Econometrics: time series analysis - course 1800 rub. from Open education, training 4 weeks, about 6 hours per week, Date November 29, 2023.
Miscellaneous / / December 01, 2023
The course “Econometrics: Time Series Analysis” was prepared by employees of the Faculty of Economics and the Center for Econometrics and Business Analytics of St. Petersburg State University.
The purpose of the course is to train students in modern methods of econometric modeling of univariate time series. The objectives of the course are: to develop students’ understanding of the methodology of empirical research and the possibilities of econometric models and the limits of their application, as well as developing skills in working with real economic data.
The course includes four modules.
The first module introduces the basic definitions, concepts and models associated with time series.
The second module, devoted to methods of analysis and forecasting of stationary and integrated time series, examines the ARMA and ARIMA models.
The third and fourth modules are devoted to the theory of non-stationary processes, as well as methods for testing the hypothesis of non-stationarity (or stationarity) of a time series.
The course videos contain theoretical material and analysis of practical cases. In additional materials, students can find practical cases made in the R, Stata and Gretl packages.
The course contains an individual project, the implementation of which will allow you to consolidate and generalize the acquired knowledge. The course will be useful for bachelors, masters, graduate students, data analysts and anyone interested in this topic.
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courseCandidate of Physical and Mathematical Sciences Position: Associate Professor, Head of the Department of Information Systems in Economics
Education Faculty of Mathematics and Mechanics of St. Petersburg State University, specialty “Probability Theory and Mathematical Statistics”, qualification “Mathematician. Mathematics teacher", 1998
4 weeks, about 6 hours per week,
Start 29th of November