Econometrics Using Stata

  • Location: Cass Business School, Bunhill Row, London EC1Y 8TZ
  • Duration: 3 days (4th September 2017 - 6th September 2017)
  • Software: Stata
  • Level: Intermediate
  • Delivered By: Prof. Christopher F. Baum (Boston College)
  • Topic: Econometrics, Statistics
Econometrics Using Stata

Prof. Christopher F. Baum delivers this interactive 3-day Stata course to be held at Cass Business School, London on 4-6 September 2017.

Prof. Christopher F. Baum is Professor of Economics and Social Work at Boston College, and DIW Research Fellow at the Department of Macroeconomics, DIW Berlin, Germany. He is also a key Stata Press author, including  An Introduction to Modern Econometrics using Stata and An Introduction to Stata Programming, Second Edition. The course covers the the following essential Stata capabilities:

  • A brief overview of Stata
  • Using Stata for Data Management
  • Working with the command line
  • Reading/writing external data
  • Estimation and forecasting: OLS, IV, IV-GMM
  • Panel data estimation
  • Time series estimation and forecasting
  • Automation and programming using Stata (including an introduction to Mata)
All attendees of this course and are entitled to a free place at the 23rd Stata Users Group Meeting, held at Cass Business School, London on 7-8 September. To register for your free place, email

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 mlnlnlsurgmm 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 and 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.


  • An introductory knowledge of Stata and econometric theory is required.
  • The course covers 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.

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.
  • Attendees 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 an additional cost of £12.00 per day.
  • 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 seats available is restricted. Please register early to guarantee your place.

  •  CommercialAcademicStudent
    Regular pass (04/09/2017 - 06/09/2017)

All prices exclude VAT or local taxes where applicable.

* Required Fields

- +
Post your comment

Timberlake Consultants