DXE_EMT2 Econometrics 2

Ekonomicko-správní fakulta
jaro 2010
Rozsah
24/0. 12 kr. Ukončení: zk.
Vyučující
Prof. Dr. Peter Hackl (přednášející)
doc. Ing. Daniel Němec, Ph.D. (pomocník)
Garance
doc. Ing. Daniel Němec, Ph.D.
Katedra ekonomie – Ekonomicko-správní fakulta
Kontaktní osoba: Mgr. Klára Šmídová
Rozvrh
Pá 19. 3. až Pá 23. 4. Pá 10:15–13:45 S313
Omezení zápisu do předmětu
Předmět je určen pouze studentům mateřských oborů.
Mateřské obory/plány
předmět má 22 mateřských oborů, zobrazit
Cíle předmětu
Topics of basic econometrics (covered in Econometrics) will be reviewed and expanded into more advanced level. Advanced econometric topics include instrumental variable estimations, maximum likelihood estimation, GMM, etc. The course is designed to provide students with a good knowledge of basic and advanced econometric tools so that:
- They can apply these tools to modeling, estimation, inference, and forecasting in the context of economic problems;
- They can evaluate critically the results from others who use econometric methods and tools;
- They have a foundation and understanding for further study of econometric theory.

The course has been innovated within the Czech Republic Education for Competitiveness Operational Program “Innovation of the postgradute study courses on the Faculty of Economics and Administration MU (CZ.1.07/2.2.00/07.0453).”
Osnova
  • Lectures:
  • 1. Review of linear regression and the OLS estimator;
  • - The linear regression model and assumptions;
  • - The OLS estimator and properties;
  • - Diagnostic tools;
  • - The linear model and statistical inference;
  • - Repressors selection: Effects and tools;
  • - Limitations of the linear model in economic analyses;
  • 2. Heteroskedasticity and autocorrelation;
  • - Consequences for the OLS estimator;
  • - Alternative estimator;
  • - Heteroskedasticity;
  • - Testing for heteroskedasticity;
  • - Autocorrelation;
  • - Testing for autocorrelation;
  • - Alternatives for inference;
  • 3. Endogenity, instrumental variables and GMM;
  • - A review of the properties of the OLS estimator;
  • - Cases where the OLS estimator cannot be saved;
  • - The instrumental variables estimator;
  • - The generalized instrumental variables estimator;
  • - The Generalized Method of Moments;
  • 4. Maximum likelihood estimation and specification tests;
  • - The concept of maximum likelihood;
  • - Specification tests;
  • - Tests in the normal linear regression model;
  • - Quasi-maximum likelihood and moment conditions tests;
  • 5. Univariate time series models;
  • - ARMA processes;
  • - Stationarity and unit roots;
  • - Testing for unit roots;
  • - Estimation of ARMA models;
  • - Choosing a model;
  • - Predicting with ARMA models;
  • - Autoregressive conditional heteroskedasticity;
  • 6. Multivariate time series models;
  • - Dynamic models with stationary variables;
  • - Models with nonstationary variables;
  • - Vector autoregressive models;
  • - Cointegration: the multivariate case;
Literatura
    povinná literatura
  • VERBEEK, Marno. A guide to modern econometrics. 3rd ed. Chichester: John Wiley & Sons, 2008, xv, 472. ISBN 9780470517697. info
Vyučovací jazyk
Angličtina
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Předmět je dovoleno ukončit i mimo zkouškové období.
Předmět je vyučován každoročně.
Předmět je zařazen také v obdobích jaro 2011, jaro 2012, jaro 2013, jaro 2014, jaro 2015, jaro 2016, jaro 2018, jaro 2019, jaro 2020, jaro 2021, jaro 2022, jaro 2023, jaro 2024, jaro 2025.