Course in econometric analysis of cointegration
This course addresses modelling techniques for time-series data when unit roots are present in the data. An overview of the technical characteristics of time-series data and the concept of stationarity is provided; the econometric techniques of co-integration and error correction models.
Course outcomes
The course takes place in a computer lab. Delegates use Eviews version 7 for practical applications.
After completion of this course, delegates will be able to:
- Understand and apply non-stationary time-series analysis
- Understand the concept of stationarity and unit root testing
- Apply the advanced econometric techniques of cointegration and error-correction modelling, specially in the multivariate context.
Delegates complete an open-book evaluation on the last day of the course. A certificate will be awarded upon successful completion of the course.
Outline of course content:
Overview of residual-based cointegration
1. Data generating processes
2. Stationary vs non-stationary time series
3. Cointegration in single equations (Enge-Granger)
4. Error-correction models (ECM)
Multivariate cointegration (focus of course)
1. Vector autoregressive (VAR) models
2. Impulse response functions and variance decompositions
3. Johansen cointegration methodology
4. Vector error-correction models (VECM)
Date: 06 June 2016 to 10 June 2016
Time: 08:30 - 16:00
Venue: Tukkiewerf, Pretoria
Cost: R16,790
More info:
Conference 100