MPE_ECNM Econometrics

Ekonomicko-správní fakulta
jaro 2020
Rozsah
2/2/0. 8 kr. Ukončení: zk.
Vyučující
Ketevani Kapanadze (přednášející)
doc. Ing. Daniel Němec, Ph.D. (přednášející)
prof. Ing. Osvald Vašíček, CSc. (přednášející)
Ketevani Kapanadze (cvičící)
doc. Ing. Daniel Němec, Ph.D. (cvičící)
Garance
prof. Ing. Osvald Vašíček, CSc.
Katedra ekonomie – Ekonomicko-správní fakulta
Kontaktní osoba: Mgr. Jarmila Šveňhová
Dodavatelské pracoviště: Katedra ekonomie – Ekonomicko-správní fakulta
Rozvrh
Pá 12:00–13:50 VT206
  • Rozvrh seminárních/paralelních skupin:
MPE_ECNM/01: Pá 14:00–15:50 VT206, D. Němec
Předpoklady
(! MPE_AECM Econometrics ) && (! MPE_EKON Ekonometrie ) && (!NOWANY( MPE_AECM Econometrics , MPE_EKON Ekonometrie ))
basic matrix algebra, elementary probability and mathematical statistics, passing the course Introduction to econometrics (BPE_INEC or BPE_ZAEK) (recommended)
Omezení zápisu do předmětu
Předmět je určen pouze studentům mateřských oborů.

Předmět si smí zapsat nejvýše 15 stud.
Momentální stav registrace a zápisu: zapsáno: 0/15, pouze zareg.: 0/15
Mateřské obory/plány
Cíle předmětu
The course is designed to give students experience of using basic and advanced 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. Topics of introductory econometrics (covered in "Introduction to Econometrics") will be reviewed and expanded into more advanced level. Advanced econometric topics include non-linear least squares, instrumental variable estimators, maximum likelihood method, and generalised method of moments.
We start with a short review of linear regression model and least squares method. Careful attention is given to the interpretation of regression results, hypothesis testing and to diagnostic tests. Moreover, further topics in regression analysis are presented including time series econometrics, 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, cross-sectional and panel data, and will have experience of a range of basic and advanced econometric methods.
Výstupy z učení
The course is designed to provide students with a working knowledge of basic and advanced econometric tools so that:
They can apply these tools to modelling, estimation, inference, and forecasting in the context of real economic problems;
They can evaluate critically the results and conclusions from others who use econometric methods and tools;
They have a foundation and understanding for further study of econometric theory.
Osnova
  • 1. Linear regression model, least squares method and classical assumption
  • 2. Modelling issues and further inference in the multiple regression model
  • 3. Freeing up the classical assumptions (heteroskedasticity and autocorrelation)
  • 4. Introduction to non-linear methods (non-linear least square, maximum likelihood estimation, generalised method of moments)
  • 5. Endogenous regressors and instrumental variables
  • 6. Qualitative and limited dependent variable models
  • 7. Regression with time series data (stationary variables)
  • 8. Regression with time series data (nonstationary variables)
  • 9. Panel data models
  • 10. Vector error correction and vector autoregressive models
Literatura
    povinná literatura
  • HILL, R. Carter, William E. GRIFFITHS a Guay C. LIM. Principles of econometrics. 4th ed. Hoboken: John Wiley & Sons, 2012, xxvi, 758. ISBN 9780470873724. info
  • HEIJ, Christiaan. Econometric methods with applications in business and economics. 1st ed. Oxford: Oxford University Press, 2004, xxv, 787. ISBN 9780199268016. info
    doporučená literatura
  • GUJARATI, Damodar N. a Dawn C. PORTER. Basic econometrics. 5th ed. Boston: McGraw-Hill, 2009, xx, 922. ISBN 9780071276252. info
  • KENNEDY, Peter. A guide to econometrics. 6th ed. Malden: Blackwell, 2008, xii, 585. ISBN 9781405182584. info
  • KOOP, Gary. Introduction to econometrics. Chichester: John Wiley & Sons, 2008, 371 s. ISBN 9780470032701. info
Výukové metody
tutorials, class discussion, computer labs practices, drills
Metody hodnocení
final project, written and oral exam
Vyučovací jazyk
Angličtina
Další komentáře
Studijní materiály
Předmět je vyučován každoročně.
Tento kurz je ekvivalentní českému MPE_EKON a může být za něj uznán. Také je ekvivalentem MPE_AECM.This course is an equivalent to MPE_EKON and MPE_AECM.
Nachází se v prerekvizitách jiných předmětů
Předmět je zařazen také v obdobích jaro 2016, jaro 2017, jaro 2018, jaro 2019, jaro 2021, jaro 2022, jaro 2023, jaro 2024, jaro 2025.