Outcomes
By the end of this training course, trainees will be able to :
- Understand basic econometric concepts, their application in economics and finance and their implementations using the EViews software.
- Identify ARMA modelling and forecasting, vector autoregressive model and impulse response analysis, cointegration and error-correction model estimation, and GARCH modelling of financial volatility.
Target Group
- Economic researchers; model builders; financial modellers; arbitrage traders; quantitative investment analysts; traffic modellers; budget analysts; financial analysts; market researchers; currency and interest rates strategists and policy planners and researchers.
Contents
- Why Econometrics Analysis ?
- Descriptive analysis.
- Ordinary Least Squares.
-Statistical issues:
- Multicollinearity:
-Detection.
-Remedial measures.
- Heteroscedasity:
-Detection.
-Remedial measures.
- Autocorrelation:
-Detection.
-Remedial measures.
- Granger causality.
-Time series analysis.
- Stationarity.
- Unit root tests.
- Autoregressive model (AR).
- Moving Average model (MA).
- Autoregressive moving average model (ARMA).