Timberlake Consultants Ltd, the UK distributor of RATS, invite you to attend a four days course in Central London, covering the use of econometrics with RATS 6 the well known econometrics software package developed by Estima (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. The course is modular and each module aims to provide delegates with background on one of the more advanced econometric modelling methods and demonstrate, using real-life business and industrial data, how to interpret and report the results. Participants can choose each modules to attend.

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
  

Dr Lorenzo Trapani has extensive experience in working and teaching with RATS. He has been using RATS for his research at the Polytechnic University of Milan and Cass Business School, London. After achieving his degree summa cum laude in Management and Production Engineering at the Polytechnic University of Milan, he worked as a research associate and teaching assistant at the Department of Management and Production Engineering in the same university. He enrolled in a PhD program at the University of Bergamo. Currently he is visiting lecturer and research fellow at Cass Business School. He is also a research associate and member of the advisory board to the Centre for Econometric Analysis at Cass Business School in London. His main research interests include panel data econometrics, non stationary data and forecasting.

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)

Module 1 - Day 1: Introduction to RATS

Main aim: to refresh some topics in RATS that are needed for the subsequent analysis and to illustrate the main novelties with RATS 6.0.

• Data importing and handling; graphs editing and exporting.
  Data transformation and descriptive statistics.
• Regression analysis in RATS: the classical linear model.
  Estimating via LS with restrictions and hypothesis testing.
  Other estimation techniques: maximum likelihood and IV type estimators.
  GMM in RATS: overview of the main characteristics and new features in RATS 6.0.

Applications: This will be illustrated using money demand data and estimating the consumption function.

• Dealing with heteroscedasticity: ARMAX models in RATS.
  Identification: Box-Jenkins procedure and its RATS counterpart.
  Estimation and forecasting in the univariate case: exponential smoothing, ARIMA forecasting.
  Intervention models in univariate time series analysis with RATS.

Applications: This will be illustrated considering GDP growth forecasts for the Euro area. 3.4 will be illustrated considering the series of S&P 500 returns before and after October 1987 crash.

Module 2 - Day 2: VAR analysis in RATS.

Main aim: to illustrate the new features of RATS 6.0 in VAR estimation and forecasting and to introduce cointegration analysis.

• Model selection and estimation with VARs. The impulse response function.
  Hypothesis testing with VARs and causality analysis.
  Forecasting: classical and Bayesian forecasting in RATS.
  Multivariate cointegration analysis in RATS.

Applications: This will be illustrated studying growth rates of emerging countries; 1.4 with an application to UK money demand and to financial data to study financial markets integration.

Module 3 - Day 3: Kalman Filtering in RATS.

Main aim: showing the way Kalman filtering works in RATS and the substantial novelties introduced in RATS 6.0.

• Kalman filter for stationary and non stationary data: main programming issues.
  The recursive estimation algorithm: illustration and main features.
  Handling time varying coefficients models.
  Other filters in RATS: Hodrick-Prescott, flat filters and convolutions of flat filters.

Application: testing for predictability and integration in stock markets of transition economies and emerging markets in general.

Module 4 - Day 4: GARCH models in RATS.

Main aim: to show the new procedures to estimate models belonging to the GARCH family with RATS 6.0.

• Univariate (G)ARCH specifications: ARCH, GARCH, EGARCH, asymmetric GARCH and GARCH-M.
• Multivariate (G)ARCH.

Application: several applications will be considered with financial data, such as securities and portfolios returns. Also, an example with interest rate data will be explored to show the use and relevance of GARCH models with macroeconomic data.

Module 5 - Day 5: Limited, discrete and truncated dependent variables models

Main aim: to illustrate logit, probit and tobit model procedures in RATS.

• Estimation of models with discrete dependent variables (DDV): logit and probit regression.
  Models for limited dependent variables (LDV): tobit regression.

Application: applications to credit risk analysis.

---

Terms and Conditions