Skip to main content
Skip header
Terminated in academic year 2020/2021

Applied econometrics

Type of study Follow-up Master
Language of instruction English
Code 156-0580/01
Abbreviation APE
Course title Applied econometrics
Credits 5
Coordinating department Department of Applied Economics
Course coordinator doc. Ing. Jiří Balcar, Ph.D., MBA

Subject syllabus

1. Introduction to economics and Stata, and its use for descriptive statistics.
2. Least squares method, linear regression and OLS estimator properties.
3. Credibility of estimation, hypothesis testing, measurement errors and feedback in the presence of stochastic variables.
4. Interpretation and comparison of models (including model selection criteria).
5. Basics of forecasting and simulation.
6. Heteroskedasticity and autocorrelation.
7. Principles of time series analysis and volatility (conditional and variance modeling).
8. Endogenity, estimation using instrumental variables.
9. Logit and probit models.
10. Multinomial models and models of ordered answers.
11. Count data (Poisson regression model, negative binomial model, general count regression), “duration” data.
12. Tobit models (censored variables), treatment effects.
13. Linear models of panel data: fixed and random effects.
14. Linear models of panel data: static and dynamic models, incomplete panels (/ attrition), tests of non-stationarity and cointegration.

Literature

Wooldridge, J. M. (2016), Introductory Econometrics: A Modern Approach (6th edition), Cengage Learning, Inc.

Advised literature

Acock, A. C. (2018), A Gentle Introduction to Stata, 6th edition, A Stata Press Publication.

Heiss, F. (2016), Using R for Introductory Econometrics, 1st edition. This textbook is compatible with "Introductory Econometrics" by J. M. Wooldridge in terms of topics, organization, terminology and notation.

Verbeek, M. (2017), A Guide to Modern Econometrics, Wiley Publisher.