The course will cover the following:
- Day 1: Univariate Time Series Model -
- Stochastic processes and time series. Stationarity, autocorrelation, normality.
- Univariate time series models: Moving Average (MA), Autoregressive (AR), Autoregressive Moving Average (ARMA) and Autoregressive Integrated Moving Average (ARIMA) models. The Box&Jenkins approach.
- Forecasting with ARMA models.
- Empirical application: Analysis of the features of time series. The Box&Jenkins approach in practice.
- Unit root nonstationarity and main unit root tests: Augmented Dickey Fuller (ADF) and Phillips-Perron tests.
- Equilibrium (error) correction model.
- Spurious regression versus cointegration .
- The Engle&Granger two-step procedure for modelling cointegrating relationships.
- Empirical application: Estimating dynamic models and error correction models for nonstationary economic data.
- Day 2: Multivariate Time Series Models -
- Stationary Vector Autoregression (VAR) modelling.
- Structural vector autoregression (SVAR).
- Granger causality.
- Impulse response function analysis.
- Empirical Application 2: Modelling the relationship between economic and financial stationary variables.
- Non-stationary and cointegrated VARs
- The Johansen’s approach to multivariate cointegration.
- Empirical application 2: Modelling long-run relationships in economics and finance.
Course Agenda (Subject to minor changes)
- 08:45-09:15 - Registration *Only for Course 1*
Arrival and Registration from 9am for Courses 3-6.
- 09:30-11:00 - Session 1
- 11:00-11:15 - Tea/coffee break
- 11:15-12:45 - Session 2
- 12:45-13.45 - Lunch
- 13:45-15:15 - Session 3
- 15:15-15:30 - Tea/coffee break
- 15:30-17:00 - Session 4
- Basic knowledge of Stata is assumed.
- The course is based on the textbook by S. Boffelli and G. Urga (2016), Financial Econometrics Using Stata, Stata Press Publication.
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.