Econometrics Summer Workshop

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

Fee
€ 500 for VU students. Reduced fee is € 450 for bookings made before August 1st.
€ 750 for non VU students. Reduced fee is € 700 for bookings made before August 1st.

Audience
Students entering the econometrics master and PhD students.

Duration
7 day course in August 2019. The workshop will only go through if there is a sufficient number of applications. Calendar: Wednesday, Aug 21 - Friday, Aug 30. Classes take place on the days mentioned below:

Schedule


Week 1


Monday
Tuesday
Wednesday
Thursday
Friday
Morning
N/A
N/A
Lecture
Lecture
Tutorial
Afternoon
N/A
N/A
Computer Lab
Computer LabComputer Lab

Week 2


Monday
Tuesday
Wednesday
Thursday
Friday
Morning
Lecture
Lecture
Tutorial
N/A
Final class
Afternoon
Computer Lab
Computer Lab
Computer Lab
N/A


Coordinator: F. Blasques
Lecturers: F. Blasques and S.J. Koopman
Tutor: A. Duplinskiy

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
IBAN: NL29DEUT0488644836
BIC: DEUTNL2N

Mentioning: 2790785-87170 SummerWorkshop + YourName