Macro and Financial Econometrics Using EViews

8th -10th September 2004,
Royal Statistical Society, 12 Errol Street , London EC1Y 8LX, UK

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 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 - Will focus on time series econometric techniques that will be shown to be particularly useful in the context of explaining the behaviour of key macroeconomic and financial time series, including estimation of both simple and sophisticated univariate models as well as systems of equations in a linear and nonlinear setting, and covering both the theory and practice related to these models.  Real-world and worked examples will be provided to delegates using several modern econometric packages.  The main package used during the course is EViews 5.0, although applications of STAMP and RATS may also feature.

Who should attend:

People who have some basic knowledge of econometrics and have an interest in econometric modelling and in forecasting in the broad context of macroeconomics and finance.  This three-day course is designed to increase delegates’ familiarity with some of the recent developments in econometric modelling and forecasting methods applied to a variety of applied, real-world issues. 

The Principal Lecturer

Lucio Sarno,  MA (Oxford), MSc, PhD (Liverpool) - Professor of Finance and Chairman, Finance Group, Warwick Business School - Research Affiliate, Centre for Economic Policy Research (CEPR), London Professor Sarno has previously held teaching and research positions in several institutions, including the University of Oxford and Columbia University . 

He has also been involved in research and consulting projects for a number of central banks and international organisations, including the International Monetary Fund, the World Bank, the European Commission, the Federal Reserve Bank of St. Louis, the Central Bank of Norway, the Italian Ministry of Economy and Finance.  He is the author of 4 books and approximately 50 articles in leading journals in economics and finance.  His primary fields of interest include international money and finance, empirical finance, monetary economics, financial econometrics, applied macroeconomics. 

Further information is available on Professor Sarno’s biographical profile on the Marquis Who’s Who in the World and on his webpage at http://www.warwick.ac.uk/~bssmv/LS/index.htm.


Cost - The cost of the course is:

1st Participant
 £1,400+VAT=£1,645
2nd+ Participant £1,300+VAT=£1,527

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)

  • Welcome and introduction to econometric modelling;  Overview of basic econometric ideas: simple univariate modelling; cointegration; error correction models; vector autoregressions.

  • Introduction to EViews: Data Entry and Management; Differencing and Stationarity; Modelling a Time Series – the Box-Jenkins Approach; Seasonal Adjustment of Time Series; Testing for Unit Roots; Using a Time Series Model for Forecasting; Dealing with Trends; Filtering for Business Cycle Effects.

  • The Classical Linear Regression Model: Methods of Estimation – Least Squares, Maximum Likelihood.  Approaches to Testing – Wald, Likelihood Ratio and Lagrange Multiplier; Diagnostic Testing Using EViews; Granger Causality; Panel Unit Root Tests.

  • Cointegration: Basics of the Theory and Error Correction Models; the Engle-Granger Two Stage Procedure; Common Stochastic Trends; Dealing with Cointegrated Variables; Mixing Variables in Levels and Differences; Estimation of an Error Correction Model; Forecasting Using an Error Correction Model; Estimating a Model Using the General to Specific Approach; Reparameterising the Model; Diagnostic Testing.

  • Time-varying volatility models: ARCH, GARCH and other volatility models.  Applications to macroeconomic and financial variables; Estimating GARCH Processes.

  • Vector autoregression (VAR) models: The VAR Methodology; the Johansen Test for Cointegration.  Estimation and Forecasting Using a VAR.

  • The Process of Estimating and Setting up a Model Within EViews: Dynamic and Static Solutions of a Model; Forecasting With a Model; A Model of the Term Structure of Interest Rates or Forward Exchange Rates.

  • Structural time series modelling; Kalman filtering using STAMP.  Estimation of a structural time series models using STAMP.

  • Simple nonlinear models: the smooth transition autoregressive (STAR) model.  Theory and applications of nonlinear mean reversion in financial variables.  An application to the behaviour of the real exchange rate.

The role and importance of practical sessions: these will be designed to cover every theoretical aspect covered in the course with a hands-on approach.  Practical applications will focus on a large variety of macro and financial variables, including time series for consumption, output, money, interest rates, stock prices, exchange rates, derivatives, and others.

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.