Vector Autoregression (VAR) Analysis using EViews (Dubai)

Sofitel, Downtown Dubai 2 days (22nd May 2019 - 23rd May 2019) EViews Intermediate
Econometrics, Time series

Overview

This two-day course covers essential VAR estimation and analysis using EViews.

Day 1 introduces how to model and test for the presence of various time series properties (trend, seasonality, volatility, and correlation) using single-equation methods. Also discussed is how and why we should differentiate between deterministic and stochastic properties. Unit root tests and selected approaches to modelling variability are presented and compared. The course also looks at model and lag selection criteria, and adjusts the interpretation of the estimated coefficients to the presence of lagged variables.

In Day 2, both the restricted and unrestricted VAR models are intuitively explained, along with an introduction to post-estimation techniques such as impulse response and variance decomposition. Subsequently, residual-based and Johansen methods of detecting co-integration are discussed. The last part of the course addresses the short run dynamics in the presence of co-integration as well as VAR forecasting techniques. The topics are presented intuitively without theoretical derivations, and are demonstrated using real data.

Course Agenda

Day 1

Session 1:

  • Autocorrelation
  • Modelling trend
  • Modelling seasonality
  • Examples

Session 2:

  • Spurious regression
  • Structural change
  • Stationarity
  • Examples

Session 3:

  • Unit root tests
  • Modelling volatility
  • Examples

Session 4:

  • Dynamic (short and long term) effects
  • Model assessment using information criteria
  • Lag length selection
  • Examples

Day 2

Session 1:

  • VAR estimation
  • Impulse response analysis
  • Variance decomposition
  • Examples

Session 2:

  • TCo-integration
  • The Engle-Granger approach to co-integration
  • The Johansen approach to co-integration
  • Examples

Session 3:

  • Hypothesis testing: Causality
  • Structural decomposition
  • Structural VAE estimation
  • Examples

Session 4:

  • Error correction models
  • Forecasting with VAR
  • Examples

Principal texts for pre-course reading

  • Applied Econometric Time Series. Walter Enders. Wiley
  • EViews Illustrated. Richard Startz. IHS Global.
  • Quantitative Macroeconomic Modelling with Structural Vector Autoregressions – An EViews Implementation.
  • Elements of forecasting. Francis Diebold. Thomson/South-Western

Daily Timetable

Subject to minor changes

08:45-09:15   Arrival and Registration
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

Prerequisites

  • Exposure to introductory regression concepts and to data management using 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.
  • 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 AED120 per day.
  • If you need assistance in locating hotel accommodation, 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
    22-23 May 2019 (22/05/2019 - 23/05/2019)

All prices exclude VAT or local taxes where applicable.

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