Flexible learning
Online postgraduate courses
Automatic Model Selection Methods
Please note to take this course you must first have completed Foundations of Econometrics
The purpose of this course is to provide students with an introduction to automatic model selection and its limitations and uses in practical econometric modelling. In addition, the course introduces saturation estimation techniques and considers other approaches.
This module can be taken as part of a PG Certificate, PG Diploma or Full Masters Program.
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- 10 Credits
- 100 hours of study
- 15 contact hours
- 85 hours for private study
Faculty
Structure
Structure
Automatic Model Selection Models is an elective 10 credit course and therefore students are expected to input approximately 100 hours of study into the course.
The total number of contact hours is 15 hours. This leaves 85 hours for private study.
Lectures
This module consists of 2 - hour lectures per day for 5 days, plus a 1 - hour tutorial per day.
There will be optional clinics on the last day of the course.
The dates of each lecture are confirmed closer to the start of each term. If you have any questions about dates, please contact edu@timberlake.co.uk.
OxMetrics 9
Module Programme
Theory
- Theory of reduction and model evaluation
Practice and algorithms
- Introduction to automatic model selection; understanding Autometrics
Practice of automatic model selection
- Empirical modelling with automatic model selection in action
Saturation methods
- Impulse indicator and other saturation methods
Extensions and different approaches
- Further uses of automatic model selection and alternative methods
Prerequisites
English Language Requirements
Both Programmes are open to applicants anywhere in the world. We may ask applicants to provide a recognised English language qualification, dependent upon their nationality and where they have studied/worked previously.
The requirement is an IELTS (Academic) Test with an overall score of at least 6.5, and a minimum of 6.0 in each element of the test. We will also consider other English language qualifications. If their score is below our requirements, they may be eligible for one of Lancaster University's pre-sessional English language programmes.
Academic Requirements
Applicants to the Postgraduate Certificate of Achievement, Postgraduate Certificate, Postgraduate Diploma or full MSc in either programme require either an upper second-class degree in economics, econometrics or related subjects.
Learning Outcomes
- Theoretical properties of automatic model selection
- Using and understanding results from the Autometrics algorithm in PcGive
- Have a basic understanding of the Autometrics algorithm
- Saturation estimation, such as indicator, step, and trend indicator saturation
- Alternative Lasso based methods.
- Use automatic model selection to build econometric models
- Use saturation estimation
- Present, interpret and analyse the results of automatic model selection
- Utilise effectively PcGive and the R gets package packages
Frequently Asked Questions
All sessions are conducted live and online at a scheduled time, but are also recorded. Students may attend live and watch the recordings back to recap the material or watch the recordings only if unable to attend live. We always advise students to attend live where possible as this will allow them the best opportunity to engage with the content and ask the lecturer's questions.
All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.
No, all necessary software is provided to students.
All courses are recorded and available on the LUMS internet platform throughout the current academic year. They can therefore be viewed 24 hours a day.
Timberlake Consultants and Lancaster University Management School (LUMS) Economics department have a longstanding partnership; combining 40+ years of industry expertise with over 50 years of academic excellence. We are delighted to build on this with our micro-credential postgraduate courses.
Flexible learning
Online postgraduate courses
Specialist courses
Best-in-field experts
Tailored learning
Career-oriented education
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Flexible learning
Online postgraduate courses
Specialist courses
Best-in-field experts
Tailored learning
Career-oriented education