157-0587/01 – Econometrics (ECON)

Gurantor departmentDepartment of System EngineeringCredits5
Subject guarantorprof. Ing. Jana Hančlová, CSc.Subject version guarantorprof. Ing. Jana Hančlová, CSc.
Study levelundergraduate or graduate
Study languageEnglish
Year of introduction2012/2013Year of cancellation2013/2014
Intended for the facultiesEKFIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
HAN60 prof. Ing. Jana Hančlová, CSc.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Examination 2+2

Subject aims expressed by acquired skills and competences

The basic aim of the course is to provide some of the developments in the theory and practice of econometrics in economics using statistical package SPSS. Students will discuss the steps involved in traditional econometric methodology – statement of theory or hypothesis, specification of mathematical and econometric models, obtaining and analysing data, estimation of the econometric models, statistical hypothesis testing, econometric verification of the models ( multicollinearity, heteroscedasticity, autocorrelation problem, normality of the disturbances). Attention is devoted the questions of the functional form of the regression models. Students will be introduced to the possibilities of econometric models applications for prediction, control or policy purposes.

Teaching methods

Lectures
Individual consultations
Tutorials
Project work

Summary

1. Introduction to econometrics (subject of econometrics, methodology 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 of 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 (exponential regression model, semi log models and reciprocal models). 11. Dummy variable regression models.

Compulsory literature:

GUJARATI, Damodar N. Basic Econometrics. 4th ed. Singapore: Mc Graw-Hill, 2003, 1002 s. ISBN 0-07-233542-4. WOOLDRIDGE, Jeffrey M. Introductory Econometrics: A Modern Approach. 4th ed. Mason. Ohio: South Western Cengage Learning, 2008. 912 pp. ISBN 978-0-324-58162-1.

Recommended literature:

GREENE, William.H. Econometric Analysis. Pearson Education, 2008. ISBN 9780135137406. HEIJ, CH. et al: Econometrics Methods with Applications in Business and Economics. Oxford: Oxford University Press, 2004. ISBN 0-19-926801-0. RAMANATHAN, Ramu. 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

A. Project Assignments + quizzes (min 26 points/max 53) : 1. Introduction, contents, goal of your project. 2. Statement of theory or hypothesis for economic model. 3. Specification of the mathematical model, formulation of the econometric model. 4. Data sources, data analysis, data graph and description of the development. 5. Estimation of the econometric model using example data. 6. Statistical verification of the parameters and model. 7. Misspecification. 8. Econometric verification of the model (multicollinearity, autocorrelation, heteroscedasticity) 9. Economic verification and interpretation. 10. Appreciation of your results in your project. 11. Literature B. Project presentation + C. Exam (B+C oral exam min 24/ max 47).

E-learning

Další požadavky na studenta

A. Project Assignments + quizzes (min 26 points/max 53) : 1. Introduction, contents, goal of your project. 2. Statement of theory or hypothesis for economic model. 3. Specification of the mathematical model, formulation of the econometric model. 4. Data sources, data analysis, data graph and description of the development. 5. Estimation of the econometric model using example data. 6. Statistical verification of the parameters and model. 7. Misspecification. 8. Econometric verification of the model (multicollinearity, autocorrelation, heteroscedasticity) 9. Economic verification and interpretation. 10. Appreciation of your results in your project. 11. Literature B. Project presentation + C. Exam (B+C oral exam min 24/ max 47).

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Introduction to econometrics (subject of econometrics, methodology 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 of 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 (exponential regression model, semi log models and reciprocal models). 11. Dummy variable regression models.

Conditions for subject completion

Conditions for completion are defined only for particular subject version and form of study

Occurrence in study plans

Academic yearProgrammeField of studySpec.FormStudy language Tut. centreYearWSType of duty

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner
Incoming students 2013/2014 Full-time Czech Choice-compulsory 163 - International Office stu. block
Incoming Students 2012/2013 Full-time Czech Choice-compulsory 163 - International Office stu. block