Applied Econometrics using Matlab

2-day online course - February 4 and 5, 2021

Organized by:

The Applied Econometrics using Matlab Executive Training Course is organized by the Gulf One Lab of Computational and Economic Research (GOLCER) and the Financial Econometrics, Asset Markets and Macroeconomic Policy (EMP), which are both Research Centres at the Lancaster University Management Schhol

Course Structure

Online

The course content will be delivered throughout two full days

Material

The course is blended with theory and practical examples

Mentorship

Over the course of the tutorial you'll be able to consult with the teachers for advice and help with any questions you may have 

Course Content

Topic 1: Introduction to Programming in Matlab

  • Basic Syntax
  • Loops and Decision Statement
  • Functions
  • Plotting
  • Review of the available functions

Topic 1: Ordinary Least Squares

  • Estimation and Properties of Least Squares
  • Algorithms for Least Squares
  • Analysis of Variance
  • Hypothesis Testing
  • Model Selection
  • Parametric Estimation

Topic 2: Robust Least Squares

  • Two-Stage Least Squares
  • Generalized Method of Moments (GMM)
  • Three-Stage Least Squares
  • Instrumental Variables
  • Quantile Regression

Topic 3: Limited Dependent Variables

  • Logit and Probit Regressions
  • Tobit Models

Topic 4: Panel Models

  • Seemingly Unrelated Regressions (SURE)
  • Pooled OLS

Topic 5: Vector Autoregressive Models

  • Estimation and Selecion
  • VEC models
  • Forecasting

Topic 6: ARMA Models

  • Estimation via:
    • Yule-Walker equation
    • Two-stage LS
    • Maximum Likelihood Estimation
  • Model Selection
  • Forecasting

Topic 7: ARCH Models

  • (G)ARCH Models
  • Estimation and Forecasting
Skillset developed by the course
  • Ability to write efficient econometrics
  • Ability to interpret econometric outputs
  • Ability to analyze different types of datasets
  • Ability to translate econometric models into codes
Choose the plan that’s right for you
PhD Students

£ 300

Academics

£ 600

Practitioners

£ 950