Time Series Data Analysis and Modelling using STATA
ENDED
Workshop by
Indepth Research Institute (IRES)
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Details
The course will show how economic and financial time series can be modeled and analyzed. The aim is to provide understanding and insight into the methods used, as well as explaining the technical details. Statistical modeling will be demonstrated
using the Stata Software and participants will be given the opportunity to use Stata in class. Statistical modeling will be demonstrated using the Stata Software.
Outline
- Introduction
- Stationary time series
- Unobserved components and signal extraction.
- Time Series Models
- ARIMA models
- Structural time series models
- Explanatory variables and intervention analysis
- State space models and the Kalman filter.
- Signal extraction.
- Missing observations and other data irregularities
- Spectral analysis
- Spectra of ARMA processes; stochastic cycles; linear filters; estimation of spectrum
- Trends and cycles
- Analysis of the effects of moving average and differencing operations
- Hodrick-Prescott and band-pass filters. Seasonality
- Multivariate time series models
- Common trends and co-integration; control groups
- Nonlinear models. Financial econometrics; distributions of returns, stochastic volatility and GARCH
- Dynamic conditional score models
- Multivariate volatility models.
Schedules
May 08, 2023 - May 12, 2023
ENDED
| Weekdays | 08:00 AM — 03:00 PM |
| No. of Days: | 5 |
| Total Hours: | 35 |
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Indepth Research Institute (IRES) is a global capacity building and corporate training provider headquartered in Nairobi Kenya. We build the capacity of people, processes and systems for organizational success and growth as well as nurturing a thriving ecosystem. We do this through our four line of services; Data Analytics, strategy and management solutions; Training and development; Digital innovation and Enterprise systems and organizing Experiential Tours.
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