639-0803/01 – Econometrics (EM)
Gurantor department | Department of Quality Management | Credits | 5 |
Subject guarantor | prof. RNDr. Josef Tošenovský, CSc. | Subject version guarantor | prof. RNDr. Josef Tošenovský, CSc. |
Study level | undergraduate or graduate | Requirement | Compulsory |
Year | 1 | Semester | winter |
| | Study language | Czech |
Year of introduction | 2004/2005 | Year of cancellation | 2010/2011 |
Intended for the faculties | FMT | Intended for study types | Follow-up Master |
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
Other requirements
Study of actual journal material.
Prerequisities
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
Occurrence in study plans
Occurrence in special blocks
Assessment of instruction
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