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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
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
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.
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. ISBN 978-0131395381 .
DRAPER, N. R. and H. SMITH. Applied Regression Analysis. NY: Wiley, 1998. ISBN 978-0471170822 .
RYAN, T. P. Modern Regression Methods. NY: Wiley, 2008. ISBN 978-0470550441 .
HENDERSON, D. J. and C. F. PARMETER. Applied Nonparametric Econometrics.
Cambridge University Press, 2015.
DRAPER, N. R. and H. SMITH. Applied Regression Analysis. NY: Wiley, 1998. ISBN 978-0471170822 .
RYAN, T. P. Modern Regression Methods. NY: Wiley, 2008. ISBN 978-0470550441 .
HENDERSON, D. J. and C. F. PARMETER. Applied Nonparametric Econometrics.
Cambridge University Press, 2015.