BPE_ZAEK Introduction to Econometrics

Faculty of Economics and Administration
Autumn 2012
Extent and Intensity
2/2. 8 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. Ing. Daniel Němec, Ph.D. (lecturer)
prof. Ing. Osvald Vašíček, CSc. (lecturer)
doc. Ing. Daniel Němec, Ph.D. (seminar tutor)
RNDr. Dalibor Moravanský, CSc. (seminar tutor)
Mgr. Jaroslav Bil (seminar tutor)
Ing. Vladimír Hajko, Ph.D. (seminar tutor)
prof. Ing. Zdeněk Tomeš, Ph.D. (seminar tutor)
Guaranteed by
doc. Ing. Daniel Němec, Ph.D.
Department of Economics – Faculty of Economics and Administration
Contact Person: Lydie Pravdová
Supplier department: Department of Economics – Faculty of Economics and Administration
Timetable
Wed 16:20–17:55 P101
  • Timetable of Seminar Groups:
BPE_ZAEK/01: Wed 18:00–19:35 VT206, D. Němec
BPE_ZAEK/02: Wed 9:20–11:00 VT105, J. Bil
BPE_ZAEK/03: Wed 11:05–12:45 VT206, V. Hajko
BPE_ZAEK/04: Tue 11:05–12:45 VT203, D. Moravanský
BPE_ZAEK/05: Mon 12:50–14:30 VT206, D. Moravanský
BPE_ZAEK/06: Thu 11:05–12:45 VT206, D. Němec
BPE_ZAEK/07: Mon 14:35–16:15 VT206, J. Bil
BPE_ZAEK/08: Tue 14:35–16:15 VT206, Z. Tomeš
BPE_ZAEK/09: Tue 16:20–17:55 VT206, D. Moravanský
BPE_ZAEK/10: Tue 12:50–14:30 VT206, Z. Tomeš
BPE_ZAEK/11: Mon 9:20–11:00 VT105, V. Hajko
BPE_ZAEK/12: Mon 11:05–12:45 VT105, V. Hajko
BPE_ZAEK/13: Wed 12:50–14:30 VT105, J. Bil
BPE_ZAEK/14: Thu 9:20–11:00 VT105, D. Němec
Prerequisites
elementary probability and mathematical statistics
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
there are 20 fields of study the course is directly associated with, display
Course objectives
The course is designed to give students experience of using econometric methods important in economics, finance and other business subjects. It provides skills in regression essential for understanding much of the literature of economics, finance, and empirical studies in other areas of business.
We begin with the simple regression and multiple regression models. They are treated in depth and in range of applications. Careful attention is given to the interpretations of regression results and hypothesis testing. A part of the course introduces various modern tools for analyzing economic time series regression. Moreover, further topics in regression analysis are presented including regression with panel data and binary dependent variable.
By the end of the course students should be able to use regression models in many different applications, and to critically examine reported regression results in empirical research in economics and other business studies. They will be able to identify and deal with a number of econometric problems in the analysis of time series and cross-section data, and will have experience of a range of basic econometric methods.
The course is designed to give students an understanding of why econometrics is necessary and to provide them with a working knowledge of basic econometric tools so that:
They can apply these tools to modeling, estimation, inference, and forecasting in the context of real world economic problems.
They can evaluate critically the results and conclusions from others who use basic econometric tools.
They have a foundation and understanding for further study of econometrics.
They have an appreciation of the range of more advanced techniques that exists and that may be covered in later econometric courses.
Syllabus
  • 1. Introduction to econometrics and working with data
  • 2. A non-technical introduction to regression
  • 3. Simple regression model
  • 4. Multiple regression model
  • 5. Freeing up the classical assumptions - heteroskedasticity
  • 6. Freeing up the classical assumptions - autocorrelated errors
  • 7. Instrumental variables method
  • 8. Qualitative choice and limited dependent variable models
  • 9. Univariate time series analysis
  • 10. Regression with time series variables
  • 11. Vector autoregressive models
  • 12. Models for panel data
  • 13. Other models, methods and issues
Literature
    required literature
  • KOOP, Gary. Introduction to econometrics. Chichester: John Wiley & Sons, 2008, 371 s. ISBN 9780470032701. info
  • CIPRA, Tomáš. Finanční ekonometrie. 1. vyd. Praha: Ekopress, 2008, 538 s. ISBN 9788086929439. info
    recommended literature
  • HILL, R. Carter, William E. GRIFFITHS and Guay C. LIM. Principles of econometrics. 3rd ed. Hoboken: John Wiley & Sons, 2008, xxvii, 579. ISBN 9780471723608. info
  • WOOLDRIDGE, Jeffrey M. Introductory econometrics : a modern approach. 4th ed. (International stude. Canada: South-Western, 2009, xx, 865. ISBN 9780324585483. info
  • GUJARATI, Damodar N. and Dawn C. PORTER. Basic econometrics. 5th ed. Boston: McGraw-Hill, 2009, xx, 922. ISBN 9780071276252. info
  • STOCK, James H. and Mark W. WATSON. Introduction to econometrics. Brief ed. Boston: Pearson/Addison Wesley, 2008, xxvi, 379. ISBN 9780321432513. info
  • KENNEDY, Peter. A guide to econometrics. 6th ed. Malden: Blackwell, 2008, xii, 585. ISBN 9781405182584. info
Teaching methods
lectures, class discussion, computer labs practices, drills
Assessment methods
homeworks, final project, written and oral exam
Language of instruction
Czech
Follow-Up Courses
Further comments (probably available only in Czech)
The course is taught annually.
Listed among pre-requisites of other courses
The course is also listed under the following terms Autumn 2009, Autumn 2010, Autumn 2011, 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 2012, recent)
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