DXE_EMT2 Econometrics 2

Faculty of Economics and Administration
Spring 2012
Extent and Intensity
24/0. 12 credit(s). Type of Completion: zk (examination).
Teacher(s)
Prof. Dr. Peter Hackl (lecturer)
Ing. Daniel Němec, Ph.D. (assistant)
Guaranteed by
prof. Ing. Osvald Vašíček, CSc.
Department of Economics - Faculty of Economics and Administration
Contact Person: Bc. Marta Ordeltová
Supplier department: Department of Economics - Faculty of Economics and Administration
Timetable
Fri 2. 3. 10:00–13:30 S310, Fri 30. 3. 10:00–13:30 S310, Fri 6. 4. 10:00–13:30 S310, Fri 13. 4. 10:00–13:30 S310, Fri 20. 4. 10:00–13:30 S310, Fri 27. 4. 10:00–13:30 S310, Fri 4. 5. 9:00–11:55 S310
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
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Course objectives
On the basis of the introduction to econometrics as covered in the course Econometrics, advanced econometric topics will be the subject of this course. Besides conceptual topics such as maximum likelihood estimation, econometric methods for empirical analysis of time series data will be the main content; in addition, models for analyzing limited dependent variables and for analyzing panel data will be covered. 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 Gretl 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:
  • 1. Maximum likelihood Estimation and Specification Tests (Verbeek, Ch.6)
  • - The concept of maximum likelihood;
  • - Specification tests;
  • - Tests in the normal linear regression model;
  • - Quasi-maximum likelihood and moment conditions tests.
  • 2. Models with Limited Dependent Variables (Verbeek, Ch.7)
  • - Binary choice models;
  • - Multiresponse models;
  • - Tobit models.
  • 3. Univariate time series models (Verbeek, Ch.8)
  • - ARMA processes;
  • - Stationarity and unit roots;
  • - Testing for unit roots;
  • - Estimation of ARMA models;
  • - Choosing a model. 4. Multivariate time series models, part 1 (Verbeek, Ch.9)
  • - Predicting with ARMA models;
  • - Autoregressive conditional heteroskedasticity;
  • - Dynamic models with stationary variables;
  • - Models with nonstationary variables.
  • 5. Multivariate time series models, part 2 (Verbeek, Ch.9)
  • - Vector autoregressive models;
  • - Cointegration: the multivariate case;
  • 6. Models Based on Panel Data (Verbeek, Ch.10)
  • - Static and dynamic linear models;
  • - Nonstationarity, unit roots, and cointegration;
  • - Models with limited dependent variables.
Literature
    required literature
  • VERBEEK, Marno. A guide to modern econometrics. 3rd ed. Chichester: John Wiley & Sons, 2008. xv, 472. ISBN 9780470517697. info
Teaching methods
6 lectures á 3 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 written exam will be taken into account. The weight for homework will be 40 %, that of the written final exam 60 %. 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
Study Materials
The course can also be completed outside the examination period.
The course is taught annually.
The course is also listed under the following terms Spring 2010, Spring 2011, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2018, Spring 2019, Spring 2020, Spring 2021.
  • Enrolment Statistics (Spring 2012, recent)
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