PMEM2B Mathematical Methods in Economics II B

Faculty of Economics and Administration
Spring 2009
Extent and Intensity
2/2/0. 5 credit(s). Type of Completion: zk (examination).
Teacher(s)
prof. Ing. Osvald Vašíček, CSc. (lecturer)
Ing. Miroslav Hloušek, Ph.D. (seminar tutor)
doc. Ing. Daniel Němec, Ph.D. (seminar tutor)
doc. Ing. Jan Čapek, Ph.D. (assistant)
Guaranteed by
prof. Ing. Osvald Vašíček, CSc.
Department of Economics – Faculty of Economics and Administration
Contact Person: Lydie Pravdová
Timetable
Thu 17:10–18:45 P101
  • Timetable of Seminar Groups:
PMEM2B/1: Mon 14:35–16:15 VT206, M. Hloušek
PMEM2B/2: Thu 15:30–17:05 VT206, M. Hloušek
PMEM2B/3: Thu 11:05–12:45 VT206, D. Němec
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 6 fields of study the course is directly associated with, display
Course objectives
The course deals with mathematical-statistical approaches to the analysis of economic processes described by time series.
The introductory part of the course acquaints students with the basics of using index numbers and their application in the area of time series.
The course participants are also introduced to methodological starting-points and the application of the classic procedures of time series decomposition, based on regression approaches. These are non-adaptive methods of description of the process development by a trend expressed by mathematical curves, and adaptive methods, such as polynomial moving averages and methods of exponential smoothing.
Simple regression methods of adjustment for seasonal influence in a time series are also covered. Last but not least, this part of the course also explains and applies in practice the procedures of forecasts based on time series smoothed by the above-mentioned methods.
The final part of the course summarises the gained knowledge and is devoted to the explanation of the process of behaviour of one economic variable on the basis of behaviour of other variables through a quantified, statistically analysed single-equation model and the use of the model for forecasting the development of the explained variable.
Syllabus
  • 1. Basal and chained indices, derived indicators.
  • 2. Time series decomposition - trend, cyclical, seasonal and random component. Linear regression model. Trend in a time series.
  • 3. Ordinary least squares.
  • 4. Polynomial trends, significance bands, forecast, forecast bands.
  • 5. Exponential trend, weighted least squares. Modified exponential trend, method of group differences.
  • 6. Logistic trend, level of saturation, curves symmetric around inflex point, differential estimate of parameters. Gompertz curve.
  • 7. Method of moving averages, derivation of polynomial moving average weights, calculation of initial and final values, calculation of a forecast.
  • 8. Exponential smoothing. Single and double exponential smoothing, forecast.
  • 9. Analysis of a seasonal component - simple and regression approach.
  • 9. Basic conceptions of Box-Jenkins methodology. Autocorrelation properties of time series, stationarity, autocovariance and autocorrelation functions and their estimation, Bartlett approximation, partial autocorrelation function, Quenouill approximation, linear process.
  • 10. Stationarity, autocorrelation properties of time series, autocovariance, autocorrelation and partial autocorrelation functions and its estimates.
  • 11. Single equation econometric model I - description, parameter estimation, model verification.
  • 12. Single equation econometric model II – tests for autocorrelation, homoskedasticity and multicolinearity
  • 13. Generalized least squares.
Literature
  • NOVÁK, Ilja, Richard HINDLS and Stanislava HRONOVÁ. Metody statistické analýzy pro ekonomy. 2. přepracované vyd. Praha: Management Press, 2000, 259 s. ISBN 80-7261-013-9. info
  • KVASNIČKA, Michal and Dalibor MORAVANSKÝ. Ekonomicko-matematické metody. Brno: Masarykova univerzita Brno, 2004, 116 pp. 1.vyd. ISBN 80-210-3477-7. info
  • HUŠEK, Roman. Základy ekonometrické analýzy. 1. vyd. Praha: Vysoká škola ekonomická v Praze, 1995, 225 s. ISBN 8070791020. info
  • CIPRA, Tomáš. Analýza časových řad s aplikacemi v ekonomii. 1. vyd. Praha: SNTL - Nakladatelství technické literatury, 1986, 246 s. URL info
  • ARLT, Josef, Markéta ARLTOVÁ and Eva RUBLÍKOVÁ. Analýza ekonomických časových řad s příklady. 1.vyd.Praha: Vysoká škola ekonomická Praha, 2002, 148 pp. ISBN 80-245-0307-7. info
  • GREENE, William H. Econometric analysis. 5th ed. Upper Saddle River, N.J.: Prentice Hall, 2003, xxx, 1026. ISBN 0131108492. info
Assessment methods
During the semester: 2 progress tests, one project and reviews on projects of fellow students.
Exam at the end of semester: Written and oral.
More detailed info in IS MU (file rules.pdf)
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
Information on course enrolment limitations: 10 pouze přednáška
The course is also listed under the following terms Spring 2002, Spring 2003, Spring 2004, Spring 2005, Spring 2006, Spring 2007, Spring 2008.
  • Enrolment Statistics (recent)
  • Permalink: https://is.muni.cz/course/econ/spring2009/PMEM2B