Gurantor department | Department of Systems Engineering | Credits | 5 |

Subject guarantor | prof. Ing. Jana Hančlová, CSc. | Subject version guarantor | prof. Ing. Jana Hančlová, CSc. |

Study level | undergraduate or graduate | Requirement | Compulsory |

Year | 2 | Semester | winter |

Study language | English | ||

Year of introduction | 2019/2020 | Year of cancellation | |

Intended for the faculties | EKF | Intended for study types | Follow-up Master |

Instruction secured by | |||
---|---|---|---|

Login | Name | Tuitor | Teacher giving lectures |

CHY0034 | Mgr. Ing. Lucie Chytilová, Ph.D. | ||

HAN60 | prof. Ing. Jana Hančlová, CSc. |

Extent of instruction for forms of study | ||
---|---|---|

Form of study | Way of compl. | Extent |

Full-time | Credit and Examination | 2+2 |

The aim of the course is to master the process of econometric modeling with a focus on economic interpretation, model verification and its subsequent use in micro and macro management and decision making.

Lectures

Tutorials

1. Introduction to econometrics (definition of econometrics, relation to other scientific disciplines, clarification of basic concepts, origin of econometrics, process of econometric modeling).
2. Time series analysis (types of time series, methods of time series, decomposition of time series, regression analysis, model verification).
3. Simple linear regression model (meaning of regression analysis, population versus selective regression line).
4. Least Squares Method (LSM, fit of regression line to data, assumptions of classical simple regression model and their verification).
5. Multiple regression model (definition of classical multivariate linear regression model, assumptions, matrix notation, corrected determination coefficient).
6. Statistical verification (regression coefficients, model as a whole).
7. Econometrical verification - autocorrelation, heteroskedasticity, multicolinearity, normality, model specification.
8. Functional forms (exponential model, LIN-LOG model, LOG-LIN model, reciprocal model) + economic interpretation.
9. Prediction (prediction error, point or interval prediction, ex-post and ex-ante prediction).
10. Techniques of artificial variables - dummy variables.
11. Panel data (definition of panel models, fixed effects (time or space, level constants or slope coefficient), random component effect).

BALTAGI, Badi H. Econometrics (Classroom Companion: Economics). 6th ed. Syracuse, Ny, USA: Sysracuse University, 2021. ISBN 978-3-030-80148-9.
GUJARATI, Damodar N. Essential for Econometrics. 5th ed. Los Angeles: SAGE, 2022. ISBN 9781071850404.
WOOLDRIDGE, Jeffrey M. Introductory Econometrics: a modern approach. 7th ed. Boston: Cengage, 2020. ISBN 9781337558860.

DHRYMES, Phoebus. Introductory Econometrics with contribution by John Guerard. Cham, Switzerland: Springer, 2017. ISBN 978-3319659145.
GREENE, William. H. Econometric Analysis. 8th ed. New York: Pearson Education, 2018. ISBN 978-9353061074.
HANSEN, Bruce E. Econometrics. Princeton, New Jersey: Princeton University Press, 2022. ISBN 978-0691235899.

Credit:
- active participation in seminars, presentation of the project topic,
- processing of the project according to the required structure and submission in LMS Moodle.
- getting at least 23 points out of 45.
Exam:
- oral - defense of the project and oral questions from the given topics in LMS Moodle.

Students have all presentation, case studies, assignments and exercise data in LMS Moodle.
LMS Moodle

- participation in exercises 80%,
- ongoing project work,
- submission of the processed project by the end of January.

Subject has no prerequisities.

Subject has no co-requisities.

1. Introduction to econometrics (definition of econometrics, relation to other scientific disciplines, clarification of basic concepts, origin
econometrics, process of econometric modeling)
2. Analysis of time series (types of time series (TS), methods of analysis of TS, decomposition of TS, Box-Jenkins methodology, regression analysis, spectral analysis, model verification)
3. Simple linear regression model (meaning of regression analysis, population versus selective regression line, essence of least squares approximation (LSA), fit of regression line to data, assumptions of classical simple regression model and their verification)
4. Multiple regression model_1 (definition of classical multivariate linear regression model (CMLRM), assumptions of CMLRM, matrix notation of CMLRM, corrected determination coefficient)
5. Multiple regression model_2 (residue normality testing)
6. Statistical verification (regression coefficients, model as a whole)
7. Econometric verification - problem of autocorrelation
8. Econometric verification - problem of heteroskedasticity
9. Econometric verification - problem of multicolinearity
10. Economic verification - model specification
11. Prediction (error of prediction, point or interval prediction, ex-post and ex-ante prediction, mean value prediction or individual values prediction of the explained variable)
12. Functional forms (exponential model, LIN-LOG model, LOG-LIN model, reciprocal model)
13. Technique of artificial variables (qualitative or discrete character of factors and technique of artificial variables, ANOVA models, ANCOVA models, regression models with 1 quantitative and 1 qualitative variable with broader scale, application of technology artificial variables)
14. Panel data (definition of panel models, fixed effects (time or space, level constants or slope constant), random effects)

Task name | Type of task | Max. number of points
(act. for subtasks) | Min. number of points | Max. počet pokusů |
---|---|---|---|---|

Credit and Examination | Credit and Examination | 100 (100) | 51 | |

Credit | Credit | 45 | 23 | 2 |

Examination | Examination | 55 | 28 | 3 |

Show history

Conditions for subject completion and attendance at the exercises within ISP: - participation in training as agreed with the guarantor - submission of the project proposal by the 4th week of the semester, - project processing and submission to LMS Moodle - obtaining at least 23 points from the project. - project defense and oral exam.

Show history

Academic year | Programme | Branch/spec. | Spec. | Zaměření | Form | Study language | Tut. centre | Year | W | S | Type of duty | |
---|---|---|---|---|---|---|---|---|---|---|---|---|

2024/2025 | (N0311A050012) Applied economics | (S01) International Economic Relations | P | Czech | Ostrava | 1 | Compulsory | study plan | ||||

2024/2025 | (N0412A050005) Finance | P | English | Ostrava | 2 | Compulsory | study plan | |||||

2024/2025 | (N0311EKF023) Economics | P | Czech | Ostrava | 1 | Choice-compulsory type B | study plan | |||||

2024/2025 | (N0311A050013) Applied Economics | (S01) Economic Development | P | English | Ostrava | 1 | Compulsory | study plan | ||||

2023/2024 | (N0311A050012) Applied economics | (S01) International Economic Relations | P | Czech | Ostrava | 1 | Compulsory | study plan | ||||

2023/2024 | (N0412A050005) Finance | P | English | Ostrava | 2 | Compulsory | study plan | |||||

2023/2024 | (N0311A050013) Applied Economics | (S01) Economic Development | P | English | Ostrava | 1 | Compulsory | study plan | ||||

2023/2024 | (N0311EKF023) Economics | P | Czech | Ostrava | 1 | Choice-compulsory type B | study plan | |||||

2022/2023 | (N0311A050012) Applied economics | (S01) International Economic Relations | P | Czech | Ostrava | 1 | Compulsory | study plan | ||||

2022/2023 | (N0311A050013) Applied Economics | (S01) Economic Development | P | English | Ostrava | 1 | Compulsory | study plan | ||||

2022/2023 | (N0412A050005) Finance | P | English | Ostrava | 2 | Compulsory | study plan | |||||

2021/2022 | (N0311A050012) Applied economics | (S01) International Economic Relations | P | Czech | Ostrava | 1 | Compulsory | study plan | ||||

2021/2022 | (N0311A050013) Applied Economics | (S01) Economic Development | P | English | Ostrava | 1 | Compulsory | study plan | ||||

2021/2022 | (N0412A050005) Finance | P | English | Ostrava | 2 | Compulsory | study plan | |||||

2020/2021 | (N0311A050012) Applied economics | (S01) International Economic Relations | P | Czech | Ostrava | 1 | Compulsory | study plan | ||||

2020/2021 | (N0311A050013) Applied Economics | (S01) Economic Development | P | English | Ostrava | 1 | Compulsory | study plan | ||||

2020/2021 | (N0412A050005) Finance | P | English | Ostrava | 2 | Compulsory | study plan | |||||

2019/2020 | (N0311A050012) Applied economics | (S01) International Economic Relations | P | Czech | Ostrava | 1 | Compulsory | study plan | ||||

2019/2020 | (N0311A050013) Applied Economics | (S01) Economic Development | P | English | Ostrava | 1 | Compulsory | study plan | ||||

2019/2020 | (N0412A050005) Finance | P | English | Ostrava | 2 | Compulsory | study plan |

Block name | Academic year | Form of study | Study language | Year | W | S | Type of block | Block owner |
---|

2023/2024 Winter |

2021/2022 Winter |