Training course for PhD/Master students (July 8, 2019)
The training course of The 6th Days of Econometrics for Finance (JEF'2019) is designed for graduate students (Master/PhD), professionals and researchers with an interest in statistics, econometrics and finance.
Firmin Doko Tchatoka
School of Economics, The University of Adelaide, Australia
Firmin Doko Tchaoka is Senior Lecturer at the School of Economics, The University of Adelaide, Australia. His research interests are in econometric theory, statistics, and financial econometrics. He is currently working on various topics, including identification problems in structural models, school choice models, mortgage choice in the housing market, financial inclusion, time series forecasting, and network econometrics.
Dr. Doko Tchatoka has published research papers in several areas, many in prestigious journals such as the Journal of Econometrics and Econometric Theory.
Title of the course: Filtering and Smoothing Time Series
Summary: The short course will primarily be applied focused. I will introduce some recent techniques used to filter either the cyclical or the trend components of a time series. I will discuss the use of in forecasting. I will illustrate both techniques with some applications in STATA.
Selected reading list:
Baxter, M., and R. G. King. 1995. Measuring business cycles approximate band-pass filters for economic time series. NBER Working Paper No. 5022, National Bureau of Economic Research. http://www.nber.org/papers/w5022.
Baxter, M., and R. G. King. 1999. Measuring business cycles: Approximate band-pass filters for economic time series. Review of Economics and Statistics 81: 575–593.
Bianchi, G., and R. Sorrentino. 2007. Electronic Filter Simulation and Design. New York: McGraw–Hill.
Burns, A. F., and W. C. Mitchell. 1946. Measuring Business Cycles. New York: National Bureau of Economic Research.
Butterworth, S. 1930. On the theory of filter amplifiers. Experimental Wireless and the Wireless Engineer 7: 536–541.
Fuller, W. A. 1996. Introduction to Statistical Time Series. 2nd Ed. New York: Wiley.
Pollock, D. S. G. 1999. A Handbook of Time-Series Analysis, Signal Processing and Dynamics. London: Academic Press.
Pollock, D. S. G 2000. Trend estimation and de-trending via rational square-wave filters. Journal of Econometrics 99: 317–334.
Pollock, D. S. G. 2006. Econometric methods of signal extraction. Computational Statistics & Data Analysis 50: 2268–2292
Firmin_JEF2019.pdf