639-3002/04 – Econometrics (EM)
| Gurantor department | Department of Quality Management | Credits | 5 |
| Subject guarantor | Ing. Filip Tošenovský, Ph.D. | Subject version guarantor | Ing. Filip Tošenovský, Ph.D. |
| Study level | undergraduate or graduate | Requirement | Compulsory |
| Year | 2 | Semester | winter |
| | Study language | Czech |
| Year of introduction | 2019/2020 | Year of cancellation | |
| Intended for the faculties | FMT | Intended for study types | Follow-up Master |
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
Lectures
Tutorials
Project work
Summary
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:
Way of continuous check of knowledge in the course of semester
Two tests in the course of the semester, where the score is counted towards the cumulative credit points.
Two projects, where the score is counted towards the cumulative credit points.
The examination is in written form.
E-learning
http://www.person.vsb.cz/archivcd/FMMI/DOE/index.htm
from pages 151
Other requirements
80% attendance in seminars, handing in assigned programs.
Prerequisities
Subject has no prerequisities.
Co-requisities
Subject has no co-requisities.
Subject syllabus:
1. Time series modelling with moving averages
2. Time series modelling with exponential smoothing
3. Classical characteristics of time series
4. Stationarity and seasonality in time series
5. Box-Jenkins characteristics of time series
6. Models AR(p), MA(q), ARMA(p,q), ARIMA(p,d,q)
7. Heteroscedasticity
8. Autocorrelation
9. Multicollinearity
10. GLS
11. Taguchi loss function and its application
Conditions for subject completion
Occurrence in study plans
Occurrence in special blocks
Assessment of instruction