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:

Basic knowledge of matematical statistic.

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:

1.Econometric sources. Examples.

2.Econometric analysis phases. Examples.

3.Microeconomic and macroeconomic models. Examples.

4.Analysis of time series. Examples.

5.Regression analysis and hypothesis testing. Examples.

6.Basic econometric model. Examples.

7.Least squares method. Examples.

8.Generalized model. Examples.

9.Heteroskedasticity. Examples.

10.Autocorrelation. Examples.

11.Multicolinearity. Examples.

12.Models of time delayed variables. Examples.

13.System of simultaneous equations. Examples.

14.Identification. Examples.

Study Objective:

Upon successful completion of this course students will be able to apply statistic and econometric theory to solution of economic problems, their bachelor's thesis and econometric courses, as well as to advanced study of applied statistics, econometrics and time-series theory.

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: