# ESF:DXE_EMT2 Econometrics 2 - Course Information

## DXE_EMT2 Econometrics 2

**Faculty of Economics and Administration**

Spring 2024

**Extent and Intensity**- 24/0/0. 12 credit(s). Type of Completion: z (credit).
**Teacher(s)**- doc. Ing. Daniel Němec, Ph.D. (lecturer)

doc. Ing. Štěpán Mikula, Ph.D. (assistant) **Guaranteed by**- doc. Ing. Daniel Němec, Ph.D.

Department of Economics – Faculty of Economics and Administration

Contact Person: Mgr. Lucie Přikrylová

Supplier department: Department of Economics – Faculty of Economics and Administration **Timetable**- Tue 18:00–19:30 MT205, except Tue 2. 4.
**Prerequisites**- Participants should be familiar with the following topics:

*Linear algebra – linear equations, matrices, vectors (basic operations and properties).

*Descriptive statistics – measures of central tendency, measures of dispersion, measures of association, histogram, frequency tables, scatterplot, quantiles

*Theory of probability – probability and its properties, random variables and distribution functions in one and several dimensions, moments, convergence of random variables, limit theorems, law of large numbers.

*Mathematical statistics – point estimation, confidence intervals for parameters of normal distribution, hypothesis testing, p-value, significance level.

*Basic econometrics - ordinary least squares method, linear regression, classical assumptions and their violations

These topics correspond to the chapters the appendices of Verbeek’s book, in particular, to the chapters 1-5 and sections: A1, A2, A3, A4, A6, A8, B1, B2, B3 (excluding Jensen's inequality), B4, B5, B6 and B7 (excluding some properties of the chi-squared distribution and the F-distribution). **Course Enrolment Limitations**- The course is only offered to the students of the study fields the course is directly associated with.

**fields of study / plans the course is directly associated with**- there are 26 fields of study the course is directly associated with, display
**Course objectives**- The course is intended to provide the students with the advanced topics of econometrics and economic modelling: maximum likelihood estimation, econometric methods for empirical analysis of time series data, methods and techniques of DSGE modelling, models for analyzing limited dependent variables, panel data econometrics.
**Learning outcomes**- The course is designed to provide students with a good knowledge of basic and advanced econometric tools so that:

- they will be able to apply these tools to modeling, estimation, inference, and forecasting in the context of economic problems;

- they have experience in applying the econometric software for analyzing data;

- they can evaluate critically the results from others who use econometric methods and tools;

- they have a basis for further studies of econometric literature. **Syllabus**- Lectures (and the corresponding assigned reading) will be chosen with respect to the research topics of the students enrolled on the course. The lectures may cover the following topics:
- 1. Methods and techniques of Bayesian analysis.
- 2. Methodology of DSGE modelling.
- 3. State-space models and Kalman filter.
- 4. Advanced approaches in panel data modelling.
- 5. Introduction to spatial econometrics.
- 6. Modern tools and techniques of macroeconometrics.
- 7. Modern tools and techniques of microeconometrics.

**Literature**- GREENE, William H.
*Econometric analysis*. Eighth edition. Harlow, England: Pearson, 2020, 1166 stran. ISBN 9781292231136. info - DEJONG, David N. and Chetan DAVE.
*Structural macroeconometrics*. Second edition. Princeton: Princeton University Press, 2011, xvi, 418. ISBN 9780691152875. info - COSTA, Celso.
*Understanding DSGE*. Wilmington: Vernon Press, 2016, x, 269. ISBN 9781622731336. info - BALTAGI, Badi H.
*Econometric analysis of panel data*. Fifth edition. Chichester: Wiley, 2013, xiii, 373. ISBN 9781118672327. info - CAMERON, Adrian Colin and P. K. TRIVEDI.
*Microeconometrics : methods and applications*. 1st ed. Cambridge: Cambridge University Press, 2005, xxii, 1034. ISBN 0521848059. info - GREENE, William H.
*Econometric analysis*. 7th ed. Boston: Pearson, 2012, 1228 s. ISBN 9780273753568. info

*required literature*- GREENE, William H.
*Econometric analysis*. 6th ed. Upper Saddle River, N.J.: Pearson Prentice Hall, 2008, xxxvii, 11. ISBN 9780135132456. info

*recommended literature*- GREENE, William H.
**Teaching methods**- 12 lectures á 2 hours (i.e., 24 teaching hours, 45 minutes each), class discussion, homework including computer exercises using Gretl, and presentation of homework by participants; course language is English.
**Assessment methods**- For grading, written homework, presentation of homework in class, and a final oral exam will be taken into account. The weight for homework will be 50 %, that of the oral final exam 50 %. Presentation of homework in class means that students must be prepared to be called at random to the blackboard.
**Language of instruction**- English
**Further comments (probably available only in Czech)**- The course can also be completed outside the examination period.

The course is taught annually.

Information on course enrolment limitations: Předmět se bude vyučovat, pokud si jej zapíše min. 5 studentů.

- Enrolment Statistics (recent)

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