Advanced Topics in State Space Models and Dynamic Factor Analysis
Date: Location: Course duration: Software: Level: Delivered by: Course Code:	3-4 June 2013 Subotnick Financial Services Center, Zicklin School of Business, Baruch College/CUNY Information and Technology Building, 151 E. 25th Street. New York, NY 10010, U.S.A 2-days Stata Intermediate Prof. Robert A. Yaffee, Silver School of Social Work, New York University ST-92-USA

Please note: This course will now take place in New York at the Subotnick Financial Services Center, Zicklin School of Business, Baruch College

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Course Overview

Timberlake, the official distributor of Stata in the UK and Ireland, invite you to attend a 2-day Advanced Stata Course. 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.

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Agenda

(Subject to minor changes)

0.1 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

0.2 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

0.3 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

0.4 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

0.5 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

0.6 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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Who should attend

Persons 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 as well as those interested in applying dynamic factor analysis to solving problems in the social, financial, econometric and policy sciences. Example data sets will come from these areas.

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Mathematical Background Required

• Prerequisites: Basic Stata, basic linear algebra, some multivariate statistical analysis and a basic course in time series analysis
• Recommended: Basic time series analysis with Stata

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The principal lecturer

Robert A. Yaffee, Ph.D., a research professor at New York University and a senior research scientist/statistician on a U.S. National Science Foundation grant, served as a senior research/statistical consultant at the Academic Computing Services of the New York University Information Technology Services from 1989 until spring 2004. Prof. Yaffee is author of a forthcoming book entitled An Introduction to Forecasting Time Series using Stata (expected publication date winter 2009-2010), and an author of a recent textbook entitled An Introduction to Time Series Analysis and Forecasting with Applications of SAS and SPSS (Academic Press, 2000).

Yaffee has written articles on the design and planning of statistical analysis, logistic regression analysis, along with a number of articles on the psychosocial aspects of pathological gambling. He has lectured on the research methods in empirical research, theory and programming of structural equation models, event history analysis, complex sampling, categorical data analysis, time series analysis, and quantitative epidemiological analysis.

From 1995 through 2000, he held the position of research scientist/statistician at Downstate Medical Center, working under a National Institute of Mental Health grant to study depression and anxiety on the part of immigrant groups within Brooklyn. Before joining New York University, he served as an associate research scientist at the Columbia University School of Public Health on a National Institute for Drug Abuse grant. From 1986 through 1990, he served as a member of the editorial board of the Journal of Gambling Behavior and from 1990 to 2004; he has served on the editorial board of the Journal of Gambling Studies.

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Prices

Cost (per participant):

Commercial / Government	$1400.00
Academics / Non-profit Research	$1050.00
Student registrations	$550.00

• A 20% discount is applied to early registrations (registrations made more than 6 weeks in advance of the course start date)
• All costs exclude local taxes, where applicable
• All costs exclude local taxes, where applicable
• Late Registrations: Registrations made within 6-weeks before the start of the course
• 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, refreshments and the use of computers (please advise us if you have any dietary requirements)

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

If you need assistance in locating hotel accommodation in the region, please notify us at at the time of booking.

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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

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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