This 3-day course using EViews provides an essential review of the macroeconomic forecasting techniques. The course focuses on modern forecasting methods and is relevant whether you are from a central bank, government institution, hedge fund, commercial company or an academic researcher.
The course will cover:
- Time Series forecasting
- Stationary & non-stationary time series
- General to specific modelling
- Estimation and diagnostic testing
- Error Correction models
- Testing for cointegration
- Vector Autoregressions
Click here to view the full course agenda
Day 1 - Introduction to Time Series Forecasting
Session 1: Using EViews for Time Series Forecasting
- Data handling
- Constructing a model
- The order of differencing
- Identifying the AR and MA components
- Diagnostic checking
- Forecasting with the model
- Evaluating forecast accuracy
Practical Session 1: Estimation and Forecasting using a Single Time Series
Session 2: Stationarity and Forecasting
- Testing for stationarity
- The order of integration
- Trend stationarity
- The spurious regression problem
Practical Session 2: Dealing with Non-Stationary Time Series
Day 2 - Estimation
Session 3: Estimation and Diagnostic Testing
- Preliminary data investigation
- Estimation methods
- Simple regression
- Testing for misspecification:
- The test for serial correlation
- Test for heteroscedasticity
- Test for non-normality of the residuals
- Tests for stability
- Structural change
- General to specific modelling
Practical Session 3: Estimation and Diagnostic Testing
Session 4: Cointegration
- Error correction models
- The Johansen test
Practical Session 4: Testing For Cointegration
Day 3 - Modelling
Session 5: Vector Autoregressions
- Vector autoregressions
- Estimating a VAR
Practical Session 5: Estimating VAR Models and using the Johansen Test
Session 6: Setting up a Model and Generating Forecasts and Simulations
Practical Session 6: Constructing a Model
Pre-course Suggested Reading
- Enders, W., (2012). Applied Econometric Times Series, 3rd Ed., Wiley.
EViews Help Files
EViews PDF manuals provide detailed information regarding each topic. It is advised that all course attendees familiarise themselves with the software manuals in preparation for the course. Click here, to download the EViews Manuals (.zip) via the EViews website (48mb).
Post-course Suggested Reading
- Griffiths, W. E., Hill, R. C., and Judge, G.C., (1993). Learning and Practicing Econometrics, Wiley.
A comprehensive description of econometrics written with the practitioner rather than the theorist in mind.
- Charemza , W. W., and Deadman, D. F., (1997). New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression, 2nd Ed., Edward Elger.
This book reviews modern approaches to time series econometrics. It is strongest on the ’Hendry’ approach though the section on Vector Autoregressions is also well worth reading.
- Verbeek, M., (2000). A Guide to Modern Econometrics, Wiley.
A relatively advanced text which covers a lot of recent material.
- Dougherty, C., (2000). Introduction to Econometrics, 2nd Ed., Oxford University Press.
A useful basic text. This is pitched at the level of an undergraduate econometrics module.
- Gujarati, D., (1999). Essentials of Econometrics, McGraw-Hill International Editions.
Similar to Dougherty (see above). This is aimed at the undergraduate market but is also useful reference material for more advanced students.
- Mills, T. C., (1990). Time Series Techniques for Economists, Cambridge University Press.
This text has been around for a number of years now but its account of time series modelling - Box-Jenkins and VAR analysis - is still hard to beat.
- Mills, T. C., (1999) The Econometric Modelling of Financial Time Series, Cambridge University Press.
An excellent account of time series modelling of financial series from the point of view of the econometrician rather than the financial analyst.
- Campbell, J. W., Lo, A. W., and MacKinlay, A. C., (1997). The Econometrics of Financial Markets, Princeton University Press.
This is perhaps the standard work on the econometrics of financial markets.
- Kennedy, P. E., (2002). Sinning in the Basement: What are the Rules? The Ten Commandments of Applied Econometrics, Journal of Economic Surveys, 16(4), pp. 569-589.
A useful survey of how applied econometrics is actually done rather than how the textbooks say it should be done. See also the responses by Hendry, Magnus and Smith in the same edition.
- Gilbert, C. L., (1986). Professor Hendry s Econometric Methodology, Oxford Bulletin of Economics and Statistics, Vol 48, pp.283-307.
A good review of the general-to-specific methodology and the Hendry approach to econometrics.
The course assumes that attendees:
- Have an intermediate level University training (or equivalent) in econometrics is essential
- Have a basic knowledge of time series concepts such as ARMA models, stationarity vs. non-stationarity and forecasting
- Are familiar with the fundamental built-in functions available within EViews
Terms & Conditions
- 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 for a small daily charge).
- If you need assistance in locating hotel accommodation in the region, please notify us at the time of booking.
- 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.
The number of delegates is restricted. Please register early to guarantee your place.