PhD Seminar with Harald van Heerde and Valentyna Melnyk, Massey University
This workshop runs from Wednesday 28 June (around 1pm) till Friday 30 June (around 5pm). The workshop covers Dynamic Linear Models. These are essentially linear regression models with time-varying parameters. The workshop will cover model specification and estimation (using Bayesian techniques) as well as marketing applications.
We will use the software package Gauss for coding your own DLM program. The code you will develop through a set of exercises will estimate DLMs based on both artificial data and actual data. The reason for Gauss is that it is a matrix language that has a direct match with the calculations that need to be made. In addition, the instructor (van Heerde) has all his code in Gauss and he has a lot experience in Gauss. If you prefer to use another package such as R, Matlab or Stan, you are free to do the exercises in this package.