Home RESEARCH WORKSHOP MODULES 2019 Details - Module 6 - Multivariate Time Series Analysis: VAR, VECM, SVARanel Data


Module 6 - Multivariate Time Series Analysis: VAR, VECM, SVARanel Data
Dec.11.2017 - Dec.15.2017
CEAR University of Ibadan - CEAR Dept of Economics UI
Econometric Workshop 2019


Multivariate Time Series Analysis: VAR, VECM, SVARanel Data

After the completion of this course, participants should be able to build and deal with system equation models involving Vector Autoregressive (VAR) models, Vector Error Correction Model (VECM) and Structural Vector Autoregressive (SVAR) Models. They should be able to adequately specify and estimate these models, and perform diagnostic checks



v  Vector Autoregressive (VAR) models

  • Specification
  • Estimation
  • Inference

v  Vector Error Correction Model (VECM)

  • Specification
  • Estimation
  • Inference

v  Toda-Yamamoto Model

  • Specification
  • Estimation
  • Inference

v  Structural Vector Autoregressive (SVAR) Models.

  • Specification
  • Estimation
  • Inference

Who should enrol?            

Academics and practitioners with research interests in areas including, but not limited to, financial markets, socio-economics, development economics, public finance, or international trade and finance.

Prerequisite Knowledge

This course requires a preparatory understanding of the relevant economic, econometric, and computational techniques at least equivalent to first degree in economics, statistics or any allied field.

Software to be used
Eviews and Stata


The course fees also depend on whether the participants will like to attend the general workshops in Ibadan or will request for in-house training at their locations.

  1. a. Fees at Workshops in Ibadan

The course fee at Ibadan workshops is N60,000 per participant for each of the modules. This covers the course materials, tea break and lunch. Every participant is expected to come with a laptop pre-installed with the instructional software. Also, participants shall be responsible for their accommodation, transport and other maintenance expenses. Click to Here Apply

Registration Details

Payment is made payable to the account number 1010103057 at any Zenith Bank Plc Branch nationwide. Application closes on December 02, 2017. All tellers should be scanned and sent to: This e-mail address is being protected from spambots. You need JavaScript enabled to view it . Phone: 08033234331, 08157216015

Click to Here Apply


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