Gurantor department | Department of Quality Management |

Subject guarantor | prof. RNDr. Josef Tošenovský, CSc. |

Study level | undergraduate or graduate |

Subject version | |||
---|---|---|---|

Version code | Year of introduction | Year of cancellation | Credits |

639-0803/01 | 2004/2005 | 2010/2011 | 5 |

639-0803/02 | 2004/2005 | 2018/2019 | 5 |

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

Lectures

Seminars

Tutorials

Project work

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.

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.

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

Subject code | Abbreviation | Title | Requirement |
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639-0402 | MS | Mathematical Statistics | Recommended |

639-0405 | TP | Theory of Probability | Recommended |

Subject has no co-requisities.