Ukončeno v akademickém roce 2020/2021

Econometrics

Type of study	Follow-up Master
Language of instruction	English
Code	639-3002/03
Abbreviation	EM
Course title	Econometrics
Credits	5
Coordinating department	Department of Quality Management
Course coordinator	prof. RNDr. Josef Tošenovský, CSc.

Osnova předmětu

1. Time Series (TS)
- Classical Analysis of Time Series
- Exponencial Model
- Moving Average MA
- Box Jenkins Models
- Characteristics of TS
- Models AR, MA, ARMA
- Stacionarity, Model ARIMA
2. Regression Analysis
- Heteroscedasticity
- Autocorrelation
- Multicollinearity
- Generalized LS metod
3. Loss Function of Taguchi

E-learning

http://www.person.vsb.cz/archivcd/FMMI/DOE/index.htm
from pages 151

Povinná literatura

BOX, G. E. P., G. M. JENKINS and G. C. REINSEL. Time Series Analysis: Forecasting and Control. NY: Wiley, 2008.
WEI, W. W. Time Series Analysis - Univariate and Multivariate Methods. NY: Pearson Addison Wesley, 2006.
ASHENFELTER, O. B.,P. B. LEVINE and D. J. ZIMMERMAN. Statistics and Econometrics: Methods and Applications. NY: Wiley, 2006. ISBN-13: 978-0470009451.
GUJARATI, D. Econometrics by Example. Macmillan., 2014. ISBN-13: 978-1137375018.

Doporučená literatura

GREENE, W. H. Econometric Analysis. New Jersey: Prentice Hall, 2008. .
DRAPER, N. R. and H. SMITH. Applied Regression Analysis. NY: Wiley, 1998. .
RYAN, T. P. Modern Regression Methods. NY: Wiley, 2008. .
HENDERSON, D. J. and C. F. PARMETER. Applied Nonparametric Econometrics.
Cambridge University Press, 2015.

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