639-0803/01 – Econometrics (EM)

Gurantor departmentDepartment of Quality ManagementCredits5
Subject guarantorprof. RNDr. Josef Tošenovský, CSc.Subject version guarantorprof. RNDr. Josef Tošenovský, CSc.
Study levelundergraduate or graduateRequirementCompulsory
Year1Semesterwinter
Study languageCzech
Year of introduction2004/2005Year of cancellation2010/2011
Intended for the facultiesFMTIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
HAL37 Ing. Mgr. Petra Halfarová, Ph.D.
TOS40 prof. RNDr. Josef Tošenovský, CSc.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Combined Graded credit 14+0
Distance Graded credit 14+0

Subject aims expressed by acquired skills and competences

1) Knowledge of elementary terms and methods of econometrics: time series analysis, regression analysis prerequisites and their verification, GLS and 2SLS methods. 2) Ability to apply the basic methods in economic data analysis

Teaching methods

Lectures
Seminars
Tutorials
Project work

Summary

The choice of the chapters of mathematical statistics which are especially important for modelling of economical relations - regression and time series analysis. The conditions needed for their applications are studied and alternative procedures are developed in case that the basis conditions cannot be completed (heteroskedasticity, autocorelation,multicolinearity). With time series the models AR, MA, ARMA and ARIMA are studied.

Compulsory literature:

1. Wei,W.W.: Time Series Analysis -Univariate and Multivariate Methods, Addison - Wesley Publishing Comp., Inc., 1990. 2. Koutsoyiannis,A.: Theory of Econometrics. Hong Kong: Macmillan, 1973. 3. Novales, A.: Econometria. McGraw-Hill, Madrid, 1988.

Recommended literature:

1. Greene, W. H.: Econometric Analysis. 6th ed., 2008 New Jersey: Prentice Hall. 2. Montgomery, D.C., Jennings, Ch.L., Kulahci, M.: Introduction to Time Series Analysis and Forecasting. NY, Wiley. 2008. ISBN: 978-0-471-65397-4. 3. Mendenhall, W., Sincich, T.: A Second Course in Statistics: Regression Analysis. Sixt Edition. Perason Education, New Jersey, 2003. ISBN: 0-13-022323-9. 4. Draper, N.R., Smith, H.: Applied Regression Analysis. 3rd Edition. NY, Wiley. 1998. ISBN: 978-0-471-17082-2 5. Ryan, T.P.: Modern Regression Methods, 2nd Edition. NY, Wiley.2008. ISBN: 978-0-470-08186-0 6. Box, G.E.P., Jenkins, G.M., Reinsel, G.C.:Time Series Analysis: Forecasting and Control, 4th Edition. NY, Wiley, 2008. ISBN: 978-0-470-27284-8

Way of continuous check of knowledge in the course of semester

Tests during the semester Essay

E-learning

www of FMMI

Další požadavky na studenta

Study of actual journal material.

Prerequisities

Subject codeAbbreviationTitleRequirement
639-0402 MS Mathematical Statistics Recommended
639-0405 TP Theory of Probability Recommended

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Time series analysis: Introduction to Forecasting Systems, Methods of Forcasting, Exponential Smoothing Methods, Smoothing Models for Seasonal Data, Moving Averages and related Methods. 2. Box-Jenkins methodology - Forecasting, AR, MA, ARMA Models, Stacioanarity 3. Regression analysis - Simple Linear Regression Model, Graph the Data, Introduction to Multiple Linear Regression 4. Testing the assumptions of linear regression - Heteroscedasticity, Serial Correlation, Multicollinearity 5. Generalized Least Squares Estimators - GLS 6. Two-Stage Least Squares (2SLS) 7. Economic evaluation processes - Taguchi's Loss Function 8. Taguchi Loss Function - Asymmetric Loss Functions.

Conditions for subject completion

Combined form (validity from: 1960/1961 Summer semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Graded exercises evaluation Graded credit 100 (100) 0
        Project Project 30  0
        Written exam Written test 70  0
Mandatory attendence parzicipation:

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.FormStudy language Tut. centreYearWSType of duty
2007/2008 (N3922) Economics and Management of Industrial Systems (3902T041) Quality Management K Czech Ostrava 1 Compulsory study plan
2006/2007 (N3922) Economics and Management of Industrial Systems (3902T041) Quality Management K Czech Ostrava 1 Compulsory study plan
2005/2006 (N3922) Economics and Management of Industrial Systems (3902T041) Quality Management K Czech Ostrava 1 Compulsory study plan
2004/2005 (N3922) Economics and Management of Industrial Systems (3902T041) Quality Management K Czech Ostrava 1 Compulsory study plan
2004/2005 (N3922) Economics and Management of Industrial Systems (3902T041) Quality Management P Czech Ostrava 1 Compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner