| Course Unit Code | 639-3002/05 |
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| Number of ECTS Credits Allocated | 5 ECTS credits |
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| Type of Course Unit * | Optional |
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| Level of Course Unit * | Second Cycle |
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| Year of Study * | |
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| Semester when the Course Unit is delivered | Winter Semester |
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| Mode of Delivery | Face-to-face |
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| Language of Instruction | English |
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| Prerequisites and Co-Requisites | Course succeeds to compulsory courses of previous semester |
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| Name of Lecturer(s) | Personal ID | Name |
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| TOS012 | Ing. Filip Tošenovský, Ph.D. |
| Summary |
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| The subject econometrics expands the subject matter of regression analysis covered by mathematical statistics. Studied are conditions under which the procedures of classical regression are usable, and alternative procedures for the case when the elementary conditions do not hold. The time series analysis, based on both the classical and Box-Jenkins methodology, is attached for the need of economic modelling. The classical econometric structure is complemented with applications of Taguchi loss functions. |
| Learning Outcomes of the Course Unit |
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Knowledge of elementary terms and methods of econometrics: time series analysis, regression analysis prerequisites and their verification, GLS and 2SLS methods.
Ability to apply the basic methods in economic data analysis |
| Course Contents |
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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 |
| Recommended or Required Reading |
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| Required Reading: |
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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.
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TOŠENOVSKÝ, J. Plánování experimentů. Ostrava: VŠB - Technická univerzita Ostrava, 2012. ISBN 978-80-248-2592-2. Dostupné z: http://www.person.vsb.cz/archivcd/FMMI/DOE/index.htm.
CIPRA, T. Finanční ekonometrie. Praha: Ekopress, 2008. ISBN 978-80-86929-93-4.
HUŠEK, R. Základy ekonometrické analýzy I. Modely a metody. Praha: VŠE, 1998. ISBN 80-7079-102-0.
BOX, G. E. P., G. M. JENKINS and G. C. REINSEL. Time Series Analysis: Forecasting and Control. NY: Wiley, 2008. ISBN 978-118-67502-1.
WEI, W. W. Time Series Analysis - Univariate and Multivariate Methods.
NY: Pearson Addison Wesley, 2006. ISBN 978-0321322166.
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| Recommended Reading: |
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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.
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ARLT, J. Moderní metody modelování ekonomických časových řad. Praha: Grada Publishing, 1999. ISBN 80-7169-539-4.
ARLT, J. a M. ARLTOVÁ. Ekonomické časové řady. Praha: Professional Publishing, 2009. ISBN 978-80-86946-85-6.
HUŠEK, R. Ekonometrická analýza. Praha: EkoPress, 1999. ISBN 978-80-245-1300-3.
TOŠENOVSKÝ, J. Ekonomické a technologické hodnocení způsobilosti procesů.
Algoritmy a řešené úlohy. Ostrava: Dům techniky Ostrava, 2007.
ISBN 978-80-02-01882-7.
KOUTSOYIANNIS, A. Theory of Econometrics. Hong Kong: Macmillan, 1973.
ISBN 0-333-22379-9.
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| Planned learning activities and teaching methods |
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| Lectures, Tutorials, Project work |
| Assesment methods and criteria |
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| Tasks are not Defined |