Target Population: Researchers, Masters Students, Teachers.

Dr Santhosh Kumar P K

Assistant Professor (Economics) &
Hon.Fellow (Center for Budget Studies)
School of Management Studies
Cochin University of Science & Technology


TOTAL SEATS 30. 30 hours.


 FROM MARCH20, 2021, NATIONAL LEVEL  WORKSHOP - TIME SERIES ANALYSIS

 Every Saturday From MARCH 20 ,2021 6.00PM-8.00PM IST
 

SESSIONS INCLUDE

Stationarity Univariate Models
Stochastic processes - Properties of stochastic process. Time series as a discrete stochastic process– Stationarity- Characteristics of stochastic component of time series (mean, autocovariation and autocorrelation functions). Lag operator- Unit root tests - Deterministic and stochastic trend models-Augmented Dickey Fuller test – Phillips- Perron test-Estimation and testing.

Simultaneous Equation Models
Dynamic simultaneous equations models- Granger causality test - Vector Auto Regressive (VAR) models-Impulse Response Function (IRF)-Variance Decomposition Analysis - Structural Vector Auto Regressive (SVAR) models– Estimation and Diagnostic Checking.

Non-Stationary Multivariate Models
Spurious regression- Cointegration- Granger representation theorem -Vector error correction models (VECMs)- Structural VAR models with cointegration - Testing for cointegration – Engle and Granger (1987) and Johansen and Juselius (1990) - Estimating the cointegrating rank- Estimating cointegrating vectors.

Conditional Variance Models
Volatility Clustering- Leverage Effects- Modeling Volatility- AutoRegressive Conditional Heteroscedasticity (ARCH) Model- Generalised AutoRegressive Conditional Heteroscedasticity (GARCH) Model - Extensions to GARCH-Exponential GARCH and Threshold GARCH models.

Certificate
After completion of both Synchronous and Asynchronous Sessions e certificate will  be issued by the Nodal Office.


FEES 2000 INCLUDING GST.

After registering on the google form the selected 30 candidates would be sent the link for fee payment. After the payment on sending the payment receipt to the Nodal Center, the candidates would be sent the link through which they can join the workshop.

The workshop would be held on every Saturday from March 20,2021, 6.00PM-8.00PM IST.


ORGANISED BY :

NODAL OFFICE
CHRIST ( Deemed to be University)
THIRUVANANTHAPURAM

 AIR Road, Vazhuthacaud, Trivandrum – 695014, Kerala
Tel: 0471 - 233 99 60,+91 7019522872   email: tvm@christuniversity.in