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Invitation

The National Centre for Econometric Research (NCER) in conjunction with the School of Finance and Economics at the University of Technology, Sydney (UTS) is pleased to announce a Master Class in Econometric Modelling, with Professor David F. Hendry from the Department of Economics, University of Oxford. All interested persons with a background knowledge of econometrics for time-series data, including cointegration and systems are welcome to attend, although experience in undertaking empirical research would be an advantage.

The Master Class will be held at UTS, on Wednesday 2 and Thursday 3 July, 2008. (Please see the map for location information. The Master Class will be conducted in D-Block.)

Econometric Modelling

The course concerns the theory and practice of econometric model selection. Research on model selection for general-to-specific (Gets) modelling will be described, emphasizing automatic procedures. Gets simplifies a congruent general unrestricted model to a dominant minimal representation. Computer automation of selection algorithms has revealed high success rates, and allows operational studies of alternative strategies. We consider the performance of Gets across different states of nature and examine the extent to which model selection is non-distortionary at relevant sample sizes. The principles of model selection will be examined and alternative modern approaches compared. Developments to Autometrics will be explained, especially indicator saturation methods and their generalisations to handling more candidate variables than observations; modelling non-linearity; tests for exogeneity and invariance; and selecting forecasting devices. Recent criticisms and their implications will be considered.

Readings

* Hendry, David F., Søren Johansen and Carlos Santos, 2007, "Automatic selection of indicators in a fully saturated regression", Computational Statistics.

* Hansen, Bruce, 2005, "Challenges for econometric model selection", Econometric Theory, 21, 60–68.

* Hendry, David F. and Hans-Martin Krolzig, 2005, "The Properties of Automatic Gets Modelling," Economic Journal, 115, C32–C61.

* Hoover, Kevin D., and Steven J. Perez, 1999, "Data Mining Reconsidered: Encompassing and the General-to-Specific Approach to Specification Search," Econometrics Journal, Vol. 2, pp. 167–91.

* Leeb, Hans, and Benedikt Pötscher, 2005, "Model selection and inference: Facts and Fiction", Econometric Theory, 21, 21–59.

Doornik, Jurgen A., and David F. Hendry, 2007, Interactive Monte Carlo Experimentation in Econometrics using PcNaive (Timberlake Consultants Press).

Doornik, Jurgen A., and David F. Hendry, 2007, Empirical Econometric Modelling using PcGive I (Timberlake).

Haldrup, N., Hendry, D. F. and van Dijk, H. (eds.) (2003), Model Selection and Evaluation. Oxford Bulletin of Economics and Statistics, 65.  

Hendry, David F., and Bent Nielsen, 2007, Econometric Modeling: A Likelihood Approach (Princeton University Press).

Campos, Julia, Neil R. Ericsson and David F. Hendry (2005), 'Editors' Introduction' to General to Specific Modelling (Cheltenham: Edward Elgar), pp. 1–81.

* Starred items are required readings for the course.

Schedule

Enquiries and Registration

Participants in the Master Class must register in advance.

Expressions of interest in attending the Master Class are invited before Friday 20 June 2008. (Some places will be allocated before this date).

There are a limited number of places available for the Master Class.

The Master Class is free to all University academics and students.

NCER reserves the right to charge a modest fee to participants from commercial or government organisations.

Expressions of interest, with a brief summary of your background knowledge in econometrics, should be sent to Professor Tony Hall (tony.hall@uts.edu.au) by Friday 20 June.