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Ukončeno v akademickém roce 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.

Osnova předmětu

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.

Povinná literatura

GUJARATI, Damodar N. Basic Econometrics. 4th ed. Singapore: Mc Graw-Hill, 2003, 1002 s. ISBN 0-07-233542-4.
WOOLDRIDGE, Jeffrey M. Introductory Econometrics: A Modern Approach. 4th ed. Mason. Ohio: South Western Cengage Learning, 2008. 912 pp. ISBN 978-0-324-58162-1 .
RAMANATHAN, Ramu. Introductory Econometrics with Applications. 5th edition. Harcourt College Publishers, 2002. ISBN-13: 978-0030343421 .

Doporučená literatura

GREENE, William.H. Econometric Analysis. Pearson Education, 2008. ISBN 9780135137406.
HEIJ, CH. et al: Econometrics Methods with Applications in Business and Economics. Oxford: Oxford University Press, 2004. ISBN 0-19-926801-0.
WONNACOTT, R. J. and WONNACOTT, T.H. Econometrics. Florence Taylor and Francis Ann Arbor, Michigan ProQuest 2014.