Score-Based Approaches to Econometric Modeling with Applications
THE COURSE IS DELIVERED IN HYBRID MODE.
Bertinoro, 19 - 24 July 2021
Coordinator
Free University of Bozen-Bolzano
4 Universitätsplatz 1 - piazza Università, 1
39100 Bozen-Bolzano
e-mail: Francesco.Ravazzolo@unibz.it
Lecturers
- Peter R. Hansen, (University of North Carolina Chapel Hill, USA)
- Siem Jan Koopman, (VU University Amsterdam, NL)
THE COURSE IS DELIVERED IN HYBRID MODE and it is conditional to the recruitment of a minimum of 15 participants in presence. If the conditions of the ongoing COVID 19 pandemic do not allow an in presence event, the course will be cancelled. The final decision will be taken before the deadline for fee payment.
Requirements
Basic knowledge of econometrics, including Time Series Econometrics, to a level comparable with Introductory Econometrics SIDE course. Having reviewed chapter 7 in the textbook Econometrics, by Hayashi is recommended.
Reference textbooks for the course:
Handouts, readings and further material will be provided before the beginning of the course and during the lectures. The Julia Programming Language will be used for some empirical analysis. Instructions to follow.
Course description
The course presents score-based approaches to econometric modeling. The course is addressed to students without previous knowledge of this methodology. The methods introduced in the lectures will be illustrated with hands-on applications based on economic, finance and COVID 19 data.
Schedule of the course:
- PRH Review of Estimation and Inference by first-order conditions (m-estimation)
- PRH Detecting Parameter Instability (Nyblom Test)
- SJK Introduction to Score-Driven Modeling
- SJK Relation to parameter-driven models and other filtering methods
- PRH Score-Binomial: Correlation-Modeling (Application)
- SJK Multivariate extensions with illustrations
- PRH Application to COVID19 data: Score-Model for Replication Number
- SJK Acceleration and Missing data in Score-Driven Modeling
- PRH Application to COVID19 data: Score-Model for Replication Number
- SJK New developments in Score-Driven Modeling: weighting and theory
Software
The Julia Programming Language will be used for some empirical analysis. Instructions to follow.
Literature
- Blasques, Francisco, Paolo Gorgi, and Siem Jan Koopman (2019): "Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting", Journal of Econometrics, 212(2), 359-376.
- Creal, Drew D., Siem Jan Koopman and Andre Lucas (2013): "Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics, 28(5), 777-795.
- Nyblom, J., 1989. Testing for the Constancy of Parameters over Time. Journal of the American Statistical Association, 84, 223-230.
- Hansen, B. E. (1992), Testing for parameter instability in linear models, Journal of Policy Modeling 14, 517-533.
- Hayashi, F. (2000), Econometrics. Princeton: Princeton University Press.
Venue and timetables
The Module will last one week and will be held in the University Residential Centre, Via Frangipane 6, 47032 Bertinoro (FC). Participants will be hosted in the Centre guest quarters, (as an exception, in case of reduced availability of rooms in the Centre, they will be accommodated in local hotels).
Lectures and tutorials will be in English, with the following schedule:
- Monday to Friday: lectures 9:00-13:00, 15:00-17:00
- Saturday: lectures 9:00-13:00.
Fees and Enrollment
* Online Course
- Students, new graduated students, PhD students and temporary university staff: 390 euro
- University staff: 490 euro
- Others: 1500 euro
* Course in Bertinoro
- Students, new graduated students, PhD students and temporary university staff: 790€
- University staff: 890€
- Others: 2300€
Fee includes: accommodation breakfast and lunch (starting from Sunday evening).
If participants do not need any accomodation during the course, please send an email to admin@side-iea.it to request a reduced fee and we will apply a cost reduction of 100€.
In case of enrollment in two or more courses, for a maximum of three, Student and Staff participants are entitled to a discount of 100 euros on each course. Other participants are entitled to a discount of 300 euros on each course.
Renounce and refund:
To submit a renounce request, please send an email to admin@side-iea.it.
You can give up immediately after the notification of acceptance or later.
After the payment, you can submit your renounce up to one week (7 days) from the beginning of the course (within the terms for refund) and ask for a refund with motivated reasons (health reasons to be documented, for study purposes or personal reasons). We will refund your fee with a deduction for administrative and organization costs: 150 Euro for the course in presence, 100 Euro for online course.
Over the terms for refund (less of 7 days from the beginning of the course) you need to motivate your request (as indicated above), which will be submitted to SIdE President.
Important dates:
Application Deadline: May 30th, 2021
Notification of acceptance will be posted by the 15th June, 2021
Deadline for Fee Payment is June 30th, 2021
Contacts
- For more information: Laura Urraci e-mail: info@side-iea.it
- For administrative issues : Laura Urraci (admin@side-iea.it), Alessandra Picariello (alessandra.picariello@unibo.it), phone:+39 0512092637;
- For travel and accommodation: Monica Michelacci (mmichelacci@ceub.it), phone: +39 0543446500.
