CEMFI Advanced Training School
The CEMFI Advanced Training School offers programs designed for professionals seeking to update and expand their expertise in CEMFI’s core areas. Each edition offers a focused series of courses on a specific topic. While the courses are self-contained and can be taken individually, they are designed to form a cohesive sequence that ensures comprehensive and effective learning.
Courses run for one week in the late afternoon, making them ideal for working professionals. Most courses combine theory with hands-on practice, and the full sequence unfolds over several consecutive weeks.
First Edition: Econometric Tools with Applications to Financial Analysis
Our inaugural edition focuses on Econometric Tools with Applications to Financial Analysis, featuring three one-week courses offered on the weeks of November 17, November 24, and December 1, 2025. The courses form a coordinated sequence to maximize learning, but can also be taken individually.
Program Format
- Limited to 10-30 participants for personalized learning.
- Three sequential courses offered as part of a structured learning sequence.
- Theory lectures are complemented with practice sessions that provide hands-on reinforcement of the material.
- Schedule:
- Theory sessions: Monday through Friday, 5:00 PM to 7:00 PM
- Practice sessions: Tuesday and Thursday, 7:30 PM to 8:30 PM
Dates: 17th November 2025
Hours: Monday to Friday from 17:00 to 19:00. Practical Sessions on Tuesday and Thursday from 19:30 to 20:30
Format: In person
Intended for
Professionals working mainly in the finance sector who want to refresh their knowledge on basic concepts in statistics and econometrics and learn new techniques to describe data.
Prerequisites
Basic statistics and econometrics at an undergraduate level.
This course provides students with tools, methods, and skills to answer data-focused, real life questions, with a focus on providing preliminary evidence to support better decisions in finance.
The practical sessions will illustrate the topics with examples for better understanding. The Statistical software package Stata will be used as an econometric tool to apply the techniques shown.
- Basic distributions: binomial/multinomial distribution, Normal, gamma and uniform/beta.
- Regression analysis: simple and multiple linear regression. OLS inference. Non-linear regressions.
- Regressions with discrete dependent variables: linear probability model, logit and probit.
- Other non-linear models: quantile regression and duration analysis.
- Predictions with big data: LASSO/ridge regression and logistic classification analysis.
- Static panel data: unobserved heterogeneity. Within and between variation. Fixed and random effects.
- Professor: Julio Galvez
Dates: 24-28 November 2025
Hours: Monday to Friday from 17:00 to 19:00. Practical Sessions on Tuesday and Thursday from 19:30 to 20:30.
Intended for
Professionals working in the financial sector who want to learn econometric techniques applied to economic forecasting, portfolio management, financial consulting, and risk control.
Prerequisites
While the theoretical classes will be largely self-contained, a basic knowledge of econometrics and financial theory at the undergraduate level is recommended.
The use of quantitative methods in financial markets has experienced extraordinary growth over the last four decades. Today, financial professionals routinely use sophisticated statistical techniques, many of which are at the forefront of academic research. The purpose of this course is to present some of the most important econometric methods that are commonly used in financial markets, with a particular focus on studying their dynamic aspects and their relationship with macroeconomic magnitudes.
The practical sessions will illustrate the topics with examples for better understanding. The Statistical software package Stata will be used as an econometric tool to apply the techniques shown.
- Univariate linear time series models: ARMA and unit roots.
- Multivariate linear time series models: VAR, cointegration, and impulse-response analysis.
- Linear state space models: Kalman filter, dynamic factor models.
- Volatility and correlation: GARCH and stochastic volatility, principal components, and other covariance structures.
- Beyond second moments: extreme values, copulas, and nonlinear dependence.
- Professor: Enrique Sentana
Dates: 1-5 December 2025
Hours: Monday to Friday from 17:00 to 19:00. Practical Sessions on Tuesday and Thursday from 19:30 to 20:30
Intended for
Professionals working, mainly, in the finance sector who want to learn current techniques for determining causal relationships between variables, beyond simple correlation.
Prerequisites
Basic knowledge of probability and statistics is required. The course can be followed easily by those who have an undergratuate degree in economics, statistics, or related fields.
The course provides a comprehensive approach to causal inference, starting by explaining the problems faced by researchers and then breaking down the various techniques that have been proposed to solve them. The purpose of the course is to provide professionals with an overview of current techniques for evaluating the effect of an intervention on a certain economic outcome so they can identify which one is most suitable for addressing the specific problem they are facing. Given the extensive nature of the topics covered, it will not be possible to treat each result in great detail; however, relevant references will be provided for those who wish to delve deeper into each topic.
The practical sessions will illustrate the topics with examples for better understanding. The Statistical software package STATA will be used as an econometric tool to apply the techniques shown.
- Instrumental Variables
- Dynamic Models of Panel Data
- Policy Evaluation
- Randomized Experiments and Natural Experiments
- Matching Techniques
- Sintetic Control Methods
- Event Studies
- Diferences in Differences
- Regression Discontinuity
- Professor: Gabriel Jiménez Zambrano