151-0317/02 – Econometrics (EKON)

Gurantor departmentDepartment of Mathematical Methods in EconomicsCredits5
Subject guarantorprof. Ing. Jana Hančlová, CSc.Subject version guarantorprof. Ing. Jana Hančlová, CSc.
Study levelundergraduate or graduateRequirementCompulsory
Year2Semesterwinter
Study languageCzech
Year of introduction2004/2005Year of cancellation2012/2013
Intended for the facultiesEKFIntended for study typesBachelor, Follow-up Master, Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
CER417 Ing. Josef Černý
HAN60 prof. Ing. Jana Hančlová, CSc.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Credit and Examination 2+2

Subject aims expressed by acquired skills and competences

Aims of the course: The course covers basics of econometric modeling, methods and techniques of quantitative macro and microeconomic analysis and forecasting. It assumes knowledge in economics, mathematics and statistics. Software product SPSS is used in the exercises.

Teaching methods

Lectures
Individual consultations
Tutorials
Project work

Summary

1. Introduction to econometrics ( subject of economterics, metodology of econometrics) 2. Simple linear regression function ( the nature of regression analysis, the concept of population and sample regression function ( deterministic and stochastic version), the method of ordinary least squares, coefficient of determination) 3. Statistical verification ( testing od regression coefficients, the overall of sample regression model) 4. Autocorrelation (the nature, the consequences of autocorrelation, detection, removing). 5. Heteroscedasticity ( the nature, its consequences, detection, removing, WOLS) 7. Multicollinearity ( ( the nature, its consequences, detection, removing). 8. Model specification (model selection criteria, types of specification errors, consequences, tests) 9. Prediction (ex-post and ex-ante, mean and individual prediction, point and interval prediction). 10. Functional form of regression models (exponencial regression model, semilog models, reciprocal models). 11. Dummy variable regression models.

Compulsory literature:

1. GUJARATI, D.N. Basic Econometrics. 4th Ed., Singapore: Mc Graw-Hill, 2003. ISBN 0-07-233542-4. 2. LMCS Moodle: http://moodle.vsb.cz/vyuka 3. WOOLDRIDGE, J. Introductory Econometrics: A Modern Approach (with Economic Applications Online, Econometrics Data Sets with Solutions Manual, Web Site Printed Access Card), Student Solutions Manual Printed Access Card.). 4th ed. Mason. Ohio: South Western Cengage Learning, 2008. ISBN 9780324581621.

Recommended literature:

1. BROOKS, CH.: Introductory econometrics for finance. Cambridge: Cambridge University Press, 2002. ISBN 0-521-79018-2. 2. GREENE, W.H. Econometric Analysis. Pearson Education, 2008. ISBN 9780135137406. 3. HEIJ, CH. et al: Econometrics Methods with Applications in Business and Economics. Oxford: Oxford University Press, 2004. ISBN 0-19-926801-0. 4. RAMANATHAN, R. Introductory Econometrics with Applications. 5th edition. Harcourt College Publishers, 2002. ISBN-13: 978-0030343421.

Way of continuous check of knowledge in the course of semester

1. Korespondeční úkol KU1 = odevzdání tématu projektu, analýza časoých řad, návrh modelu, první odhad modelu v SPSS = ( dokonce října), kontrola na cvičení. 2. Průběžná kontrola práce na semestrálním projektu na cvičeních - po statsitické veriifkaci, po ekonometrické verifikaci, po predikci.

E-learning

Podpora přednášek a cvičení v Moodle.

Další požadavky na studenta

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Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Introduction to econometrics ( subject of economterics, metodology of econometrics) 2. Simple linear regression function ( the nature of regression analysis, the concept of population and sample regression function ( deterministic and stochastic version), the method of ordinary least squares, coefficient of determination) 3. Statistical verification ( testing od regression coefficients, the overall of sample regression model) 4. Autocorrelation (the nature, the consequences of autocorrelation, detection, removing). 5. Heteroscedasticity ( the nature, its consequences, detection, removing, WOLS) 7. Multicollinearity ( ( the nature, its consequences, detection, removing). 8. Model specification (model selection criteria, types of specification errors, consequences, tests) 9. Prediction (ex-post and ex-ante, mean and individual prediction, point and interval prediction). 10. Functional form of regression models (exponencial regression model, semilog models, reciprocal models). 11. Dummy variable regression models.

Conditions for subject completion

Full-time form (validity from: 2011/2012 Winter semester, validity until: 2011/2012 Summer semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Exercises evaluation and Examination Credit and Examination 100 (100) 51
        Exercises evaluation Credit 45  23
        Examination Examination 55  28
Mandatory attendence parzicipation:

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Occurrence in study plans

Academic yearProgrammeField of studySpec.FormStudy language Tut. centreYearWSType of duty
2012/2013 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 1 Compulsory study plan
2012/2013 (N6209) Systems Engineering and Informatics (1802T001) Applied Informatics P Czech Ostrava 2 Compulsory study plan
2011/2012 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 1 Compulsory study plan
2011/2012 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Compulsory study plan
2010/2011 (N6209) Systems Engineering and Informatics (1802T001) Applied Informatics P Czech Ostrava 1 Choice-compulsory study plan
2010/2011 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Compulsory study plan
2010/2011 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 1 Compulsory study plan
2010/2011 (B6207) Quantitative Methods in Economics (6207R015) Managerial and Decision Making Methods in Economics P Czech Ostrava 3 Compulsory study plan
2010/2011 (B6234) Quantitative Methods and Decision Making in Economics (6207R015) Managerial and Decision Making Methods in Economics P Czech Ostrava 3 Compulsory study plan
2009/2010 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 1 Compulsory study plan
2009/2010 (B6207) Quantitative Methods in Economics (6207R015) Managerial and Decision Making Methods in Economics P Czech Ostrava 3 Compulsory study plan
2009/2010 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Compulsory study plan
2009/2010 (N6209) Systems Engineering and Informatics (1802T001) Applied Informatics P Czech Ostrava 1 Choice-compulsory study plan
2009/2010 (N6208) Economics and Management (6208T062) Marketing and Business (01) Marketing and Business P Czech Ostrava 1 Choice-compulsory study plan
2008/2009 (B6207) Quantitative Methods in Economics (6207R015) Managerial and Decision Making Methods in Economics P Czech Ostrava 3 Compulsory study plan
2008/2009 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 1 Compulsory study plan
2008/2009 (N6209) Systems Engineering and Informatics (1802T001) Applied Informatics P Czech Ostrava 1 Choice-compulsory study plan
2008/2009 (N6209) Systems Engineering and Informatics (6209T025) System Engineering and Informatics P Czech Ostrava 1 Choice-compulsory study plan
2008/2009 (N6208) Economics and Management (6208T062) Marketing and Business (01) Marketing and Business P Czech Ostrava 1 Choice-compulsory study plan
2008/2009 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Compulsory study plan
2008/2009 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 2 Compulsory study plan
2007/2008 (B6207) Quantitative Methods in Economics (6207R015) Managerial and Decision Making Methods in Economics P Czech Ostrava 3 Compulsory study plan
2007/2008 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Compulsory study plan
2007/2008 (N6209) Systems Engineering and Informatics (1802T001) Applied Informatics P Czech Ostrava 1 Choice-compulsory study plan
2007/2008 (N6209) Systems Engineering and Informatics (6209T025) System Engineering and Informatics P Czech Ostrava 1 Choice-compulsory study plan
2007/2008 (M6209) Systems Engineering and Informatics (6209T025) System Engineering and Informatics P Czech Ostrava 4 Choice-compulsory study plan
2007/2008 (N6208) Economics and Management (6208T062) Marketing and Business (01) Marketing and Business P Czech Ostrava 1 Choice-compulsory study plan
2006/2007 (B6207) Quantitative Methods in Economics (6207R015) Managerial and Decision Making Methods in Economics P Czech Ostrava 3 Compulsory study plan
2006/2007 (M6209) Systems Engineering and Informatics (6209T025) System Engineering and Informatics P Czech Ostrava 4 Choice-compulsory study plan
2006/2007 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Compulsory study plan
2006/2007 (N6209) Systems Engineering and Informatics (6209T025) System Engineering and Informatics P Czech Ostrava 1 Choice-compulsory study plan
2006/2007 (N6209) Systems Engineering and Informatics (1802T001) Applied Informatics P Czech Ostrava 1 Choice-compulsory study plan
2006/2007 (N6208) Economics and Management (6208T062) Marketing and Business (01) Marketing and Business P Czech Ostrava 1 Choice-compulsory study plan
2006/2007 (N6202) Economic Policy and Administration (6202T027) National Economy (00) National Economy P Czech Ostrava 1 Choice-compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner