This Skills Development Training Programme in Time-Series Econometrics is tailored for academics, practitioners and postgraduate students (Masters and PhD) with limited training in econometrics and quantitative methods. It aims to enhance participants’ proficiency in time-series econometric techniques.
Course Overview:
Participants engage in both theoretical learning and practical applications using EViews and RStudio. The programme provides foundational knowledge in time-series econometrics, ensuring that participants can apply these techniques in empirical research.
Assumed Prior Knowledge:
Participants should be comfortable with basic statistical methods, including the calculation of means, standard deviations, and hypothesis testing (t, z, and F tests). A basic understanding of matrix algebra is recommended. While EViews and R software will be utilised for practical demonstrations, no prior experience with the software is required.
Topics Covered:
- Research orientation and the econometric approach to analysis
- Time-series econometrics (Part 1)
- Data generating processes (DGP), Unit root testing,
- Co-integration, ECM, ARDL estimation, diagnostic testing
- Time-series econometrics (Part 2)
- VAR, impulse response functions (IRFs) and variance decomposition
- Multivariate co-integration, exogeneity and causality, model identification
- Volatility models (ARCH, GARCH, GARCH-M)
Instructor
Reneé van Eyden is a Professor of Economics at the University of Pretoria and a researcher with academic expertise in developing, presenting, and coordinating courses in economics and econometrics. She has served as secretary of the African Econometric Society and has been appointed to Skills Development Projects for the United Nations (Project LINK), the German Development Agency GIZ, Economic Research Southern Africa, South African Reserve Bank, and Enterprises at UP. Her research experience includes applied macroeconomic analysis, macroeconomic modeling, and development economics, with a special interest in the role of human empowerment and institutional quality in economic development, prosperity, and liberal democracy.
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