Econometrics

Garant předmětu:

Lecturer:

Tutor:

Supervisor:

Department of Software Engineering

Synopsis:

Econometrics is based on economic theory and the relations between economic quantities are expressed by mathematical tools and observed data from economic reality. The course covers basic instruments of econometric analysis as the basic econometric model, the generalized model and the system of simultaneous equations and instruments for econometric model verification.

Requirements:

graduation in mathematics and statistics courses

Syllabus of lectures:

1.Econometric sources.

2.Econometric analysis phases.

3.Microeconomic and macroeconomic models.

4.Analysis of time series.

5.Regression analysis and hypothesis testing.

6.Basic econometric model.

7.Least squares method..

8.Generalized model.

9.Heteroskedasticity.

10.Autocorrelation.

11.Multicolinearity.

12.Models of time delayed variables.

13.System of simultaneous equations.

14.Identification.

Syllabus of tutorials:

Exercises in models and methods

1.Econometric sources.

2.Econometric analysis phases.

3.Microeconomic and macroeconomic models.

4.Analysis of time series.

5.Regression analysis and hypothesis testing.

6.Basic econometric model.

7.Least squares method..

8.Generalized model.

9.Heteroskedasticity.

10.Autocorrelation.

11.Multicolinearity.

12.Models of time delayed variables.

13.System of simultaneous equations.

14.Identification.

Study Objective:

Upon successful completion of this course, students will be able to formulate, estimate and verify linear econometric macro and micromodels in order to use them in quantitative economic analysis and prediction

Study materials:

Key references:

[1] P. Fiala: Úvod do ekonometrie, FJFI ČVUT, Praha, 2008 (in Czech)

[2] 1.R. Hušek: Základy ekonometrie, VŠE, Praha, 2001. (in Czech)

Recommended references:

[3] R.S. Pindyck, D.L. Rubinfeld: Econometric Models and Economic Forecasting, McGraw-Hill, New York, 1991.

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans:

• BS Matematické inženýrství - Aplikované matematicko-stochastické metody (compulsory course of the specialization)
• BS Aplikace softwarového inženýrství (compulsory course of the specialization)