Applied Econometrics using Matlab - 2-days

Attendance

On-Site

Posted on

Start Date

End Date

Type

Professional training

Organisation:

Coverage of Applied Econometrics using Matlab is undertaken by two Research Centres within the Lancaster University Management School: Gulf One Lab of Computational and Economic Research (GOLCER) and Financial Econometrics, Asset Markets and Macroeconomic Policy (EMP).    

 

Course Structure

Online

The course content will be delivered throughout two full days.

Material

The course is blended with theory and practical examples.

Mentorship

Over the course of the tutorial you'll be able to consult with the teachers for advice and help with any questions you may have.

Course Content

Topic 1: Introduction to Programming in Matlab

  • Basic Syntax
  • Loops and Decision Statement
  • Functions
  • Plotting
  • Review of the available functions

Topic 1: Ordinary Least Squares

  • Estimation and Properties of Least Squares
  • Algorithms for Least Squares
  • Analysis of Variance
  • Hypothesis Testing
  • Model Selection
  • Parametric Estimation

Topic 2: Robust Least Squares

  • Two-Stage Least Squares
  • Generalised Method of Moments (GMM)
  • Three-Stage Least Squares
  • Instrumental Variables
  • Quantile Regression

Topic 3: Limited Dependent Variables

  • Logit and Probit Regressions
  • Tobit Models

Topic 4: Panel Models

  • Seemingly Unrelated Regressions (SURE)
  • Pooled OLS

Topic 5: Vector Autoregressive Models

  • Estimation and Selecion
  • VEC models
  • Forecasting

Topic 6: ARMA Models

  • Estimation via:
    • Yule-Walker equation
    • Two-stage LS
    • Maximum Likelihood Estimation
  • Model Selection
  • Forecasting

Topic 7: ARCH Models

  • (G)ARCH Models
  • Estimation and Forecasting

Skillset developed by the course

  • Ability to write efficient econometrics
  • Ability to interpret econometric outputs
  • Ability to analyse different types of datasets
  • Ability to translate econometric models into codes

 

More Information

Posted on

Start Date

End Date

Type

Professional training