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Econometrics

Summary

1. Introduction to econometrics (definition of econometrics, relation to other scientific disciplines, clarification of basic concepts, origin of econometrics, process of econometric modeling).
2. Time series analysis (types of time series, methods of time series, decomposition of time series, regression analysis, model verification).
3. Simple linear regression model (meaning of regression analysis, population versus selective regression line).
4. Least Squares Method (LSM, fit of regression line to data, assumptions of classical simple regression model and their verification).
5. Multiple regression model (definition of classical multivariate linear regression model, assumptions, matrix notation, corrected determination coefficient).
6. Statistical verification (regression coefficients, model as a whole).
7. Econometrical verification - autocorrelation, heteroskedasticity, multicolinearity, normality, model specification.
8. Functional forms (exponential model, LIN-LOG model, LOG-LIN model, reciprocal model) + economic interpretation.
9. Prediction (prediction error, point or interval prediction, ex-post and ex-ante prediction).
10. Techniques of artificial variables - dummy variables.
11. Panel data (definition of panel models, fixed effects (time or space, level constants or slope coefficient), random component effect).

Literature

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 .

Advised literature

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.


Language of instruction čeština
Code 157-0460
Abbreviation EKOk
Course title Econometrics
Coordinating department Department of Systems Engineering and Informatics
Course coordinator prof. Ing. Jana Hančlová, CSc.