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Workshop On Time Series Econometrics and Its Application

The document announces a six-day workshop on time series econometrics to be held in April 2011 at the University of Burdwan in India. [1] The workshop will provide training on tools and techniques for analyzing univariate and multivariate time series models. [2] Topics will include ARMA, cointegration, volatility modeling and other areas. [3] The goal is to equip participants with skills for applying time series methods in social science research.

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Mukesh Bisht
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© Attribution Non-Commercial (BY-NC)
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Download as PDF, TXT or read online on Scribd
57 views

Workshop On Time Series Econometrics and Its Application

The document announces a six-day workshop on time series econometrics to be held in April 2011 at the University of Burdwan in India. [1] The workshop will provide training on tools and techniques for analyzing univariate and multivariate time series models. [2] Topics will include ARMA, cointegration, volatility modeling and other areas. [3] The goal is to equip participants with skills for applying time series methods in social science research.

Uploaded by

Mukesh Bisht
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
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Dr.

Maniklal Adhikary The University of Burdwan,


Professor Golapbag, Burdwan-713104,
Department of Economics West Bengal (INDIA)
Ref. Dial (0342)-2558-554, Extn. 438 (O)
+91-9476-233029 and +91-9434-660220
Date: 26.01.2011

Workshop on Time Series


Econometrics and its Application
The Department of Economics, the University of Burdwan in collaboration with The Indian
Econometric Society is going to organize a six day “Workshop on Time Series Econometrics” during 1st
week of April (4th to 9th April) 2011 (Monday to Saturday). As part of The India Econometric Society
Capacity Building Programme, TIES has also come forward to provide a partial financial support towards
expenditure of this workshop. The applicants (total 25-30 in number) selected in this workshop need not
have to pay any course-fees for their participation.

This workshop is designed to impart knowledge on Time Series Econometrics and its Applications in the
context of empirical research in the field of different branches of Social Sciences, Environment, Industry and
Agriculture. Time Series Econometrics has been one of the most productive areas in quantitative economics
in recent years. Along with the progress in theory and computation, great possibilities for applications have
been opened in several economic fields, both for academics and professional practitioners.

Objective of the workshop


The workshop is intended to train the participant the tools of Time Series Econometrics in social science
research. This course is designed to provide students with the necessary theoretical and applied tools to
conduct research involving time series data. The goals of the course are threefold.
(1) Get the participants acquainted with current research in time series econometrics.
(2) Develop a comprehensive set of tools and techniques for analyzing various forms of univariate and
multivariate time series models for understanding the current literature in applied time series econometrics.
(3) Practical Application of Time Series Econometrics through EVIEWS and JMULTI.

The topics include:

• STATIONARY TIME-SERIES MODELS: ARMA models, Stationarity, Auto-correlation and


Partial Auto-correlation function, Box-Jenkins methodology, Model Selection and Forecasting.
• NONSTATIONARY TIME-SERIES MODELS: Deterministic and stochastic trend models, Unit
root tests and Regression Residuals, Stationarity tests, Tests for structural change with unknown
change point. Estimation of linear models with structural change, Regime switching models, Panel
Unit Root Tests.
• STATIONARY MULTIVARIATE MODELS: Dynamic simultaneous equations models, Transfer
Function Models, VAR Analysis, Estimation and Identification, Granger causality, Impulse response
functions, Variance decompositions, Structural VAR models.
• NONSTATIONARY MULTIVARIATE MODELS: Co-integration and Error Correction Models,
Testing for Co-integration, Characteristic Roots and Co-integrating Rank, Vector Error Correction
Models (VECMs), Structural VAR Models with Co-integration,
• MEASURING/MODELING VOLATILITY: Basic features of the Time Series Data, ARCH
Model, GARCH Model, ARCH-M, Maximum Likelihood Estimation of GARCH and ARCH-M
Model, IGARCH, TGARCH and EGARCH.

Softwares to be used: EVIEWS and JMULTI4.

Course Prerequisites
• A good clutch of basic mathematical statistics and linear algebra, knowledge on Eigen values and
Eigen vectors is desirable for surviving the course. Any prior training or attending any previous
course in time series is not required or assumed, though a basic knowledge of ARMA models and
Box-Jenkins' methods will be helpful.
• It is desirable that each participant should bring his/her own Laptop with EVIEWS and JMulti 4
(which is freely downloadable) installed properly.

Targeted Participants
Scholars, teachers, researchers, analysts, managers and consultants from Academic and research institutions
focused on applying the latest analytical tools in Economics, Statistics and Econometrics from

(i) Researchers in Social Sciences and in Industry and Agriculture,


(ii) Teachers in Colleges and Universities
(iii) Government and Non-Government Officials Banks and other financial institutions
(iv) Corporate and consultancy firms

Total Number of Participants: 25

Resource Persons
Prof. Dipankar Coondoo (Retired), Prof. Nityananda Sarkar and Dr. Samarjit Das from ISI, Kolkata -700056,
Prof. Ajitava Raychaudhuri from Jadavpur University and Prof. Maniklal Adhikary and Dr. Atanu Sengupta
from Burdwan University, Golapbag. Burdwan, West Bengal – 713104 have been contacted for this
workshop.

• Prof. Nityananda Sarkar, Dr. Samarjit Das and Prof. Maniklal Adhikary have already confirmed to
discuss the topics respectively on NONSTATIONARY MULTIVARIATE MODELS,
MEASURING/MODELING VOLATILITY and VAR Analysis and related issues.

Time and Venue


The Workshop will take place during 4th to 9th April 2011 (Monday to Saturday). The lecture presentations
are scheduled in two sessions, a pre lunch session and a post lunch session. The pre-lunch session will
contain two theoretical classes, each class of one and half an hour. The post lunch session will be devoted to
one theoretical class and one class of Computer practical/two classes of Computer practical on Time Series
Econometrics.

The workshop will be organized at the Department of Economics, Golapbag, Burdwan University, West
Bengal - 713104.

Accommodation
Accommodation may be available on request.

All candidates willing to participate in this workshop are required to apply in the application form given
below latest by 25th February, 2011 through email to both the Convener and the Joint Convener. The
selection of the candidates will be confirmed through email on or before 2nd March 2011.

Dr. Suchismita Mondal (Sarkar) Prof. ManikLal Adhikary


Joint Convenor Convenor
Mobile-+91-9735-132844 Mobile-91-9434-660220 and +91-9476-233029
suchi_sarkar@yahoo.com drmaniklaladhikary@gmail.com
Application Form for Participation in the Workshop on Time Series Econometrics and its
Application, 4th April to 9th April 2011
(Should reach on or before 25th February 2011)

1. Name: _______________________________________________________
2. Date of Birth: _______________________________________________________
3. Nationality: _______________________________________________________
4. Address for Communication:
____________________________________________________
____________________________________________________
____________________________________________________
Tel: _________________ email: ________________________
5. Institutional Address: (if any)
____________________________________________________
____________________________________________________

Tel: _________________ email: ________________________


6. Academic Qualification (Examinations Passed starting from the Under-Graduate Level)
Name of Name of Year of %age of Div./Class
Subjects Offered
Examination University Passing Marks Obtained
B.A./B.Sc./B.Com
M.A./M.Sc./M.Com
Ph.D.*
Post Doctoral
*Attach please a brief write-up (150 words) on your topic of Ph.D. you have already got or you are presently pursuing.
7. Mention whether you had Mathematics as Combination at your College Level and Econometrics
at P.G. Level: _______________________________________________________
8. Present Position: _______________________________________________________
9. Mention whether you are teaching Econometrics at UG or PG level and for how many years:
_______________________________________________________
10. Are you a member of TIES or any other Society/Association:
_______________________________________________________
11. Accommodation Required (Yes/No): ______________________________________
12. Food : 1.Vegetarian 2.Non Vegetarian
To the best of my knowledge all the information furnished above are true and correct.
Signature

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