Event: Time Series Analysis and Modelling Course
Venue: Indepth Research Services, Nairobi, Kenya.
Event Date: 23rd – 27th October, 2017.
NITA CERTIFIED
INTRODUCTION
The course will show how economic and financial time series can be modeled and analyzed. The aim is to provide understanding & insight into the methods used, as well as explaining the technical details. Statistical modeling will be demonstrated using the Stata Software & participants will be given the opportunity to use Stata in class. Statistical modeling will be demonstrated using the Stata Software.
DURATION
5 Days
WHO SHOULD ATTEND?
Participants are expected to have attended the previous course on Data Management, Graphics & Statistical analysis using Stata or to be familiar with Stata software.
OBJECTIVES
• Understand the definitions, features and objectives of time series modeling.
• Understand descriptive analysis of time series, plots, aggregation, smoothing and regression techniques.
• Understand and conduct periodic regression and ARIMA modeling using stationary time series.
• Using ARIMA modeling (Box & Jenkins), understand and use auto-correlation functions and partial auto-correlation functions to study how much an observation at a given time is related to observation at previous lags.
TOPICS TO BE COVERED
• 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.
Visit our website for more details. indepthresearch.org
Tailor-Made Training
This training can also be customized for your institution upon request to a minimum of 4 participants. You can have it delivered in our training centre or at a convenient location.
How to participate
Tailors make your course.
Register individual.
Register as a group.
Become one of our partners.
Purchase software’s
Frequently asked Questions (FAQ’s)
View related courses
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• Processing and Analysis of Data for Surveys/Assessment (Methodology and Softeware) Course
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For further inquiries, please contact us on Tel: +254 715 077 817, +254 (020) 211 3814, +254 731240802, +254 735331020.
Email outreach@indepthresearch.org