Syllabus and Reading List
Syllabus and Reading List (pdf)
(Note: participants in the course will receive copies of OxMetrics. For all others, OxMetrics is available for purchase here)
Lectures
Session 1: Introduction to Econometric Modelling
Download: Slides (pdf), Data and Code (zip)
Session 2: General-to-Specific Modelling with OxMetrics
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Session 3: Theory of Reduction and Model Evaluation
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Session 4: Introduction to Model Selection
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Session 5: Introduction to Monte Carlo Analysis
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Session 6: Detecting Breaks and Handling Shifts
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Session 7: Non-linear Model Selection
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Session 8: Empirical Model Discovery and Theory Evaluation
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Session 9: Empirical Modelling in Action
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Session 10: Introduction to Economic Forecasting (with OxMetrics)
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Session 11: Problems in Economic Forecasting & Robust Forecasting Methods
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Session 12: Forecasting Breaks
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Session 13: Economic Modelling and Forecasting Game
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Session 14: Conclusions
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The material in this course relies heavily on previous courses, presentations and research by a variety of people including Jennie Castle, Jurgen Doornik, David Hendry and Felix Pretis. Special thanks in particular to David Hendry and Felix Pretis.