This two-day course will explore two important topics in Econometrics; Panel Data estimation and the use of Factor Models in economic forecasting and analysis.This course will acquaint the student with modern Panel Data techniques including their use for standard stationary panels, dynamic panels and the broad area of non stationary panels. Factor analysis allows us to concentrate the important information contained in a large number of data series into a relatively small number of artificial factors which may be used for various purposes. Factor analysis begins with the single factor model which is estimated in state space form using the Kalman filter. It progresses to the multifactor models using principal components. It then combines these two into the dynamic factor model. These techniques are becoming increasingly important as we move into a world of ‘Big’ data.
Cass Business School, 106 Bunhill Row London, EC1Y 8TZ United Kingdom
London , United Kingdom