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Time Series Analysis and Modelling Course


The course will show how economic and financial time series can be modeled and analyzed. The aim is to provide understanding and insight into the methods used, as well as explaining the technical details. Statistical modeling will be demonstrated using the Stata Software and participants will be given the opportunity to use Stata in class. Statistical modeling will be demonstrated using the Stata Software.


5 Days


Participants are expected to have attended the previous course on Data Management, Graphics and Statistical analysis using Stata or to be familiar with Stata software.


  • Understand the definitions, features and objectives of time series modeling.

  • Understand descriptive analysis of time series, plots, aggregation, smoothing and regression techniques.

  • Understand and conduct periodic regression and ARIMA modeling using stationary time series.

  • Using ARIMA modeling (Box & Jenkins), understand and use auto-correlation functions and partial auto-correlation functions to study how much an observation at a given time is related to observation at previous lags.


  • Introduction

  • Stationary time series

  • Unobserved components and signal extraction.

  • Time Series Models

  • ARIMA models

  • Structural time series models

  • Explanatory variables and intervention analysis

  • State space models and the Kalman filter.

  • Signal extraction.

  • Missing observations and other data irregularities

  • Spectral analysis

  • Spectra of ARMA processes; stochastic cycles; linear filters; estimation of spectrum

  • Trends and cycles

  • Analysis of the effects of moving average and differencing operations

  • Hodrick-Prescott and band-pass filters. Seasonality

  • Multivariate time series models

  • Common trends and co-integration; control groups

  • Nonlinear models. Financial econometrics; distributions of returns, stochastic volatility and GARCH

  • Dynamic conditional score models

  • Multivariate volatility models.


The instructor led trainings are delivered using a blended learning approach and comprises of presentations, guided sessions of practical exercise, web based tutorials and group work. Our facilitators are seasoned industry experts with years of experience, working as professional and trainers in these fields. All facilitation and course materials will be offered in English. The participants should be reasonably proficient in English.


Upon successful completion of this training, participants will be issued with an Indepth Research Services (IRES) certificate.


The venue of the training includes IRES training Centre or another location chosen by the group or in-house for corporates. For locations outside IRES training Centre, the participants are required to have laptops where the software and other materials for the training will be loaded.


Payment should be transferred to IRES account through bank on or before C.O.B 13th July 2020.

Send proof of payment to This email address is being protected from spambots. You need JavaScript enabled to view it..  

Email: This email address is being protected from spambots. You need JavaScript enabled to view it..  

Mob: +250 789 621 067

Tel: 020 211 3814


Payment for the all courses includes a registration fee, which is non-refundable, and equals 15% of the total sum of the course fee.

  1. Participants may cancel attendance 14 days or more prior to thecommencement date.
  2. No refunds will be made 14 days or less to the training commencement date. However, participants who are unable to attend may opt to attend a similar training at a later date, or send a substitute participant provided the participation criteria have been met.

Please Note: The program content shown here is for guidance purposes only. Our continuous course improvement process may lead to changes in topics and course structure.

Event Properties

Event Duration 5 Days
Event Date 20-07-2020
Event End Date 24-07-2020
Cut off date 13-07-2020
Individual Price(rwanda franc) R₣ 552,000
Individual Price (International) EUR 877
Individual Price(International in Dollars) USD 999
Location Kigali,Rwanda
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Contact Us

+250 789 621 067
[email protected]
Kamukina KG 501 Gate
Kigali, Rwanda

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