Financial Econometrics Using Stata (Dubai Time)

This 2-day course is tailored for Finance/Economics researchers who would like to expand their theoretical knowledge in econometrics with a direct application in Stata. The course also includes a revision of data management skills in Stata.

Financial econometrics applies mathematical and statistical tools to financial economics. In recent years, the growing complexity of the financial markets has led to the formulation of several econometric techniques, which could help practitioners to model and forecast the behaviour of market fundamentals.

The course covers:

  • Do and log-files
  • Data manipulation (import, merge, append, and reshape)
  • OLS and GLS regressions
  • Estimating CAPM
  • AR / ARMA models
  • ARCH, GARCH (including multivariate GARCH)
  • Modelling financial default: Logit and probit models


Day 1: Introduction to Stata and Econometrics

Session 1: Stata Basics

  • Do and log-files
  • Data manipulation (import, merge, append, and reshape)
  • Presenting and interpreting summary statistics

Session 2: Introduction to Linear Regression

  • OLS and GLS regressions
  • Hypothesis testing and confidence intervals
  • Multiple regression (quadratic terms, interaction terms, dummy variables)
  • Estimating CAPM

Session 3: Modeling Variance: Univariate Analysis

  • AR / ARMA models
  • EGARCH and GJR models

Session 4: Practical session

Day 2: Time Series, Limited Dependent Variables and Panel Data Models

Session 1: Modeling Variance: Multivariate Analysis

  • Multivariate GARCH
  • Constant Conditional Correlation (CCC) Model
  • Dynamic Conditional Correlation (DCC) Model
  • Varying Conditional Correlation (VCC) Model

Session 2: Limited Dependent Variable Models

  • Modelling financial default: Logit and probit models
  • Determinants of corporate dividend policy: Tobit model
  • Credit rating: Ordered logit models
  • Number of takeover bids: Negative binomial and Poisson regressions

Session 3: Panel Data Models

  • Capital structure determinants: Fixed and random effect models
  • Banking and currency fragility: Dynamic panel model

Session 4: Practical session

Principal texts for pre-course reading

  • Cameron, A. C., & Trivedi, P. K. (2010). Microeconometrics using Stata. Stata Press
  • Dougherty, C., (2011). Introduction to Econometrics, 4th edition. Oxford.

Principal texts for post-course reading

Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data, 2nd edition. MIT Press.

Daily Timetable



9.30am-11amSession 1

11am-11.15Break (refreshments provided)

11.15am-12.45pmSession 2

12.45pm-2pmLunch (provided as part of the course)

2pm-3.15pmSession 3

3.15pm-3.30pmBreak (refreshments provided)

3.30pm-5pmSession 4


More Information / Apply Now

Start Date

End Date


Summer schools


Regular fees: 840 - 1080 GBP

International Fees : 360 GBP

  • Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
  • Additional discounts are available for multiple registrations.
  • Cost includes course materials, lunch and refreshments.
  • Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course. (Alternatively, we can also provide laptops free of charge to attending delegates).
  • If you need assistance in locating hotel accommodation in the region, please notify us at the time of booking.
  • Payment of course fees required prior to the course start date.
  • Registration closes 5-calendar days prior to the start of the course.
    • 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
    • 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
    • No fee returned for cancellations made less than 14-calendar days prior to the start of the course.

The number of delegates is restricted. Please register early to guarantee your place.


Dubai , United Arab Emirates

Start Date:

End Date:


United Arab Emirates



Summer schools