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Introduction to Time Series Analysis & Forecasting using Stata
Date: Location: Course duration: Software: Level: Delivered by: Course Code:	8-10 July 2013 Subotnick Financial Services Centre, Zicklin School of Business, Baruch College, New York City, NY, USA 3-days Stata Introductory Prof. Robert A. Yaffe, New York University ST-134-USA

Course overview
Agenda
Who should attend
Mathematical background required
The principal lecturer
Prices
Registration
Terms & Conditions

Course Overview

The course assumes little mathematical background on the part of the participants. The course shows how to apply these techniques to real-life social science, economic, business, financial, and medical data, with many examples on the reporting and interpreting of the results. Participants are welcome to bring their own data.

Agenda

(Subject to minor changes)

Day 1

8:30am coffee and Registration

Introduction to Stata

Configuration of Stata
Free data sources
Variable construction ( including date and time variables, etc.)
Variable transformations
Missing value management
Codebooks
Dataset construction: cross-sectional, time series
File management (appending and merging)

Item analysis and Scale construction

Reliability and validity analysis

Data cleaning

Range and consistency checks
File comparison

Exploratory graphical visualization

Histograms, stem-and-leaf plots, bar graphs, dot-plots, line graphs, scatterplots, pie charts, reference lines, and annotation

Research Project planning

Power and sample size analysis
Hypothesis testing

Summary statistics for sample description
Categorical data analysis

Tabulations
Cross-tabulations

T-tests
ANOVA

Assumptions and tests for them
One-way ANOVA
Two-way ANOVA

Regression analysis

OLS
Assumptions and tests for them
Modeling strategies and critiques
General-to-specific, Hierarchical, All possible subsets and Bootstrapping

Robust regression

Heteroscedastically consistent estimation
Outlier down-weighting

Day 2

Basic Time Series Analysis Concepts

Definition of a time series
Cycles
Trends
Seasonality
Lags, leads, differences
Nomenclature
Expectation notation
Summation notation

Time Series Setup with Stata

Inputting time series data
Time-date functions and applications
Importing and exporting time series data
Graphing Time Series with Stata
Preliminary analysis of time series with Stata

Stationarity

Covariance stationarity
Strict stationarity
Dickey Fuller tests theory
Augmented Dickey-Fuller tests
- theory programming
Phillips-Perron test

Autocorrelation

Theory
Types
Characteristic ACF and PACF patterns
Programming the correlograms
Box-Ljung significance tests

Moving averages

Theory
Types
Characteristic ACF and PACF patterns
Programming the ACF and PACF
White noise Significance tests

Hands-On - Experience and Programming practice

Stationarity diagnosis and transformations
ARIMA identification
- Integrated processes
- AR processes
- MA processes
- ARMA processes

Day 3

ARIMA modeling

Estimation
Estimation algorithms
- full maximum likelihood
- conditional maximum likelihood
Diagnosis
Intervention modeling
Model fitting

Seasonal ARIMA models

Identification
Estimation
Diagnosis
Model fitting

Forecasting theory

Sample segmentation
Segment lengths
In-sample v. post-sample forecasting
Point forecasts
Interval forecasts
Forecast profiles
Out-of-sample forecasts
Ex ante forecasts
One-step ahead forecasts
Dynamic forecasts
Structural forecasts
Combining forecasts

Forecasting Evaluation

Tests of forecast bias
Tests of forecast accuracy: out-of-sample and ex-ante
MSFE
MAE
MAPE
MdAPE
Theils U
Diebold-Mariano test of comparative forecast evaluation

Forecasting Graphics

Hands on ARIMA modeling and forecasting

Who should attend

The course, given in English, is aimed at students, researchers, and forecasters interested in:

Basic Stata
Basic cross-sectional statistics with Stata
Longitudinal analysis with Stata
Box-Jenkins Time Series Analysis with Stata
- Seasonal Box-Jenkins Models
- Forecasting with time series models
- Forecasting evaluation

Mathematical background required

Prerequisites: High School Algebra; Basic Statistics
Recommended: Linear or Matrix Algebra; Basic differential & integral calculus

The principal lecturer

Robert A. Yaffee, Ph.D., is currently a research scientist/ research professor at the Silver School of Social Work and a senior research scientist/statistician on National Science Foundation grant # 0826983 to study the psychological sequelae of the Chernobyl accident in collaboration with co- principal investigors at the University of Colorado, Colorado State University, and at the Academy of Labor and Social Relations, Federation of Trade Unions, in Kiev, Ukraine.

Prof. Yaffee is currently working on several longitudinal research projects. These projects entail panel data analysis, event history analysis, time series analysis, state space models, Bayesian disease mapping and risk analysis.

Prof. Yaffee has taught short courses on introductory, intermediate and advanced time series analysis, volatility analysis and forecasting.

Prof. Yaffee is the author of a variety of articles reviewing statistical packages and is currently writing about applied time series analysis and forecasting.

Prices

Cost (per participant):

Price

1st day only	$700.00

Commercial / Government	$2100.00

Academic / Non-profit research	$1575.00

Student registrations	$825.00

A 20% discount is applied to early registrations (registrations made more than 6 weeks in advance of the course start date)
All costs exclude local taxes, where applicable
Late Registrations: Registrations made within 6-weeks before the start of the course
Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrollment)
Additional discounts are available for multiple registrations
Cost includes course materials, lunch, refreshments and the use of computers (please advise us if you have any dietary requirements)

The number of delegates is restricted. Please register early to guarantee your place.

If you need assistance in locating hotel accommodation in the region, please notify us at at the time of booking.

Registration

We welcome delegates to find out more and register for the course by contacting our sales and training team either by email: info@timberlake-consultancy.com, phone: +1 908 686 1251 or by filling out an online registration form.

Terms & Conditions

Payment of course fees required prior to the course start date.

Registration closes 5-calendar days prior to the start of the course.

100% fee returned for cancellations made over 28-calendar days prior to start of the course
50% fee returned for cancellations made 14-calendar days prior to the start of the course
No fee returned for cancellations made less than 14-calendar days prior to the start of the course