GAUSS Time Series Analysis Training Course

  • Cass Business School, London - September 20-21, 2012

Registration Instructions

  • 20% Off early bird discount available through July 31, 2012. Space is limited, sign-up now!
  • Email for Registration Form.


This seminar provides an introductory exploration of time series fundamentals using GAUSS 12. The twoday seminar introduces time series data management, model estimation and diagnostics, and managing and presenting estimation results. Note that this seminar focuses on applications of the theories and fundamentals of time series econometrics. It assumes basic knowledge of econometric or statistical theory and GAUSS operations.

Class size is limited to allow for extensive student/teacher interaction

Seminar Topics

Introduction: Time series specific data management topics

  • This introduction will focus briefly on working with time series data including data entry, generating lag and lead variables, dealing with seasonality, and time series data visualization.

PART I: Building a univariate time series models

  • This session will focus on analyzing multivariate time series systems. It will consider estimating, forecasting, and evaluating vector autoregressive models and error correction models. Special topics discussed will include testing for cointegration testing and testing for Granger causality

PART II: Multivariate time series analysis

  • In this session we move beyond the basic OLS model to consider more advanced estimation topics including nonlinearities, discrete and limited variables, and alternatives methods to OLS estimation. We will examine the application of estimation methods to economic applications and examples.

Part III: Special Advanced Topics

  • This session is reserved for advanced topics in time series analysis. Possible topics include testing for structural breaks, estimating Markov-Switching models, and dealing with parameter instability.


This course will last two days.