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

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

Study level | undergraduate or graduate | ||

Study language | English | ||

Year of introduction | 2012/2013 | Year of cancellation | 2013/2014 |

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

Instruction secured by | |||
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Login | Name | Tuitor | Teacher giving lectures |

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

Extent of instruction for forms of study | ||
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Form of study | Way of compl. | Extent |

Full-time | Examination | 2+2 |

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.

Lectures

Individual consultations

Tutorials

Project work

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.

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.

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.

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).

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).

Subject has no prerequisities.

Subject has no co-requisities.

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

Academic year | Programme | Field of study | Spec. | Form | Study language | Tut. centre | Year | W | S | Type of duty |
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Block name | Academic year | Form of study | Study language | Year | W | S | Type of block | Block owner | |
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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 |