An overview of Panel Data Estimators
  • A simple two period model
  • Linear Unobserved Effects Panel Data Models
  • Fixed, Random Effects, and the First Difference Estimator
  • Testing for Stationarity

Session 4: Practical Session

  • Setting up a panel data model
  • Unit roots in panel data
  • A simple two period model
  • Linear Unobserved Effects Panel Data Models
  • Fixed, Random Effects, and the First Difference Estimator
  • Estimation and interpretation of results with panel data

Day 2 - Using EViews for Panel Data Modeling

Session 1: Advances in Panel Data Modeling

  • Dynamic unobserved effects models
  • Attenuation bias in the standard dynamic panel data model
  • An overview of estimator approaches: Anderson and Hsiao (1982), Blundell and Bond (1998), Arelano and Bover (1995)
  • An overview of General Methods of Moments GMM models

Session 2: Practical Session

  • Fixed and First Difference Estimators for Policy Analysis
  • Revisit the Model of a Multi-Regional Analysis of Growth
  • Revisit the Model for the Analysis of Energy Consumption by State
  • The Problem of Weak Instruments

Session 3: Homogeneous versus Heterogeneous slopes

  • Shrinkage Estimators
  • Cointegration and panel data

Session 4: Practical Session

  • Revisit the Model of a Multi-Regional Analysis of Growth

Revisit the Model for the Analysis of Energy Consumption by State

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