DXE_EMTR Econometrics

Faculty of Economics and Administration
Autumn 2009
Extent and Intensity
24/0. 12 credit(s). Type of Completion: zk (examination).
Teacher(s)
prof. Mag. Dr. Werner Günther Müller (lecturer)
doc. Ing. Daniel Němec, Ph.D. (assistant)
Guaranteed by
doc. Ing. Daniel Němec, Ph.D.
Department of Economics – Faculty of Economics and Administration
Contact Person: Mgr. Klára Šmídová
Timetable
Tue 13. 10. 9:20–11:50 N, 12:50–15:20 N, Tue 27. 10. 9:20–11:50 N, 12:50–15:20 N, Tue 10. 11. 9:20–11:50 N, 12:50–15:20 N, Tue 24. 11. 9:20–11:50 N, 12:50–15:20 N
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.
fields of study / plans the course is directly associated with
there are 22 fields of study the course is directly associated with, display
Course objectives
The course introduces students to common used econometric tools and techniques. Students shall gain sufficient knowledge and experience for his/her independent and qualified work with empirical data. The student should be able to formulate correctly, to identify economic models and to interpret the results accordingly.
Syllabus
  • 1. Introduction to linear regression model – ordinary linear regression model, least squares method, testing of hypothesis;
  • 2. Heteroskedascity and autocorrelation – causes, consequences, testing, solution;
  • 3. Other estimation tools and techniques – method of instrumental variables, GMM, maximal likelyhood (principles and examples of use), tests of specifications;
  • 4. Discrete choice models – probit, logit, tobit models and their alternatives (principles, use and interpretation of results of estimation);
  • 5. Models of time series – ARMA processes, unit root tests, cointegration of time series and error-correction models, VAR models (pronciples and examples of use);
  • 6. Panel data models – basic principles and variations, estimation methods
Literature
  • - Verbeek, Marno: A Guide to Modern Econometrics. John Wiley & Sons , 3rd edition, 2008
Assessment methods
empirical project and the defense of the project
Language of instruction
English
Further Comments
Study Materials
The course can also be completed outside the examination period.
The course is taught annually.
The course is also listed under the following terms Autumn 2010, Autumn 2011, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, Autumn 2017, Autumn 2018, Autumn 2019, Autumn 2020, Autumn 2021, Autumn 2022, Autumn 2023, Autumn 2024.
  • Enrolment Statistics (Autumn 2009, recent)
  • Permalink: https://is.muni.cz/course/econ/autumn2009/DXE_EMTR