PMTOTH Theory of Estimation and Theory of Testing Statistical

Faculty of Economics and Administration
Spring 2009
Extent and Intensity
2/1. 4 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. Ing. Daniel Němec, Ph.D. (lecturer)
doc. Ing. Daniel Němec, Ph.D. (seminar tutor)
Guaranteed by
prof. Ing. Osvald Vašíček, CSc.
Department of Economics – Faculty of Economics and Administration
Contact Person: Lydie Pravdová
Timetable
Tue 16:20–17:55 VT206
  • Timetable of Seminar Groups:
PMTOTH/1: Tue 18:00–18:45 VT206, D. Němec
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Abstract
The goal of the course is to give the basic elements (methods and techniques) of the modern economic modeling. Theoretical aspects and practical applications related to development and identification of economic model will be discussed. Main topics of the course cover: dynamic systems theory, state-space models identification, introduction to dynamic programming and control theory, (log-)linearization and models with rational expectations.
At the end of this course, students should be able to:
understand and explain principles of dynamic economic systems;
formulate properly and identify correctly economic models in state-space form;
understand the problem of filtering and optimal control (linear quadratic control);
be competent in the use of Matlab (and appropriate toolboxes - e.g. Dynare or IRIS) to solve and identify modern (macro)economic model concepts.
Key topics
  • 1. Introduction to dynamic systems
  • 2. State-space models - controllability, observability, minimal realization, stability, impulse-response function
  • 3. State-space model identification and filtration; Kalman filter, estimation techniques
  • 4. Introduction to dynamic programming and optimal control
  • 5. Linearization and (log)-linearization of the models
  • 6. How to solve the models with rational expectations?
  • 7. Dynamic stochastic general equilibrium models - their solution and identification
Study resources and literature
  • HEIJ, Christiaan; André C. M. RAN and Frederik van SCHAGEN. Introduction to mathematical systems theory : linear systems, identification and control. Basel: Birkhäuser Verlag, 2007, vii, 166. ISBN 9783764375485. info
  • LJUNGQVIST, Lars and Thomas J. SARGENT. Recursive macroeconomic theory. 2nd ed. Cambridge, Mass.: MIT Press, 2004, xxxiv, 108. ISBN 026212274X. info
  • ŠIMANDL, Miroslav. Identifikace systémů a filtrace. 1. vyd. V Plzni: Západočeská univerzita, 2001, 87 s. ISBN 80-7082-170-1. info
Method of verifying learning outcomes and course completion requirements
lectures, computer exercises, final (group) project
Language of instruction
Czech
Further Comments
The course is taught annually.
The course is also listed under the following terms Spring 2008.
  • Enrolment Statistics (recent)
  • Permalink: https://is.muni.cz/course/econ/spring2009/PMTOTH