Due to the current COVID-19 crisis and the resulting social distancing measures, this course will take place online. For this reason, the tuition fees have also been revised.
This workshop covers all the basic econometric methods and tools for analyzing both cross-sectional and time-series data. It addresses both the theory and practice of econometrics in a wide range of settings, from Economics, to Business, Marketing and Finance. This workshop will also allow you to gain practice in programming with either R, Python, or MATLAB.
The practical assignments will cover simulation-based econometric methods, numerical estimation methods, and solving practical relevant problems using real data sets.
Fee and duration
€ 350 for VU students. Reduced fee is € 300 for bookings made before August 1st.
€ 500 for non VU students. Reduced fee is € 450 for bookings made before August 1st.
Students entering the econometrics master and PhD students.
7 day course in August 2020. Calendar: Wednesday, Aug 19 - Friday, Aug 28. Classes take place on the days and times mentioned below (the exact locations to be announced later):
|Monday Aug. 17
||Tuesday Aug. 18
||Wednesday Aug. 19
||Thursday Aug. 20
||Friday Aug. 21
|Monday Aug. 24
||Tuesday Aug. 25
||Wednesday Aug. 26
||Thursday Aug. 27
||Friday Aug. 28
Coordinator: F. Blasques
Lecturers: F. Blasques and S.J. Koopman
Content and requirements
- Regression methods for cross-sectional data
- Model specification analysis and tests
- Time-series models for stationary and non-stationary data
- Forecasting, impulse response functions and policy analysis
- ARMA, ADL and ECM models
- Unit-root and cointegration tests
- VAR and VECM models
- Financial econometrics models for conditional volatility
- GARCH and Multivariate GARCH models
Participants should be familiar with basic probability and statistics. Some knowledge of introductory econometrics and time-series analysis is also recommended.
To successfully complete this workshop, students must attend all classes and deliver the mandatory assignment.
To register for the workshop as a participant, please fill out the online registration form and pay the fee via bank transfer to
Name: Stichting VU
Mentioning: 2790785-87170 SummerWorkshop + YourName