Training Calendar

The Midas Touch: Mixed Data Frequency Models in EViews (Online Course)

Online Half day (28th November 2019 - 28th November 2019) EViews Intermediate, Introductory
Delivered by: Dr. Malvina Marchese, Cass Business School, City, University of London
Econometrics, Mixed Frequency, Time series

>Overview

Our online MIDAS Models with EViews course provides a complete introduction to mixed data sampling (MIDAS) regression models in EViews. MIDAS are used in macroeconomic and financial modelling and forecasting. The course targets researchers, practitioners and policy makers who are interested in gaining an in-depth knowledge of MIDAS techniques and learning how to use them in their research.

The course runs from 13.00 - 67.00 (UK Time) / 17:00 - 20:00 (UAE Time)

Agenda

Traditional approaches to time-series estimation and forecasting in economics require the variables to be at the same frequency. This often causes a problem since most macroeconomic data is reported at different intervals and frequencies. Mixed-Data Sampling (MIDAS) is a method of estimating and forecasting using models where the dependent variable is recorded at a lower frequency than one or more of the independent variables. Unlike the traditional aggregation approach, MIDAS uses information from every observation in the higher frequency space.

This course provides a comprehensive introduction to MIDAS modelling and forecasting in EViews. Taking a “learning-by-doing” approach, we discuss in depth MIDAS regression models employing plenty of macroeconomic data examples and a constant stream of challenging exercises. Participants leave with a sound knowledge of MIDAS regression modelling, testing and forecasting. Advanced topics such as MIDAS Vector Autoregressions and MIDAS GARCH models can be discussed according to the participants’ needs and background.

The course is intentionally flexible. The agenda emerges dynamically and depends on the group’s prior background and knowledge of EViews. By the end of the course, all participants will feel comfortable undertaking the following tasks:

  • Creating Mixed frequencies workfiles
  • Almon/PDL lag weighted MIDAS regression (estimation, interpretation , post estimation diagnostic checks)
  • Step weighted MIDAS regression (estimation, interpretation, post estimation diagnostic checks)
  • Beta weighted MIDAS regression (estimation, interpretation, post estimation diagnostic checks)
  • Forecasting with MIDAS

Learning Ratio

80% practical; 20% theory

Principal texts for pre-course reading:

Adkins L.C , Hill R.C Using EViews for principle of Econometrics (Appendix C and Chapters 2 and 3 )

Principal texts for post-course reading:

Adkins L.C , Hill R.C Using EViews for principle of Econometrics (Chapters 9, 12, 13,14)

  • Basic knowledge of hypothesis testing is needed.
  • Basic knowledge of EViews is helpful. Basic understanding of regression analysis is helpful.

Terms & Conditions

  • Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
  • Additional discounts are available for multiple registrations.
  • Cost includes course materials that will be posted to you prior to the start of the course.
  • Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course.
  • Payment of course fees required prior to the course start date.
  • Registration closes 1-day prior to the start of the course.
  •  CommercialAcademicStudent
    3-hour online course (28/11/2019 - 28/11/2019)

All prices exclude VAT or local taxes where applicable.

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