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Wash, D.C. USA » Jan 2014 » Stata » State Space Macroeconomics Finance Bookmark and Share

Advanced Topics in State Space Models & Dynamic Factor Analysis

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23-24 January 2014
George Washington University, Washington, D.C. (View map)
2-days
Stata
State Space Models / Macroeconomics / Finance / General Econometrics & Statistics (Intermediate / Advanced)
Prof. Robert A. Yaffee, New York University (View profile)
ST-92-USA
George Washington University, Washington, D.C. Stata  Stata 13    Timberlake Consultants | Statistics | Econometrics | Forecasting
Overview Agenda Prerequisites Testimonials Prices Registration Terms & Conditions  

Overview

Timberlake Consultants invite you to attend a 2-day advanced Stata course taking place at the George Washington University, Washington, D.C., on 23-24 January 2014. This course will cover the theory and application of state space models to time series analysis and forecasting. It will also cover the theory and application of dynamic factor analysis to problems in the social, financial, econometric and policy sciences. Analytical examples will use Stata, space and dfactor, the well-known software package developed by StataCorp LLC (USA). Data sets will come from these subject areas, but students may bring their own datasets.

This course is aimed at participants interested in the theory and application of state space models to solving problems of signal extraction, interpolation, forecasting and control in time series analysis and forecasting. In addition, those interested in applying dynamic factor analysis to solving problems in the social, financial, econometric and policy sciences would also find the course of interest. Example data sets will come from these areas.

 

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Agenda

(Subject to minor changes)

1. Day 1: Early Morning - Brief review of some helpful matrix theory and elementary trigonometrc analysis

  • Trigonometric decomposition of time series
  • Periodicity identication
  • Some time series filters
  • Basics of stacked and partitioned matrices
  • Q and A

2. Day 1: Late Morning - Introduction to State Space and Unobserved Components Models

  • Brief outline of some historical highlights
  • Advantages of the state space over ARIMA
  • Fundamental covariance structure
  • 
  • Derivation of the Kalman recursions
  • 
  • The General State Space Analysis
    • Initialization
    • Priors
    • Filtering and forecasting
    • Smoothing and signal extraction
  • Q and A

3. Day 1: Early Afternoon - Basic Unobserved Compoments Models and their comparison using Stata ucm

  • Random walk and random walk with drift models
  • Deterministic constant and the local level models
  • Local level and the local level with deterministic trend models
  • Random walk with drift and local linear trend models
  • Random and smooth trend models
  • The seasonal and basic structural models
  • Hands-on computer exercises

4. Day 1: Late Afternoon - More unobserved components models

  • Cyclical models- periodicity and frequency determination
  • Event/ intervention models - blip, shift, and other effects
  • Fixed and stochastic covariates
  • Estimation
  • Forecasting
  • Forecast evaluation
  • Caveats for analysts
  • Hands-on computer exercise

5. Day 2: Morning - Brief review of factor analysis

  • Basic factor analysis review
  • Factor extraction
  • Break
  • Stata factor and its options
  • Factor rotation with rotate
  • Factor score generation
  • Computer exercises

6. Day 2: Afternoon - Dynamic factor models with Stata dfactor

  • Dynamic factor modeling with dfactor and its options
  • Single common factor models
  • Break
  • Multiple dynamic factor models with dfactor
  • Estimation
  • Forecasting
  • Computer exercises

 

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Prerequisites

  • Required: Understanding of Stata and its functions, basic linear algebra, some multivariate statistical analysis and a basic course in time series analysis.
  • Recommended: Basic time series analysis with Stata.

For those participants wishing to attend, and have only a limited understanding of Stata, we recommend joining the Time Series Analysis using Stata course as a prerequisites to Advanced Topics in State Space Models & Dynamic Factor Analysis.

 

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Feedback & Testimonials

Click here to view Prof. Robert A. Yaffee’s full profile »

Coming soon.

 

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Prices

Cost (per participant):

Registration type Price
Commercial / Government $1,450.00
Academic / Non-profit research $1,130.00
Student registrations $490.00
Click here for Pricing FAQs »
  • All costs exclude local taxes, where applicable.
  • 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 enrollment).
  • Additional discounts are available for multiple registrations.
  • Cost includes course materials, lunch and refreshments.
  • If you need assistance in locating hotel accommodation in the region, please notify us at the time of booking.

The number of delegates is restricted. Please register early to guarantee your place.

 

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Registration

We welcome delegates to find out more and register for the course by contacting our sales and training team either by email: info@timberlake-consultancy.com, phone: +1 908 686 1251 or by filling out an online registration form.

 

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Terms & Conditions

For full Training Courses Terms & Conditions please click here.

Payment of course fees required prior to the course start date.

Registration closes 5-calendar days prior to the start of the course.

  • 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
  • 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
  • No fee returned for cancellations made less than 14-calendar days prior to the start of the course.



 

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Last modified: 2014-01-29 14:27:53
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Union, NJ 07083-7905, USA

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