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.

Prerequisites

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

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
• Filters
  • Linear filters
  • A quick introduction to the frequency domain
  • Band-pass and high-pass filters in Stata
• The univariate unobserved components model
• Multivariate models
  • Vector autoregressive models
  • A model for cointegrating variables
• State-space models
• Dynamic-factor models
• Multivariate GARCH

Next session

Currently, there are no scheduled sessions of this course. Receive notification of the next available training session.

Notes

Enrollment is limited. Computers with Stata installed are provided at all public training sessions. All training courses run from 8:30 AM to 4:30 PM each day. A continental breakfast, lunch, and an afternoon snack will also be provided; the breakfast is available before the course begins. All participants are encouraged to bring a USB flash drive to all public training sessions; this is the safest and simplest way to save your work from the session.