MPE_ECNM Econometrics

Ekonomicko-správní fakulta
jaro 2024
Rozsah
2/2/0. 8 kr. Ukončení: zk.
Vyučující
Nicolás Blampied (přednášející)
Ing. Jaroslav Groero, MA, Ph.D. (přednášející)
doc. Ing. Daniel Němec, Ph.D. (přednášející)
Nicolás Blampied (cvičící)
Ing. Jaroslav Groero, MA, Ph.D. (cvičící)
doc. Ing. Daniel Němec, Ph.D. (cvičící)
Garance
doc. Ing. Daniel Němec, Ph.D.
Katedra ekonomie – Ekonomicko-správní fakulta
Kontaktní osoba: Mgr. Jarmila Šveňhová
Dodavatelské pracoviště: Katedra ekonomie – Ekonomicko-správní fakulta
Rozvrh
Pá 10:00–11:50 VT314, kromě Pá 5. 4.
  • Rozvrh seminárních/paralelních skupin:
MPE_ECNM/01: Pá 12:00–13:50 VT314, kromě Pá 5. 4., N. Blampied, J. Groero
Předpoklady
(! MPE_AECM Econometrics ) && (! MPE_EKON Ekonometrie ) && (!NOWANY( MPE_AECM Econometrics , MPE_EKON Ekonometrie ))
For elementary probability, mathematical statistics and introductory econometrics, passing the courses Introduction to Econometrics (BPE_INEC) or Modelling in R (MPE_MOIR) is highly recommended.
Omezení zápisu do předmětu
Předmět je nabízen i studentům mimo mateřské obory.
Předmět si smí zapsat nejvýše 24 stud.
Momentální stav registrace a zápisu: zapsáno: 5/24, pouze zareg.: 0/24, pouze zareg. s předností (mateřské obory): 0/24
Mateřské obory/plány
Cíle předmětu
The course is designed to give students experience in 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 on economics, finance, and empirical studies in other business areas. Topics of introductory econometrics will be expanded to a more advanced level. Advanced econometric topics include time-series econometrics and methods, panel data models, and models with limited dependent variable models.
We start with regression analysis with time-series data. Careful attention is given to interpreting regression results, hypothesis testing and diagnostic tests. Further topics in regression analysis are presented, including panel data models and limited dependent variables models. By the end of the course, students should be able to use regression models in many different applications and critically examine reported regression results in empirical research in economics and other business studies. They can identify and deal with several econometric problems in analysing time series, cross-sectional and panel data. They will have experience with a range of advanced econometric tools and techniques.
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. Basic Regression Analysis with Time Series Data (Trends and Seasonality)
  • 2. Further Issues in Using OLS with Time Series Data (Stationary and Weakly Dependent Time Series)
  • 3. Serial Correlation and Heteroskedasticity in Time Series Regressions (Robust Inference, Diagnostic Tests)
  • 4. Advanced Time Series Topics (testing for unit roots, cointegration, forecasting)
  • 5. Pooling Cross Sections Across Time: Simple Panel Data Methods
  • 6. Advanced Panel Data Methods (Fixed Effects Estimation, Random Effects Models, The Correlated Random Effect Approach, General Policy Analysis with Panel Data)
  • 6. Limited Dependent Variable Models and Sample Selection Corrections
Literatura
    povinná literatura
  • WOOLDRIDGE, Jeffrey M. Introductory econometrics : a modern approach. Seventh edition. Boston: Cengage Learning, 2020, xxi, 826. ISBN 9781337558860. info
  • HEISS, Florian. Using R for introductory econometrics. 2nd edition. Düsseldorf: Florian Heiss, 2020, 368 stran. ISBN 9788648424364. info
    doporučená literatura
  • BALTAGI, Badi H. Econometric analysis of panel data. Sixth edition. Cham: Springer, 2021, xx, 424. ISBN 9783030539528. info
  • HEIJ, Christiaan. Econometric methods with applications in business and economics. 1st ed. Oxford: Oxford University Press, 2004, xxv, 787. ISBN 9780199268016. info
  • HILL, R. Carter, William E. GRIFFITHS a Guay C. LIM. Principles of econometrics. Fifth edition. Hoboken: Wiley Custom, 2018, xxvi, 878. ISBN 9781119510567. info
Výukové metody
tutorials, class discussion, computer labs practices, drills
Metody hodnocení
assignments in the seminar group, homework, written exam
Vyučovací jazyk
Angličtina
Další komentáře
Studijní materiály
Předmět je vyučován každoročně.
Nachází se v prerekvizitách jiných předmětů
Předmět je zařazen také v obdobích jaro 2016, jaro 2017, jaro 2018, jaro 2019, jaro 2020, jaro 2021, jaro 2022, jaro 2023, jaro 2025.