Econometrics

Type of study	Follow-up Master
Language of instruction	Czech
Code	639-3002/04
Abbreviation	EM
Course title	Econometrics
Credits	5
Coordinating department	Department of Quality Management
Course coordinator	Ing. Filip Tošenovský, Ph.D.

Subject syllabus

1. Time series modelling with moving averages
2. Time series modelling with exponential smoothing
3. Classical characteristics of time series
4. Stationarity and seasonality in time series
5. Box-Jenkins characteristics of time series
6. Models AR(p), MA(q), ARMA(p,q), ARIMA(p,d,q)
7. Heteroscedasticity
8. Autocorrelation
9. Multicollinearity
10. GLS
11. Taguchi loss function and its application

E-learning

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

Literature

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.

Advised literature

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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