ESF:BPE_INEC Introduction to Econometrics - Course Information

BPE_INEC Introduction to Econometrics

Extent and Intensity

1/1. 8 credit(s). Type of Completion: zk (examination).

Teacher(s)

doc. Ing. Daniel Němec, Ph.D. (seminar tutor)

Guaranteed by

doc. Ing. Daniel Němec, Ph.D.
Department of Economics – Faculty of Economics and Administration
Contact Person: doc. Ing. Daniel Němec, Ph.D.

Prerequisites

elementary probability and mathematical statistics

Course Enrolment Limitations

The course is offered to students of any study field.

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

• I. Introduction to econometrics – normal linear regression model, ordinary least squares method, maximal likelihood estimator (1 block)
• II. Freeing up the classical assumptions – heteroskedasticity, autocorrelation, instrumental variable method (1 block)
• III. Models for panel data and qualitative choice and limited dependent variable models (2 blocks)
• IV. Time Series econometrics – defining stationarity, modeling volatility, time series regression, unit roots, granger causality, cointegration, vector autoregression (2 blocks)

Literature

• KOOP, Gary. Introduction to econometrics. Chichester: John Wiley & Sons, 2008, 371 s. ISBN 9780470032701. info
• 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
• GUJARATI, Damodar N. and Dawn C. PORTER. Basic econometrics. 5th ed. Boston: McGraw-Hill, 2009, xx, 922. ISBN 9780071276252. info
• WOOLDRIDGE, Jeffrey M. Introductory econometrics : a modern approach. 4th ed. (International stude. Canada: South-Western, 2009, xx, 865. ISBN 9780324585483. info
• KENNEDY, Peter. A guide to econometrics. 6th ed. Malden: Blackwell, 2008, xii, 585. ISBN 9781405182584. info

Teaching methods

tutorials, class discussion, computer labs practices, drills

Assessment methods

final project, written and oral exam

Language of instruction

English

Further Comments

The course is taught only once.
The course is taught: in blocks.

Listed among pre-requisites of other courses

• MPF_APFE Applied Financial Econometrics
  BPE_ZAEK || BPE_INEC  

• Enrolment Statistics (Autumn 2009, recent)
  
• Permalink: https://is.muni.cz/course/econ/autumn2009/BPE_INEC