Dynamic Factor Models / Time Series Analysis in Stata

Timberlake Consultants Ltd
London - United Kingdom
2nd April 2012 - 3rd April 2012

Course Overview

Delivered By: Arnab Bhattacharjee, University of Dundee, Scotland

This course focuses on factor analysis and factor models using Stata. A number of methodologies are discussed including principal factors, principal components, and dynamic factor models available in Stata 12, the latest release. No previous experience with Stata is required. The first day of the course will cover introductory topics such as data management and regression analysis in Stata. The last two days will focus on factor analysis.

Summary Agenda
Day 1

Session 1: Introduction to Stata

Preliminaries: A typical Stata screen, Stata files and their organisation
Organisation of Data Entry and Management


Session 2: Multiple linear regression and Time Series regression

Simple linear regression and diagnostics
Reading in data for time series analysis
Basic time series operators
Interpretation and inferences


Session 3: Practical session on regression

Session 4: Introduction to factor analysis

Estimating factor loadings
Factor analysis versus clustering and multidimensional scaling
Selecting the number of factors
Basic factor analysis using Stata

Day 2

Session 1: Factor rotations

Types of rotation
Implementing rotations in Stata
Practical Session


Session 2: Practical session on estimating factor models and rotations

Session 3: Dynamic factor models

Introduction to dynamic factor models
Implementing dynamic factor models in Stata
Common correlated effects


Session 4: Practical session on dynamic factor models


Target Group: The course is designed for applied researchers who are required to use factor analysis.

Prerequisites: Basic understanding of statistics and regression analysis. Work experience with econometrics would be advantageous. No previous experience with Stata is required.

Contact Us:
Telephone: +44 (0) 20 8697 3377
Email: training@timberlake.co.uk

Summary