Venue: Centre for Management Development, CMD Road, Shangisha, Magodo, Lagos.
Module I: Time Varying Volatility Model (Basic)
Duration: 24th – 27th August, 2015
Outline:
- The ARCH Model:
- The GARCH Model:
- Basic Extensions and
Applications:
- Threshold GARCH Model
- Exponential GARCH Model
- GARCH-in-Mean Model
- Integrated GARCH Model
- Dealing with structural breaks in volatility
- Model Diagnostics
- Forecasting with Volatility Models ....................................................................................Apply here
Module II: Time Varying Volatility Model (Advanced)
Duration: (To be Announced Later)
Outline:
- Vector Conditional Heteroscedasticity (VECH) Model
- Constant Conditional Correlation (CCC) Model
- Dynamic CC Model
- BEKK Model
- VAR-GARCH Model
- VARMA-GARCH Model
- Dealing with Leverage effect in Multivariate models
- Dealing with structural breaks in Multivariate volatility modelling .............................................Apply here
Module III: Time Series Modelling & Forecasting (Part I)
Duration: (To Be Announced Later)
Outline:
- Long-run and Short-run Estimations
- Unit root tests with and without structural breaks
- Spurious regressions & Cointegration tests with and without structural breaks
- Autoregressive Distributed Lag Model (ARDL) and Bounds testing
- Long-run model
- Error Correction Model
- Dealing with structural breaks in Long run and Short run models
- Model Diagnostics ..............................................................................................Apply here
Module IV: Time Series Modelling & Forecasting (Part II)
Duration: (To Be Announced Later)
Outline:
- ARMA, ARIMA, SARIMA & Other extensions
- VAR, VECM, Structural VAR, Structural VEC& Toda-Yamamoto
- Granger Causality, Impulse Response, Variance Decompositions
- Model Diagnostics .............................................................................................Apply here
Module V: Simultaneous Equations Models
Duration: (To Be Announced Later)
Outline:
- Specification issues:
- Structural Equations, Reduced form Equations, Identities, Endogeneity& Simultaneity
- Estimation issues: Indirect Least Squares, Two-Stage Least Squares, Three-Stage Least Squares, FIML & Generalized Method of Moments (GMM)
- Diagnostics and Inferences
- Forecasting & Simulation ..................................................................................Apply here
Module VI: Panel Data Analysis (Basic)
Duration: (To Be Announced Later)
Outline:
- Static Panel Models:
- Within Regression
- LSDV Estimator
- Generalized Least Square Estimator
- Hausman-Taylor Estimator
- Dynamic Panel Models:
- Difference GMM estimator
- System GMM estimator .............................................................................Apply here
Module VII: Panel Data Analysis (Advanced)
Duration: (To Be Announced Later)
Outline:
- Panel Unit roots
- Panel Cointegration
- Heterogeneous Panels:
Mean Group Estimator & Pooled Mean Group Estimator
- Panel Error Correction Model .....................................................................................Apply here
Module VIII: Modelling with Survey Data (Basic)
Duration: (To Be Announced Later)
Outline:
- Introduction to Limited Dependent Variables
- Continuous Dependent Variable: Linear Regression Model
- Binary Dependent Variables: Linear Probability Model (LPM), Probit Model & Logit Model
- Ordered Dependent Variables: Ordered Probit Model and Ordered Logit Model
- Categorical Dependent Variables: Multinomial Logit, Nested Logit & Conditional Logit .............................................Apply here
Module IX: Modelling with Survey Data (Advanced)
Duration: (To Be Announced Later)
Outline:
- A Review of Basic Models for Limited Dependent Variables: Binary, Ordered and Categorical Dependent Variables
- Truncated dependent variables by Heckman’s procedure
- Censored dependent variables by Tobit
- Count (integer) dependent variables by Poisson regression
- Hazard (length) dependent variables by hazard models .............................................Apply here
Instructional Software
Eviews, Stata, RATS & R Software Packages
Prerequisite Knowledge
This course requires a preparatory understanding of basic statistics, mathematics, and computational techniques at least equivalent to first degree in related fields.
Workshop Fee:
N30,000 per participant for each module payable to READT INTL. RESOURCES LIMITED Account Number 2025563771 in any First Bank Plc Branch nationwide with copy of payment receipt scanned and sent to any of the contact details below.
Fee covers free instructional software installation, lecture materials, service delivery, coffee/Tea break and Lunch only
Click here to apply
Contact Persons
Taofeek Ayinde 07063357968 olusolaat@gmail.com
Kazeem Isah 08069640162 kzamboja@yahoo.com
Lateef Akanni 08057907425 akanniolat@yahoo.com
