639-0803 – Econometrics (EM)

Gurantor departmentDepartment of Quality Management
Subject guarantorprof. RNDr. Josef Tošenovský, CSc.
Study levelundergraduate or graduate
Subject version
Version codeYear of introductionYear of cancellationCredits
639-0803/01 2004/2005 2010/2011 5
639-0803/02 2004/2005 5

Subject aims expressed by acquired skills and competences

1) Knowledge of elementary terms and methods of econometrics: time series analysis, regression analysis prerequisites and their verification, GLS and 2SLS methods. 2) Ability to apply the basic methods in economic data analysis

Teaching methods

Lectures
Seminars
Tutorials
Project work

Summary

The choice of the chapters of mathematical statistics which are especially important for modelling of economical relations - regression and time series analysis. The conditions needed for their applications are studied and alternative procedures are developed in case that the basis conditions cannot be completed (heteroskedasticity, autocorelation,multicolinearity). With time series the models AR, MA, ARMA and ARIMA are studied.

Compulsory literature:

1. Wei,W.W.: Time Series Analysis -Univariate and Multivariate Methods, Addison - Wesley Publishing Comp., Inc., 1990. 2. Koutsoyiannis,A.: Theory of Econometrics. Hong Kong: Macmillan, 1973. 3. Novales, A.: Econometria. McGraw-Hill, Madrid, 1988.

Recommended literature:

1. Greene, W. H.: Econometric Analysis. 6th ed., 2008 New Jersey: Prentice Hall. 2. Montgomery, D.C., Jennings, Ch.L., Kulahci, M.: Introduction to Time Series Analysis and Forecasting. NY, Wiley. 2008. ISBN: 978-0-471-65397-4. 3. Mendenhall, W., Sincich, T.: A Second Course in Statistics: Regression Analysis. Sixt Edition. Perason Education, New Jersey, 2003. ISBN: 0-13-022323-9. 4. Draper, N.R., Smith, H.: Applied Regression Analysis. 3rd Edition. NY, Wiley. 1998. ISBN: 978-0-471-17082-2 5. Ryan, T.P.: Modern Regression Methods, 2nd Edition. NY, Wiley.2008. ISBN: 978-0-470-08186-0 6. Box, G.E.P., Jenkins, G.M., Reinsel, G.C.:Time Series Analysis: Forecasting and Control, 4th Edition. NY, Wiley, 2008. ISBN: 978-0-470-27284-8

Prerequisities

Subject codeAbbreviationTitleRequirement
639-0402 MS Mathematical Statistics Recommended
639-0405 TP Theory of Probability Recommended

Co-requisities

Subject has no co-requisities.