This online intensive course provides a comprehensive introduction to time series analysis and forecasting with EViews. The course offers a full overview on time series models and forecasting methods, covering a variety of different models including ARMA, ARDL, Regime Switching models, GARCH models and Midas time series regressions. Each session briefly introduces the different methodologies, discussing strengths and weaknesses with a focus on the interpretation of the results.
Taking a “learning-by-doing” approach, we present the most relevant time series models employing plenty of financial and macroeconomic data examples. The course specifically focuses on forecasting methodologies in macro econometrics and financial econometrics. Participants leave with the know-how on a wide range of time series models and the ability to identify which one to use for a specific modelling and forecasting purpose.
The course is intentionally flexible. The agenda emerges dynamically and depends on the group’s prior background and knowledge of EViews. By the end of the two-day on line course participants should be able to:
- Model and forecast from a univariate AR(FI)MA model
- Model and forecast from a univariate GARCH (including EGARCH, TARCH, APARCH and GJR models)
- Distinguish between stationary and nonstationary series and understand the implications of using nonstationary series;
- Build, estimate and forecast from univariate time series models using Eviews an compare the forecasting performances of the models
- Understand and critically evaluate recent research in time series