MPE_AAER Applied Econometrics in R

Faculty of Economics and Administration
Spring 2019
Extent and Intensity
0/0/0. 2 credit(s). Type of Completion: z (credit).
Teacher(s)
doc. Ing. Daniel Němec, Ph.D. (seminar tutor)
Guaranteed by
doc. Ing. Daniel Němec, Ph.D.
Department of Economics – Faculty of Economics and Administration
Contact Person: Mgr. Jana Nesvadbová
Timetable
Tue 23. 4. 18:00–19:50 VT202, Wed 24. 4. 16:00–19:50 VT202, Thu 25. 4. 16:00–17:50 VT202
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
This course is focused on the most important simple and advanced econometric models, techniques and the corresponding applications with the R language. The course will cover the main practical issues related to the R software, the estimation of linear regression models, ARMA models, panel data models and other relevant regressions.
Learning outcomes
Students will be able to analyse empirical data in practice, estimate and control different regressions and discuss the main theoretical and empirical implications. We also consider several applications in the areas of macroeconomics, microeconomics and finance.
Syllabus
  • Programme content:
  •  The R environment
  •  Numbers and vectors
  •  Objects characteristics
  •  Ordered and unordered factors
  •  Matrices
  •  Lists and data frames
  •  Basic data analysis and distributions
  •  Statistical models
  •  Estimation and diagnostic of the classical linear regression model
  •  Univariate time series estimation and diagnostic (moving average, autoregressive, ARMA processes)
  • OPTIONAL:
  •  Long-run relationships (stationarity and unit roots, cointegration, estimation methods)
  •  Panel data estimation methods (fixed effects model, random effects model, other estimation techniques).
Literature
    required literature
  • KLEIBER, Christian and Achim ZEILEIS. Applied Econometrics with R. [New York]: Springer, 2008, x, 221. ISBN 9780387773162. info
Teaching methods
lectures, class discussion, homework, reading
Assessment methods
empirical project (analysis of real data using econometric methods in R)
Language of instruction
English
  • Enrolment Statistics (recent)
  • Permalink: https://is.muni.cz/course/econ/spring2019/MPE_AAER