Large datasets are becoming increasingly available to researchers and practitioners in many disciplines. In particular, during this "big data" revolution the analysis of high-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.

Period
18-08-2014 - 22-08-2014 (1 weeks)

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
0.0 ECTS creditsThe 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.

Course fee
GBP 890[Convert to USD]Academic rate - available to students and staff of academic institutionsGBP 1500[Convert to USD]Standard rate

Course leader
Mr Matteo Barigozzi

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