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Terminated in academic year 2012/2013

Econometrics

Type of study MasterFollow-up Master
Language of instruction Czech
Code 151-0317/03
Abbreviation EKON
Course title Econometrics
Credits 5
Coordinating department Department of Mathematical Methods in Economics
Course coordinator prof. Ing. Jana Hančlová, CSc.

Subject syllabus

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.

E-learning

Podpora přednášek a cvičení v Moodle.

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 .