Large datasets are becoming increasingly available to researchers and practitioners in many disciplines. In particular, during this %E2%80%9Cbig data%E2%80%9D revolution the analysis of high%E2%80"dimensional time series has become one of the most active subjects of modern statistical methodology with applications in various areas of social science including finance, macroeconomics, and econometrics. Although the value of information is unquestionable, the possibility of extracting meaningful and useful information out of this large amount of data is also of great importance. To this end, several new analytical and computational techniques have been developed under the name of factor models.The aim of this course is to give an introduction to factor models in time series analysis by teaching students the basic analytical methods and their applications to macroeconomics and finance via the use of Matlab software. These models are widely used in central banks for forecasting key macroeconomic indicators such as GDP and inflation. They are also used to study the impact of economic policies on economic activity and in validating models of the economy. Financial institutions adopt factor models for risk management.

Course leader
Mr Matteo Barigozzi

Target group
This course is designed for postgraduates, academics and professionals who have an interest in big data analysis and have some analytical background in time series analysis.

Course aim
The aim of this course is to give an introduction to factor models in time series analysis by teaching students the basic analytical methods and their applications to macroeconomics and finance via the use of Matlab software.

Credits info
The decision to award credits is at the discretion of the student's home institution. Students should always check with their home institution to confirm the number of credits that can be awarded.

Fee info
GBP 935: Student rate - available to current university students (including PhD students).Academic staff and staff at UK charities are also eligible for a reduced rate of 1,250. GBP 1575: Standard rate

Scholarships
Previous students of LSE may be eligible for a 15% discount on their tuition fees.

London School of Economics
Address: Houghton Street
Postal code: WC2A 2AE
City: London
Country: United Kingdom
Website: http://www.lse.ac.uk/study/summerSchools/Methods/home.aspx
E-mail: summer.methods@lse.ac.uk
Phone: +44 (0)20 7955 6422