Unobserved Components Time Series Analysis using OxMetrics™ and X12ARIMA

28 - 30 March 2006

Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ, UK.

Contents

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

Timberlake Consultants Ltd, the distributor and publisher of the OxMetrics™ software, would like to invite you to attend a three-day course, in London. This course will discuss the ideas behind Structural Time Series Modelling and X11ARIMA and show how the methodology can be implemented using the OxMetrics™ module STAMP™ and the X12ARIMA and SsfPack™ packages.

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 participants with background on Structural Time Series Models and the Kalman filter and demonstrate, using real-life business and industrial data, how to interpret and report the results using the STAMP™ and SsfPack™ software packages. You do not need to be a STAMP™ user. Developers of other software packages, e.g. EViews™, ForecastPro, have followed the work done by the STAMP™ and SsfPack™ developers when implementing this type of models. Participants are invited to send their own data in Excel format prior to the start of the course.

Who should attend? Structural time series models find application in many subjects, including, economics, finance, sociology, management science, biology, geography, meteorology, transportation, tourism and engineering. The course is, therefore, suitable for anyone who works with time series data in government or industry or teaches this topic at Universities. A basic knowledge of time series analysis is assumed. Familiarity with the software is not required but advisable. If you want to get some familiarity with the software prior to the course, please request a demo copy.

The Principal Lecturer - The principal lecturer is:
Prof. Siem Jan Koopman is a Professor in Econometrics at the Free University of Amsterdam. He gained his Ph.D. (from LSE) in 1992. He has published papers in Biometrika, JASA, J Business and Economics Statistics, and J Royal Statistical Society Serie B. He is a member of the editorial board of the J Applied Econometrics. He is main contributor to the OxMetrics module STAMP module and developed the Ox package SsfPack.
http://www.econ.vu.nl/koopman/
http://stamp-software.com
http://www.ssfpack.com/

Cost - The cost of the course is:

Organization Type No Participants
Late Registrations
(30- days before the course starts)
Early Registrations
(30+ days before course starts)
Commercial
1st Participant
 £1,400+VAT=£1,645.00
 £1,190+VAT=£1,398.25
Commercial 2nd+ Participant £1,250+VAT=£1,468.75 £1,125+VAT=£1,321.88
Academic 1st Participant £1,000+VAT=£1,175.00 £850+VAT=£998.75
Academic 2nd+ Participant £900+VAT=£1,057.50 £810+VAT=£951.75

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.

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Agenda
(subject to minor changes)

Day 1:

9.30 Coffee and registration

10.00 Welcome

Introduction to Unobserved Components Time Series Models

  • univariate models * statistical properties * connection with ARIMA * trends * seasonal adjustment * business cycle * forecasting

Hands-on session with STAMP

Signal Extraction and Seasonal Adjustment

  • weights * filters * seasonal filters * X11 method

Hands-on session with X12-ARIMA

17.30 Close

Day 2:

9.15 Start

Modelling Time Series

  • decompositions * multivariate models * common factors * common trends and cointegration * VAR * VECM

Hands-on session with STAMP

Introduction to Kalman filter and state space models

  • local level model * filtering * prediction * smoothing * simulation * forecasting * missing values

Hands-on session with STAMP and SsfPack

17.30 Close

Day 3

9.15 Start

Seasonal Adjustment

  • filtering * seasonal ARIMA * airline * unobserved components * basic structural time series model * seasonal heteroskedasticity

Hands-on session with X12-ARIMA and STAMP

Measuring Growth and Business Cycles in the US Economy

  • Hodrick-Prescott * Band-Pass filters * Ideal and Butterworth filters * model-based decompositions * univariate and multivariate

Recent Advances in Unobserved Component Time Series Models

  • Convergence * Cycle Shifts * Synchronization * Asymmetric Cycles * Stochastic Heteroskedasticity

17.00 Close

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

For Timberlake Consultants Terms and Conditions click here