Econometric analysis of cointegration
The course provides delegates with knowledge of appropriate modelling techniques for time-series data when unit roots are present in the data (ie data is non-stationary), a problem that applied economists encounter in almost all economic time-series applications. An initial understanding of the common technical characteristics of time-series data is provided, and the concept of stationarity is formally defined, together with a discussion of its implications for ordinary least square estimation. Attention is also given to the advanced econometric techniques of cointegration and error correction models, with the emphasis on their empirical application, and the notion of multivariate cointegration is discussed and applied.
The course takes place in a computer lab. Delegates use Eviews version 8 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; and
- apply the advanced econometric techniques of cointegration and error-correction modelling, specially in the multivariate context.
The course covers the following topics:
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)
Who should attend?
The course is relevant for researchers and analysts in all fields of economic application: business, financial markets, socio-economics and health, development economics, public finance and tax policy, as well as international trade and finance.
Time: 08:00 - 17:00
Venue: Main Campus of University of Pretoria, Pretoria
Cost: R16300.00 pp incl VAT
More info:
Main Campus of University of Pretoria; Hatfield; Pretoria
Date: 16 November 2015 to 20 November 2015
Time: 07:30 - 16:00
Venue: Main Campus of University of Pretoria, Pretoria
Cost: R16300.00 pp incl VAT
More info:
Main Campus of University of Pretoria; Hatfield; Pretoria