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ResourcesPosted on June 6, 2013 by aptech
Home>Time Series Modeling with GAUSS
Time Series Modeling with GAUSSDate: November 11-13, 2013
Location: Jakarta, Indonesia
Course ProgramThis is a 3-day intensive course at the intermediate-advanced level on modeling macroeconomic and financial variables using the econometric software GAUSS, a highly flexible and powerful programming language for statistical computation.
The workshop begins with a session on the basics of GAUSS programming. This is followed by extensive treatment of univariate and multivariate time series models using both simulated and real data in economics and finance. The workshop also tackles some advanced methods including VAR, VECM, Markov-switching, and Kalman filters. Participants
are welcomed to bring your own datasets.
Day 1: Introduction to GAUSSMorning Session

• Data types, reading data into GAUSS
• Vectors and matrices, arrays
• Matrix, relational, and logical operators
• Conditional statements and loops
• Procedures, functions, and keywords
• Case studies
  

Afternoon Session

• Regression Basics: OLS, GLS, MLE, GMM, Bayesian methods
• Basic Time Series Concepts: Stationarity, Non-stationarity, Unit-root tests
• Case studies
  

Day 2: Modeling Stationary Time SeriesMorning Session

• Univariate Modeling: Simulation, ARIMA(p,d,q), estimation and forecasting
• Modeling Volatility: ARCH, GARCH, GARCH-m, EGARCH etc.
• Case studies
  

Afternoon Session

• Multivariate Modeling: ADL(p,q) models
• Markov-switching Models
• Case studies
  

Day 3: Modeling Non-stationary Time SeriesMorning Session

• Co-Integration and Error Correction Models: Single and multiple equations
• Vector Autoregressive (VAR) and Vector-Error Correction (VEC) Models
• Case studies
  

Afternoon Session

• Kalman filters and Time-varying Parameters
• Basics of Bayesian Computation: MCMC, Gibbs sampling
• Case studies
  

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