Applied Time Series Analysis and Forecasting with Stata and R

online course

In order to understand the complicated economic, financial and business environment, it is vital to be able to quantify and analyze economic, financial and business data competently. Time series analysis is one of the most comprehensive approaches to achieve this goal. The purpose of this course is to address the linear regression model with particular focus on autocorrelation, stationarity, integration and cointegration, and then introduce, based on this, four additional, specialized topics of time series analysis and forecasting: (1) the autoregressive moving average (ARMA) approach, (2) the vector autoregression (VAR) approach, (3) the cointegration approach (VECM), and (4) the volatility modelling approach (GARCH). The course is very much practically oriented; the methodological concepts are applied to actual data through various examples and case studies in economics, finance and business.
For more information please see our website.

Course leader

Miroslav VERBIC, University of Ljubljana, School of Economics and Business, Slovenia

Target group

Doctoral Winter School is an online programme with courses intended for PhD students, post-docs, academics and professionals from different areas and all around the world.

Course aim

Objectives and competences of the course are the following: (1) to improve and expand the knowledge of quantitative skills with time series regression methods; (2) to develop the capability to choose appropriate techniques for time series analysis of various relationships in economics, finance and business; and (3) to develop the capability to correctly interpret the analytical results obtained or found in economics, finance and business. After completing this course, the student should be able to set up independently the research problem and perform the applied time series regression analysis.

Credits info

4 EC
Participants who need ECTS credits for their PhD studies, can obtain an official Transcript of records upon completion of all course obligations with passing final examination/assesment.

Fee info

EUR 600: For more information please see our website.

Scholarships

No.