639-3002/05 – Econometrics (EM)

Gurantor departmentDepartment of Quality ManagementCredits5
Subject guarantorprof. RNDr. Josef Tošenovský, CSc.Subject version guarantorIng. Filip Tošenovský, Ph.D.
Study levelundergraduate or graduate
Study languageEnglish
Year of introduction2019/2020Year of cancellation
Intended for the facultiesFMTIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
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

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:

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. Examination.

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

Full-time form (validity from: 2019/2020 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Credit and Examination Credit and Examination 100 (100) 51
        Credit Credit 40  20
        Examination Examination 60  31
Mandatory attendence parzicipation: 70% attendance at the seminar

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2020/2021 (N0413A270003) Quality Management and Control of Industrial Systems MPZ P English Ostrava 2 Compulsory study plan
2019/2020 (N0413A270003) Quality Management and Control of Industrial Systems MPZ P English Ostrava 2 Compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner
FMT+9360 2020/2021 Full-time English Optional 600 - Faculty of Materials Science and Technology - Dean's Office stu. block
FMT-new subjects 2019/2020 Full-time English Optional 600 - Faculty of Materials Science and Technology - Dean's Office stu. block