Regime-Switching Models with OxMetrics

Dates: 10 & 11 January 2011
Level: Intermediate
Course Duration: 2-Days
Delivered By: Dr Jurgen Doornik (Oxford University)

Venue: The Cass Business School, 106 Bunhill Row, London EC1Y 8TZ.

Timberlake Consultants, the Worldwide publisher of OxMetrics invite you to attend the following 2-Day course to be held at Cass Business School, London. The course is being delivered in succession with the Dynamic Factor Modelling Course by Prof Siem Jan Koopman.
 
Course Overview

An introduction to estimation, specification and forecasting of univariate Markov-switching and related models using PcGive. Overview of non-linear model selection using Autometrics. Some hands-on experience forms part of the course. 

Agenda
Regime-Switching Models

Day 1

Motivating examples
Some Markov-switching examples
Alternative approaches
Smooth-transition models
Impulse saturation using Autometrics 
Getting started with OxMetrics and PcGive 
Practical session : Introduction to OxMetrics and PcGive 
Markov-switching models
Introduction to Markov-switching models
Transition probabilities
Types of Markov-switching models
Estimation of Markov-switching models
MS-Dynamic Regression model of US inflation 
Practical session : Estimation of MS-DR models 
Further details: numerical output
Likelihood evaluation
Starting the recursion
Vectorization
The transition matrix
Maximum likelihood estimation
Standard errors
Local versus global maximum 
Practical session : Multiple optima 

Day 2

Further details: numerical output (continued) 
Markov-switching autoregressive model (MS-AR) 
Practical session : replicating Hamilton's estimates 
Practical session : MS-DR model of US GNP 
Further details: 
graphical output
Forecasting
Testing linearity 
Structural breaks and outliers
Change-point modeling
Multi-modality
A look at the generated Ox code 
Practical session : Change-point modelling of ex-post interest rate 
Multivariate Markov-switching models 

To register for the course.  Please contact Ashley Dyer at [log in to unmask]

We look roward to hearing from you. 

Ashley Dyer Timberlake Consultants Ltd.

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