151-0317/03 – Econometrics (EKON)
| Gurantor department | Department of Mathematical Methods in Economics | Credits | 5 |
| Subject guarantor | prof. Ing. Jana Hančlová, CSc. | Subject version guarantor | prof. Ing. Jana Hančlová, CSc. |
| Study level | undergraduate or graduate | Requirement | Choice-compulsory |
| Year | 2 | Semester | winter |
| | Study language | Czech |
| Year of introduction | 2004/2005 | Year of cancellation | 2012/2013 |
| Intended for the faculties | EKF | Intended for study types | Master, Follow-up Master |
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:
Recommended literature:
Additional study materials
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.
Other requirements
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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
Occurrence in study plans
Occurrence in special blocks
Assessment of instruction
Předmět neobsahuje žádné hodnocení.