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 errorcorrection models are revised in single equations (residual-based co-integration), with emphasis on their empirical application; and the notion of multivariate co-integration is discussed and applied.
Learning outcomes:
The course takes place in a computer lab. Delegates use Eviews version seven 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.
Delegates complete an open-book evaluation on the last day of the course. A certificate will be awarded upon successful completion of the course.
Course content:
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)
Entry requirements:
This is an advanced course and requires an Honours level qualification in time-series Econometrics (including knowledge of the concepts of unit root testing and residual-based (Engle-Granger) cointegration, as these are merely included as revision). An understanding of matrix algebra is essential as well as experience as a researcher or analyst in any of the fields of economic application. Proficiency in EViews is also advised. Important note:This course overlaps with the course "Econometrics for the Practitioner" in terms of content. Unit root testing and residual-based cointegration techniques are covered in both courses. It is therefore not advised to attend both these courses.
Date: 16 November 2015 to 20 November 2015Time: 08:00 - 16:00
Venue: University of Pretoria, Main Campus, Pretoria
Cost: R16,300 (VAT incl.)