Time Series Modeling with GAUSS

Time Series Modeling with GAUSS

Date: December 9-11, 2014
Location: Philippines

Course Program

This is a 3-day intensive course at the intermediate-advanced level on modeling macroeconomic and financial variables using the econometric software GAUSS, a highly flexible and powerful programming language for statistical computation.
 
The workshop begins with a session on the basics of GAUSS programming. This is followed by extensive treatment of univariate and multivariate time series models using both simulated and real data in economics and finance. The workshop also tackles some advanced methods including VAR, VECM, Markov-switching, and Kalman filters. Participants
are welcomed to bring your own datasets.

Day 1: Introduction to GAUSS

Morning Session

  • Data types, reading data into GAUSS
  • Vectors and matrices, arrays
  • Matrix, relational, and logical operators
  • Conditional statements and loops
  • Procedures, functions, and keywords
  • Case studies

Afternoon Session

  • Regression Basics: OLS, GLS, MLE, GMM, Bayesian methods
  • Basic Time Series Concepts: Stationarity, Non-stationarity, Unit-root tests
  • Case studies

Day 2: Modeling Stationary Time Series

Morning Session

  • Univariate Modeling: Simulation, ARIMA(p,d,q), estimation and forecasting
  • Modeling Volatility: ARCH, GARCH, GARCH-m, EGARCH etc.
  • Case studies

Afternoon Session

  • Multivariate Modeling: ADL(p,q) models
  • Markov-switching Models
  • Case studies

Day 3: Modeling Non-stationary Time Series

Morning Session

  • Co-Integration and Error Correction Models: Single and multiple equations
  • Vector Autoregressive (VAR) and Vector-Error Correction (VEC) Models
  • Case studies

Afternoon Session

  • Kalman filters and Time-varying Parameters
  • Basics of Bayesian Computation: MCMC, Gibbs sampling
  • Case studies

Click here for more information or to register