Training Calendar

Midas Touch: Advanced Time Series In EViews

Online 2 days (28th May 2021 - 29th May 2021) EViews Intermediate, Introductory
Econometrics, Forecasting, Mixed Frequency, Time series

Presented By: Dr. Malvina Marchese (Cass Business School, City, University of London)

This course offers a comprehensive discussion of advanced time series models in EViews and their applications to a wide range of fields including: financial econometrics and macro econometrics. The course offers both a theoretical discussion of the models and many practical applications to time series data.

Strong emphasis is placed on interpretation of the results and identifying the best performing model from a forecasting perspective.

We consider several advanced time series models available in EViews 12: Markov switching models, Regime switching threshold Models, Star Models, Midas models and their comparisons.


Course Timetable

Morning Session Afternoon Session Q&A
10am-12pm (London time) 2pm-4pm (London time) 4pm-4:30pm (London time)
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Timberlake Consultants


Agenda

Day 1: the MIDAS touch

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.

  • 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)
  • Machine learning methods to select the MIDAS weight function (new in EViews 12)
  • Forecasting with MIDAS
  • Day 2 : Regime switching models

  • Misspecification in time series models: what can go wrong?
  • Detecting structural breaks in time series with EViews
  • The TAR model: estimation and forecasting with an observable threshold
  • The SETAR model: estimation and forecasting with a self -exciting threshold
  • The Star model: estimation and forecasting with smooth regime transaction
  • Markov switching models: estimation and forecasting
  • And the winner is? Forecasting comparison of advanced time series models: an in depth discussion with the most recent methods developed in the econometric literature
  • 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
    2-Day Pass (28/05/2021 - 29/05/2021)

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