Macroeconometric Modelling with PcGive™ - an advanced course

19 - 20 September 2008

Centre for Econometric Analysis (CEA@Cass)
Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ, UK.

Contents

Course Description
Course Programme
Request an Enrolment Form Now
Terms and Conditions
About PcGive

Timberlake Consultants Ltd, the publisher and distributor of OxMetrics, invite you to attend a two-day course in Central London , macroeconometric moselling and using OxMetrics during the practical sessions.

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 advanced methods used in macroeconometric modelling and demonstrate, using financial 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
  • Academic Researchers
  • and more

Advantages - The course will

  • Review all major methods used in macroeconometric modelling
  • 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 Lecturer - The principal lecturer is:

Dr Giovanni Urga - Giovanni Urga joined CASS in July 1999 as Senior Lecturer in Financial Econometrics. He was promoted to Reader in May 2001 and to Full Professor in May 2002. He is now the Director of the Centre for Econometric Analysis (February 2004-present), the Director of the PhD Programme (August 2002-July 2005) and Scientific Coordinator, Marie Curie Programme (2001-2005). He is also a visiting Professor in Econometrics at Bergamo University (Italy).

http://www.cass.city.ac.uk/faculty/g.urga/

Cost - The cost of the course is:

Organization Type
1st Participant
2+ Participants
Non Academic
£1,500.00+VAT=£1,762.50
£1,350.00+VAT=£1,586.25
Academic
£1,350.00+VAT=£1,586.25
£1,250.00+VAT=£1,468.75
Student
£300.00+VAT=£352.50
N/A

Discounts

  • Early registrations 5% discount (registrations done at least 1 calendar month prior to the start of the course. In addition:
  • an additional 10% discount for holders of the OxMetrics Enterprise Edition

The cost includes course materials, 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
(may be subject to change)

Day 1: Registration starts at 9H30. Course starts at 10H00 and ends at 17H00

Endogeneity, simultaneous equations models and GMM

Structural and reduced form equations. Order and rank conditions. Failure of least squares. The identification problem. Estimation of simultaneous equation models.  The generalised instrumental variable estimator. Indirect least squares, 2SLS, SUR(E), 3SLS, LIML, FIML. Specification tests and weak instruments. The generalised method of moments and weak identification.

Empirical illustrations:  estimating intertemporal asset pricing models.

Multivariate time series models

Models with non stationary variables (spurious regression, cointegration, cointegration and ECM). Vector Autoregressive (VAR) models. Elaborate on multivariate cointegration. Cointegration applications to VAR: Johansen (Maximum Likelihood) trace and maximum eigenvalue tests.   Predictability and spurious regression in economics and finance. Contagion.

Empirical illustrations: Money demand; inflation.

Day 2: Course starts at 9H30 and ends at 17H00

Fractional integration and cointegration in economics and finance: ARIMA and FIGARCH models. Estimation and testing procedures. The permissible range of the d parameter and its  relationship to the Hurst coefficient: fractional models of credit risk. Forecasting. 

Empirical illustrations: estimating and testing the CAPM; modelling credit speads.

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