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Econometrics Using Stata (II)

Delivered by:
Course Code:
Monday, 7 - Wedneday, 9 September 2015
Cass Business School, City University London, UK (View map)
Econometrics & Statistics
Prof. Christopher F. Baum, Boston College (View profile)
Cass Business School, City University London Stata  Stata 13    Timberlake Consultants | Statistics | Econometrics | Forecasting
Overview Agenda Prerequisites Testimonials Prices Registration Terms & Conditions  


Timberlake Consultants invite you to attend the Econometrics Using Stata, a three day course to be held at Cass Business School, City University London, UK on 7-9 September 2015. The course will be delivered interactively using Stata 13.

Prof. Christopher F. Baum is Professor of Economics and Social Work at Boston College, and DIW Research Professor at the Department of Macroeconomics, DIW Berlin, Germany. He is also a key Stata author (including An Introduction to Stata Programming), and leads this course that starts with an overview of Stata and using Stata for Data Management, including working with the command line and reading/writing external data. This is followed by sessions on estimation and forecasting: OLS, IV, IV-GMM; panel data estimation and forecasting; time series estimation and forecasting; and finally automation and programming using Stata (including an introduction to Mata).


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Learning Ratio

  • The course has an approximate 50:50 ratio with regards to the level of theory and practical taught.

Day 1

Session 1 (3 hours): Using Stata for Data Management and Reproducible Research

  • Overview of the Stata environment;
  • Working with the command line;
  • Data management: principles of organisation and transformation;
  • Reading external data;
  • Writing external data;
  • Combining data sets;
  • Reconfiguring data sets.

Session 2 (3 hours): Estimation and Forecasting: OLS, IV, IV-GMM

  • Linear regression methodology;
  • Regression with indicator variables;
  • Using factor variables;
  • Computing and graphing marginal effects;
  • Instrumental variables estimators;
  • Tests of overidentifying restrictions;
  • Testing for i.i.d. errors in an IV context;
  • Nonlinear least squares estimators;
  • Ad hoc GMM estimation.

Day 2

Session 3 (3 hours): Panel Data Estimation and Forecasting

  • Panel data management;
  • Estimation for panel data;
  • Fixed effects, between effects, random effects models;
  • First difference models;
  • Seemingly unrelated regressions (SURE) models;
  • Ex ante forecasting from SURE;
  • Instrumental variables panel models;
  • Dynamic panel data (DPD) models and diagnostics;
  • Ex ante forecasting from DPD.

Session 4 (3 hours): Time Series Estimation and Forecasting

  • Time series data management;
  • Rolling-window estimation;
  • Structural break models;
  • Time series filtering;
  • Unobserved components models;
  • ARIMA and ARMAX models;
  • ARCH, GARCH, MGARCH models;
  • Vector autoregressive models;
  • Vector error correction models;
  • Stata’s additional capabilities for time series data.

Day 3

Session 5 & 6 (full day): Automation and Programming with Stata

  • Programming with do-files;
  • Do-file programming: recipes;
  • Programming with ado-files;
  • Ado-file programming: developing a Stata command;
  • Programming ml, nl, nlsur, gmm function evaluators;
  • Programming egen functions;
  • Introduction to Mata;
  • Mata language elements;
  • Design of a Mata function;
  • Mata programming: interfacing with Stata;
  • Some examples of Stata-Mata routines.

Reading materials before/after the course


These books (and other Stata Press Books) are available to purchase from the course at a 20% discount off the price quoted on our website.

Time Series Forecasting

Instrumental Variables

These are also freely available from the Stata Journal web site.


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An introductory knowledge of Stata and econometric theory is required. Christopher Baum will be developing the OLS regression model which will act as a refresher for your knowledge however when talking about more advanced econometric techniques, it will help if delegates have seen them before in some context, so more exposure to econometrics is certainly advantageous. A reading list to help you prepare for the course but also to use after the course is given below. It is advised that you read some of the material beforehand to familiarise yourself with the material.


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Feedback & Testimonials

Delegates feedback from the 2013 course, answering "What did you find most useful about the course?":

    " Automation and programming using Stata"
    "All the syntaxis we learnt."
    "Worked examples of Stata code."
    "The comprehensive coverage and detailed explanation, illustrations, etc."
    "Many different methods were mentioned."
    "Examples of Stata code, theory background of methods."

    "Comprehensive overview of many different techniques and commands and some really great user packages."

    "Panel estimation and detailed notes on the slides."



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Cost (per participant):

Registration type Price (inc. VAT)
Commercial / Government £1,620.00 Purchase Training Button
Academic / Non-profit research £1,260.00 Purchase Training Button
Student registrations £540.00 Purchase Training Button
Click here for Pricing FAQs »
  • Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
  • Additional discounts are available for multiple registrations.
  • Cost includes course materials, lunch and refreshments.
  • Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course. (Alternatively, we can also provide laptops free of charge to attending delegates).
  • If you need assistance in locating hotel accommodation in the region, please notify us at the time of booking.

The number of delegates is restricted. Please register early to guarantee your place.


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We welcome delegates to find out more and register for the course by contacting our sales and training team either by email: training@timberlake.co.uk, phone: +44 (0) 20 8697 3377 or by filling out an online registration form.


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Terms & Conditions

For full Training Courses Terms & Conditions please click here.

Payment of course fees required prior to the course start date.

Registration closes 5-calendar days prior to the start of the course.

  • 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
  • 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
  • No fee returned for cancellations made less than 14-calendar days prior to the start of the course.


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Last modified: 2014-12-12 14:40:06
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