Terminated in academic year 2018/2019

Econometrics

Type of study	Follow-up Master
Language of instruction	Czech
Code	639-0803/02
Abbreviation	EM
Course title	Econometrics
Credits	5
Coordinating department	Department of Quality Management
Course coordinator	prof. RNDr. Josef Tošenovský, CSc.

Subject syllabus

1. Time series analysis: Introduction to Forecasting Systems, Methods of Forcasting, Exponential Smoothing Methods, Smoothing Models for Seasonal Data, Moving Averages and related Methods.
2. Box-Jenkins methodology - Forecasting, AR, MA, ARMA Models, Stacioanarity
3. Regression analysis - Simple Linear Regression Model, Graph the Data, Introduction to Multiple Linear Regression
4. Testing the assumptions of linear regression - Heteroscedasticity, Serial Correlation, Multicollinearity
5. Generalized Least Squares Estimators - GLS
6. Two-Stage Least Squares (2SLS)
7. Economic evaluation processes - Taguchi's Loss Function
8. Taguchi Loss Function - Asymmetric Loss Functions.

E-learning

www of FMMI

Literature

1. Wei,W.W.: Time Series Analysis -Univariate and Multivariate Methods,
Addison - Wesley Publishing Comp., Inc., 1990.
2. Koutsoyiannis,A.: Theory of Econometrics. Hong Kong: Macmillan, 1973.
3. Novales, A.: Econometria. McGraw-Hill, Madrid, 1988.

Advised literature

1. Greene, W. H.: Econometric Analysis. 6th ed., 2008 New Jersey: Prentice Hall.
2. Montgomery, D.C., Jennings, Ch.L., Kulahci, M.: Introduction to Time Series Analysis and Forecasting. NY, Wiley. 2008. .
3. Mendenhall, W., Sincich, T.: A Second Course in Statistics: Regression Analysis. Sixt Edition. Perason Education, New Jersey, 2003. ISBN: 0-13-022323-9.
4. Draper, N.R., Smith, H.: Applied Regression Analysis. 3rd Edition. NY, Wiley. 1998.
5. Ryan, T.P.: Modern Regression Methods, 2nd Edition. NY, Wiley.2008.
6. Box, G.E.P., Jenkins, G.M., Reinsel, G.C.:Time Series Analysis: Forecasting and Control, 4th Edition. NY, Wiley, 2008.

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