Applied Econometrics using Matlab - 2-day Course

Thursday 5 August 2021, 9:00am to Friday 6 August 2021, 5:00pm


Live Online

Open to

All Lancaster University (non-partner) students, Alumni, External Organisations, Postgraduates, Prospective Postgraduate Students, Public, Staff


Cost to attend - booking required

Registration Info

Registration Costs - Further Details 

Ticket Price

PhD Students £ 300 Academics £ 600 Practitioners £ 950

Event Details

This course provides the theoretical and computational foundations of applied econometrics using Matlab. Once completed the attendee should be able to write their own functions, handle various types of datasets, and apply a set of different techniques in the uni-variate and multivariate settings.

General Objectives:

Equip the attendee with the general knowledge to produce empirical research in the field of economic and finance using Matlab.

Specific Objectives:

  • Foundations of Matlab
  • Linear Regression Models
  • Hypothesis Testing
  • Limited Dependent Variables
  • Simultaneous Equation Models
  • Parametric and Non-parametric Estimations
  • Vector Auto-regressive Models
  • ARMA Models
  • ARCH Models

Program Structure:

  • Foundations of Matlab
  • Basic Syntax
  • Loops
  • Functions
  • Plotting
  • Linear Regression Models
  • Least Squares Algorithm
  • Col-linearity diagnostics
  • Outlier Diagnostics and Procedures
  • Model Selection
  • Hypothesis Testing
  • Limited Dependent Variables
  • Logit and Probit Regressions
  • Tobit Models
  • Simultaneous Equations Models
  • Two-stage Least Squares
  • Three-stage Least Squares
  • Seemingly Unrelated Regressions
  • Pooled OLS6
  • Parametric and Non-parametric Estimations
  • Simplex Algorithm
  • EM Algorithm
  • Classic Optimization Approaches
  • Vector Autoregressive Models
  • Estimation and Selection
  • VEC Models
  • Forecasting
  • ARMA Models
  • Estimation via:
  • Yule-Walker equation
  • Two-stage LS
  • MLE
  • Model Selection
  • Forecasting
  • ARCH Models
  • (G)ARCH Models
  • Estimation and Forecasting

Contact Details

Name Teresa Aldren

Telephone number