Time Series Analysis & Forecasting in Stata – Free Stata Course

Learn time series analysis and forecasting in Stata with this free course. Master ARIMA, VAR, GARCH, DSGE models, and practical econometric forecasting using Stata software.

About This Stata Course

Are you looking for a practical Stata course that teaches you how to analyze and forecast time series data? This free Stata course on time series analysis and forecasting is designed for students and professionals in economics, finance, social sciences, and related fields who want to gain hands-on experience with Stata software.

Time series data is everywhere – from stock prices and GDP growth to inflation, interest rates, and the consumer price index. In this course, you’ll learn not just the theory but also how to apply econometric models in Stata to analyze trends, test for stationarity, build forecasting models, and evaluate real-world economic data.

What You’ll Learn

By the end of this time series analysis in Stata course, you will be able to:

• Understand the key properties of time series data (stationarity, autocorrelation, seasonality)

• Apply AR, MA, ARMA, and ARIMA models for univariate forecasting

• Estimate and interpret ARCH and GARCH models for modeling volatility

• Use Vector Autoregressive (VAR) models for multivariate time series analysis

• Conduct model selection, diagnostic checking, and forecast evaluation in Stata

• Explore advanced topics, including Dynamic Stochastic General Equilibrium (DSGE) models

• Generate reliable forecasts in Stata and evaluate their accuracy

No prior knowledge of Stata is required — this course will guide you step by step.

Course Topics

•  Introduction to time series data in economics and finance

•  Stationarity, non-stationarity, and unit root testing

•  Mean forecasting with AR, MA, ARMA, ARIMA models

•  Modeling variance with ARCH and GARCH models

•  Multivariate forecasting with VAR models

•  Model selection, diagnostics, and forecast accuracy

•  Advanced forecasting with DSGE models in Stata

Who Is This Course For?

This Stata forecasting course is especially tailored for:

• Economics students (undergraduate, graduate, postgraduate)

•  Finance and business students working with financial time series data

• Researchers and professionals applying econometrics in policy, banking, or consulting

Examples in the course draw on real-world macroeconomic data such as monetary policy, fiscal policy, inflation, GDP growth, money supply, and the consumer price index.

Why Learn Time Series in Stata?

Stata is one of the most widely used statistical software packages in academic research, economics, and industry. By mastering time series analysis and forecasting in Stata, you’ll gain:

•  A practical skillset for data-driven decision-making

•  Tools to analyze real economic and financial data

•  Knowledge to support academic research, thesis writing, and professional projects

Learning Outcomes

Upon completion of this Stata course on time series forecasting, you will:

• Recognize and model the key properties of time series data

• Use Stata to estimate econometric models and interpret results

• Build accurate forecasts using ARIMA, VAR, GARCH, and DSGE models

• Apply econometric forecasting techniques to real-world datasets

Course Format & Materials

•  Free online video lectures with practical Stata demonstrations

•  Optional premium materials (Stata DO files, lecture slides, datasets) for self-paced learning

Final Notes

This course is offered completely free to help students and professionals build valuable skills in time series analysis and forecasting with Stata. For those who wish to go deeper, additional course materials are available for purchase to support your independent learning and the continued development of the course.

Join thousands of learners who are mastering time series econometrics in Stata and gain the practical tools you need to excel in research, exams, thesis work, and professional projects.

Instructor: Juan D’Amico – Forecasting Economics