Training Calendar

Time Series Analysis & Modelling using Stata

TBC 2 days (11th June 2020 - 12th June 2020) Stata Intermediate, Introductory
Econometrics, Time series


The course will cover the following:

- Day 1: Univariate Time Series Model -
Sessions 1&2:
  • 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.

Sessions 3&4:

  • 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 -
Sessions 5&6:
  • 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.

Sessions 7&8:

  • 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.

  •  CommercialAcademicStudent
    2 Day Pass (11/06/2020 - 12/06/2020)

All prices exclude VAT or local taxes where applicable.

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