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Econometrics

Summary

1. Introduction to econometrics ( subject of economterics, metodology of econometrics)
2. Simple linear regression function ( the nature of regression analysis, the concept of population and sample regression function ( deterministic and stochastic version), the method of ordinary least squares, coefficient of determination)
3. Statistical verification ( testing od regression coefficients, the overall of sample regression model)
4. Autocorrelation (the nature, the consequences of autocorrelation, detection, removing).
5. Heteroscedasticity ( the nature, its consequences, detection, removing, WOLS)
7. Multicollinearity ( ( the nature, its consequences, detection, removing).
8. Model specification (model selection criteria, types of specification errors, consequences, tests)
9. Prediction (ex-post and ex-ante, mean and individual prediction, point and interval prediction).
10. Functional form of regression models (exponencial regression model, semilog models, reciprocal models).
11. Dummy variable regression models.

Literature

1. GUJARATI, D.N. Basic Econometrics. 4th Ed., Singapore: Mc Graw-Hill, 2003. ISBN 0-07-233542-4.
2. LMCS Moodle: http://moodle.vsb.cz/vyuka
3. WOOLDRIDGE, J. Introductory Econometrics: A Modern Approach (with Economic Applications Online, Econometrics Data Sets with Solutions Manual, Web Site Printed Access Card), Student Solutions Manual Printed Access Card.). 4th ed. Mason. Ohio: South Western Cengage Learning, 2008. ISBN 9780324581621 .

Advised literature

1. BROOKS, CH.: Introductory econometrics for finance. Cambridge: Cambridge University Press, 2002. ISBN 0-521-79018-2.
2. GREENE, W.H. Econometric Analysis. Pearson Education, 2008. ISBN 9780135137406.
3. HEIJ, CH. et al: Econometrics Methods with Applications in Business and Economics. Oxford: Oxford University Press, 2004. ISBN 0-19-926801-0.
4. RAMANATHAN, R. Introductory Econometrics with Applications. 5th edition. Harcourt College Publishers, 2002. ISBN-13: 978-0030343421 .


Language of instruction čeština, čeština, čeština
Code 151-0317
Abbreviation EKON
Course title Econometrics
Coordinating department Department of Mathematical Methods in Economics
Course coordinator prof. Ing. Jana Hančlová, CSc.