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Time-Series Analysis Using Stata

Description

This course reviews methods for time-series analysis and shows how to perform the analysis using Stata. The course covers methods for data management, estimation, model selection, hypothesis testing, and interpretation. For univariate problems, the course covers autoregressive moving-average (ARMA) models, linear filters, long-memory models, unobserved components models, and generalized autoregressive conditionally heteroskedastic (GARCH) models. For multivariate problems, the course covers vector autoregressive (VAR) models, cointegrating VAR models, state-space models, dynamic-factor models, and multivariate GARCH models. Exercises will supplement the lectures and Stata examples.

Price: $1,295   Enroll now

We offer a 15% discount for group enrollments of three or more participants.

Course topics

  • A quick review of the basic elements of time-series analysis
  • Managing and summarizing time-series data
  • Univariate models
    • Moving average and autoregressive processes
    • ARMA models
    • Stationary ARMA models for nonstationary data
    • Multiplicative seasonal models
    • Deterministic versus stochastic trends
    • Autoregressive conditionally heteroskedastic models
    • Autoregressive fractionally integrated moving average model
    • Tests for structural breaks New
    • Markov switching models New
  • Introduction to forecasting in Stata
  • Filters
    • Linear filters
    • A quick introduction to the frequency domain
  • The univariate unobserved components model
  • Multivariate models
    • Vector autoregressive models
    • A model for cointegrating variables
  • State-space models
  • Impulse response and variance decomposition analysis New
  • Dynamic-factor models
  • Multivariate GARCH

Prerequisite

A general familiarity with Stata and a graduate-level course in regression analysis or comparable experience.

Next session

Course Dates Location Cost Enroll
Time-Series Analysis Using Stata March 29–30, 2017 New York, NY $1,295 Enroll

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Notes

Enrollment is limited. This course is offered in both classroom and web-based settings.

Classroom training courses are two-day courses that run from 8:30 a.m. to 4:30 p.m. each day. These courses take place at a training center where computers with Stata installed are provided. A continental breakfast, lunch, and an afternoon snack will also be provided; the breakfast is available before the course begins.

Web-based training courses are four-day courses that run for three and a half hours each day. You will be provided with a temporary Stata license to install on your computer, a printed copy of the course notes, and all of the course datasets so that you can easily follow along. Learn more about how our web-based training courses work, watch a video demonstration, and find technical requirements for participating in this type of training.

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