About the workshop:
Today’s era of ample information necessitates its scientific analysis for a fruitful and practical proposal in intellectual domains of Economics, Finance and other streams of Management Science. Time series variables occupy a vast space in this fertile land of information which needs special treatment. This workshop aims at training aspiring researchers, academicians and corporate practitioners to filter and analyze time series data with a broader objective of precise forecasting and policy prescription.
Topics to be covered:
- Ensemble and realization in time series. Non-stationarity and unit root tests.
- Unit root tests in presence of structural break.
- Univariate analysis: AR and MA models, Box Jenkins ARIMA model and out of sample forecast.
- Multivariate analysis- VAR and Impulse response analysis. Structural VAR.
- Co-integration and Error correction mechanism. Granger Causality.
- Conditional Volatility models: ARCH, GARCH and its different variants.
- Trend, season and cyclicality of data. Filtering techniques like Hodrick-Prescott, Baxter-King and de-seasonalization of data.