639-3002/03 – Econometrics (EM)

Gurantor departmentDepartment of Quality ManagementCredits5
Subject guarantorIng. Filip Tošenovský, Ph.D.Subject version guarantorprof. RNDr. Josef Tošenovský, CSc.
Study levelundergraduate or graduateRequirementCompulsory
Study languageEnglish
Year of introduction2014/2015Year of cancellation2020/2021
Intended for the facultiesFMTIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
HAL37 Ing. Mgr. Petra Halfarová, Ph.D.
TOS012 Ing. Filip Tošenovský, Ph.D.
TOS40 prof. RNDr. Josef Tošenovský, CSc.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Credit and Examination 2+2
Part-time Credit and Examination 14+0

Subject aims expressed by acquired skills and competences

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

Teaching methods

Project work


The subject econometrics expands the subject matter of regression analysis covered by mathematical statistics. Studied are conditions under which the procedures of classical regression are usable, and alternative procedures for the case when the elementary conditions do not hold. The time series analysis, based on both the classical and Box-Jenkins methodology, is attached for the need of economic modelling. The classical econometric structure is complemented with applications of Taguchi loss functions.

Compulsory literature:

BOX, G. E. P., G. M. JENKINS and G. C. REINSEL. Time Series Analysis: Forecasting and Control. NY: Wiley, 2008. WEI, W. W. Time Series Analysis - Univariate and Multivariate Methods. NY: Pearson Addison Wesley, 2006. ASHENFELTER, O. B.,P. B. LEVINE and D. J. ZIMMERMAN. Statistics and Econometrics: Methods and Applications. NY: Wiley, 2006. ISBN-13: 978-0470009451. GUJARATI, D. Econometrics by Example. Macmillan., 2014. ISBN-13: 978-1137375018.

Recommended literature:

GREENE, W. H. Econometric Analysis. New Jersey: Prentice Hall, 2008. ISBN 978-0131395381. DRAPER, N. R. and H. SMITH. Applied Regression Analysis. NY: Wiley, 1998. ISBN 978-0471170822. RYAN, T. P. Modern Regression Methods. NY: Wiley, 2008. ISBN 978-0470550441. HENDERSON, D. J. and C. F. PARMETER. Applied Nonparametric Econometrics. Cambridge University Press, 2015.

Way of continuous check of knowledge in the course of semester

Tests during the semester Essay


http://www.person.vsb.cz/archivcd/FMMI/DOE/index.htm from pages 151

Other requirements

Study of actual journal material.


Subject has no prerequisities.


Subject has no co-requisities.

Subject syllabus:

1. Time Series (TS) - Classical Analysis of Time Series - Exponencial Model - Moving Average MA - Box Jenkins Models - Characteristics of TS - Models AR, MA, ARMA - Stacionarity, Model ARIMA 2. Regression Analysis - Heteroscedasticity - Autocorrelation - Multicollinearity - Generalized LS metod 3. Loss Function of Taguchi

Conditions for subject completion

Full-time form (validity from: 2015/2016 Winter semester, validity until: 2020/2021 Summer semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of pointsMax. počet pokusů
Credit and Examination Credit and Examination 100 (100) 51
        Credit Credit 40  20
        Examination Examination 60  31 3
Mandatory attendence participation:

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Conditions for subject completion and attendance at the exercises within ISP:

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Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2017/2018 (N3922) Economics and Management of Industrial Systems (3902T062) Quality Management P English Ostrava 1 Compulsory study plan
2016/2017 (N3922) Economics and Management of Industrial Systems (3902T062) Quality Management P English Ostrava 1 Compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner

Assessment of instruction

2016/2017 Winter