Within the framework of Eurostat’s European Statistical Training Programme (ESTP), DevStat in consortium with the Lithuanian Department of Statistics and the National Statistical Institute of Bulgaria held a three day course on “Time Series Econometrics” in Valencia on 24, 25 and 26 February 2016.
The course was taught by Mr Fabio Bacchini (course leader) and Mr Riccardo Lucchetti and it was attended by sixteen participants from several National Statistical Institutes and ONAs (Other National Authorities) within the European Statistical System (ESS).
The objective of the course was to present an overview of modern time series econometrics both for univariant and multivariate time series.
By a mixture of theorical and practical sessions some of the topics discussed were:
- The introduction to time series and GRETL environment;
- Univariate time series: AR, MA and ARIMA process;
- Non-linear models: ARCH and GARCH process;
- Multivariate time series: VAR, cointegration and VECM.
DevStat thanks the trainers and also the participants for their commitment during the course sessions.