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12th Advanced Summer School on "Econometrics of Duration Data with Macroeconomic Applications" by Nicholas Kiefer

Date of Appearance: 
Nov 21, 2016
Duration of the course: 
Jul 30, 2017 to Aug 6, 2017
Application Deadline: 
May 1, 2017

12th Advanced Summer School on "Econometrics of Duration Data with Macroeconomic Applications" by Nicholas Kiefer

Date of Appearance: 
Nov 21, 2016
Duration of the course: 
Jul 30, 2017 to Aug 6, 2017
Application Deadline: 
May 1, 2017

Course Details

Summer Schools
Credits or certification after course completion: 
All students will be provided with a certificate of attendance. Students participating in the summer school and successfully completing the practical labs can earn 4 ECTS credits.
Study Options: 
Full-Time

Course Fees

Regular Fee: 
€1 500,00
International Student Fee: 
€1 500,00

Location of Course

Location: 
Department of Economics, Faculty of Social Sciences, University of Crete
74100 Rethymno
Greece

Topics covered by ASSEE 2017 include

  • Duration and Survival Analysis
  1. Review of problems leading to models based on censored distributions of durations.
  2. Hazard functions and distributions. 
  3. Likelihood functions, bank crisis data, NBER business cycle data, and parametric estimation.
  4. Proportional hazard (semiparametric) models.
  5. Heterogeneity in duration distributions.
  6. Competing risk modeling.
  • The Counting Process Formulation
  1. Counting processes and martingales.
  2. Parametric and nonparametric estimation.
  3. Semiparametric (Cox-type) estimation.
  • Bayesian methods for duration analysis.

Computing

Many packages including R, SAS, STATA, Matlab, etc. provide programs for analysis of survival data. The course will use R. R is available from cran.r-project.org. Many tested and well-documented (but not guaranteed) packages are available on that website. The course will use "survival." For Bayesian analysis we will also need "mcmc" and "coda." A useful frontend for R is R-Studio, available at http://www.rstudio.com. Excercises will use NBER business cycle data, downloadable from http://www.nber.org/cycles.html

Prerequisites:

  • Language certification
  • Educational background, Relevance of the ASSEE topic to student's research agenda, Letter of recommendation

Language Requirements: 
Good knowledge of the English language

Class Size: 
20 - 30 students

Course Instructors/Professors:

  • Nicholas Kiefer, Professor in the Dept of Statistical Sciences, Cornell University, USA, will be the Distinguished Guest Professor

More information

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