157-0360/01 – Econometrics (EKON)

The aim of the course is to acquire the process of econometric modeling with a focus on model formulation, analysis and transformation of input time series, verification of the estimated model, economic interpretation of the results, and their practical application in management and decision-making at the micro or macro level.

1. Introduction to Econometrics Definition of econometrics, its relationship to other scientific disciplines, explanation of basic concepts, origins of econometrics, and the process of econometric modeling. 2. Time Series Analysis Types of time series, methods of time series analysis, decomposition of time series, regression analysis, and model verification. 3. Simple Linear Regression Model Importance of regression analysis, population vs. sample regression line, the principle of the least squares method, goodness of fit, assumptions of the classical simple regression model and their testing. 4. Multiple Regression Model Definition of the classical multivariate linear regression model, assumptions, matrix notation, and adjusted coefficient of determination. 5. Statistical Verification Testing of regression coefficients and the model as a whole. 6. Econometric Verification Detection and treatment of autocorrelation, heteroskedasticity, multicollinearity, normality, and model specification errors. 7. Functional Forms Exponential model, LIN-LOG model, LOG-LIN model, reciprocal model, and economic interpretation of regression parameters. 8. Forecasting Forecast error, point and interval forecasts, ex-post and ex-ante forecasting. 9. Dummy Variable Technique 10. Panel Data Definition of panel data models and fixed effects.

ASTERIOU, Dimitrios a STEPHEN G. HALL, 2021. Applied Econometrics. Bloomsbury Publishing. ISBN 9781350306141. GREENE, William H., 2017. Econometric analysis. Upper Saddle River, NJ: Pearson Prentice Hall. ISBN 9780135137406. HANSEN, Bruce, 2022. Econometrics. Princeton University Press. ISBN 978-0691235899.

Elaboration of a semester project on econometric modeling on a selected topic by the student. The oral exam includes the defense of the semester project and 2 questions verifying knowledge of econometrics.