Skip to main content
Skip header
Terminated in academic year 2018/2019

Econometrics

Type of study Follow-up Master
Language of instruction Czech
Code 157-0360/02
Abbreviation EKON
Course title Econometrics
Credits 5
Coordinating department Department of Systems Engineering and Informatics
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.

Literature

DAMODAR N. GUJARATI, 2021. Essentials of Econometrics. SAGE Publications. ISBN 9781071850404 .
WOOLDRIDGE, Jeffrey M., 2009. Introductory econometrics: a modern approch. 4th ed. Mason: South-Western Cengage Learning. ISBN 978-0-324-58162-1 .
RAMANATHAN, Ramu, 2002. Introductory Econometrics with Applications. South-Western Pub. ISBN 978-0030343421 .

Advised literature

ASTERIOU, Dimitrios a STEPHEN G. HALL, 2021. Applied Econometrics. Bloomsbury Publishing. ISBN 9781350306141 .
GREENE, William H., 2017. Econometric analysis. Upper Saddle River, NJ: Pearson Prentice Hall. ISBN 9780135137406.
HANSEN, Bruce, 2022. Econometrics. Princeton University Press. ISBN 978-0691235899 .