Amsterdam, Netherlands

Econometrics and Data Science Methods for Business, Economics and Finance

when 15 August 2022 - 19 August 2022
language English
duration 1 week
credits 3 EC
fee EUR 1000

Given the interdisciplinary nature of the summer school, we will begin with a review of basic methods in econometrics, data science, structural modeling and time series. Practical cases are developed for different purposes in the fields of business, economics, and finance. For each topic, we cover both the theory and methodology, as well as hands-on applications with real data. In particular, we illustrate their use and their importance for all practical purposes, we implement the basic methods in a computer lab, and we assess their performance in a real data setting.

Participants will work in small groups to develop (a) structural models for the support of marketing and pricing decisions in business, (b) designing time series models for macroeconomic forecast, (c) a case on extracting and forecasting signals from noisy business data using the Kalman filter, and (d) a case on incorporating vast data resources for measuring and nowcasting current economic activity.

Course leader

Siem Jan Koopman, Professor of Econometrics at the Department of Econometrics, Vrije Universiteit Amsterdam and
Francisco Blasques, associate professor of econometrics at Vrije Universiteit Amsterdam.

Target group

The summer school welcomes (research) master students, PhD students, post-docs and professionals from all disciplines and industries (finance, economic policy, business studies) with a quantitative background and who are interested in learning state-of-the art econometrics, data science, and time series methods.

Course aim

This summer school will cover fundamental topics in econometrics and data science. The content ranges from predictive and causal methods for time-series analysis, to state-space methods and filtering techniques for high-dimensional datasets. Participants will learn how to design, test and evaluate quantitative models and methods in Business, Economics and Finance.

Credits info

3 EC
Participants who joined at least 80% of all sessions will receive a certificate of participation stating that the summer school is equivalent to a work load of 3 ECTS.

Fee info

EUR 1000: PhD and Master Students € 1.000
The course fee covers tuition, course materials, daily lunches and coffee/tea during short breaks, social event including a dinner and farewell drinks. The course fee does not include accommodation. Please ask us about discount options for a student hotel.
EUR 1500: PhD and Master Students € 1.000
Academics (incl postdocs) € 1.500
Professionals € 2.000
The course fee covers tuition, course materials, daily lunches and coffee/tea during short breaks, social event including a dinner and farewell drinks. The course fee does not include accommodation. Please ask us about discount options for a student hotel.

Register for this course
on course website