Applied Econometrics and Time Series Theory

Garant předmětu:

Lecturer:

Tutor:

Supervisor:

Department of Software Engineering

Synopsis:

The lectures consist of comments on econometric methods with emphasis on sets of simultaneous linear equations econometric models, time series and vector autoregressive models in economic diagnostics, analysis and forecasting and optimization of economic policy. Case studies and illustrative examples are solved during the practice lessons.

Requirements:

The course assumes knowledge of mathematical statistics and econometric bases.

Syllabus of lectures:

1.Some problems of linear regression model - dummy variables technique, misspecification and observation errors.

2.Some extensions of the classical linear model - generalized least squares method, heteroskedastic errors, an autocorrelated error model, multicollinearity.

3.Simultaneous equation econometric models, structural, reduced and final form of equation system, interdependent and recursive systems, the problem of identification, rules for identification, the order and rank condition of identifiability.

4.Estimation of simultaneous equation econometric models, the method of two-stage least squares (2SLS).

5.The estimation of reduced form of equation system coefficients.

6.The neo-classical production function, estimating of the static and dynamic Cobb-Douglas production function.

7.Time series decomposition

8.Time series - stationarity, autocorrelation function, partial autocorrelation function, white noise.

9.Stationary time series - AR, MA, ARMA models.

10.Unstationary time series - ARIMA models.

11.Seasonal time series - SARIMA models, estimation of models, prediction, cointegration tests.

Syllabus of tutorials:

1. Models of production functions

2. Models of consumption

3. Solution of selected econometric problems

4. Tests of model's assumptions

5. Phases of ecnometric analysis

6. Econometric project

7.Solution of econometric project

8. Time series decomposition

9. Models of time series

10. Tests of model's assumptions

11. Time series project

12. Solution of time series project

Study Objective:

Upon successful completion of this course students will be able to apply statistic and econometric theory to solution of real economic problems. Also they will know how to use statistic and econometric software for modeling of economic indices behavior.

Study materials:

Key references:

Fomby, T.B., and Hill, R.C., and Johnson, S.R: Advanced Econometric Methods. New York: Springer-Verlag, 1984

Green, W.H.: Econometric Analysis, 5th edition, Prentice Hall, 2002

Recommended references:

Griliches, Z., and Intriligator, M.: Handbook of Econometrics. Vol. 1-3. Amsterdam, Holland; New York, NY: North-Holland, 1983

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans:

• Aplikace softwarového inženýrství (compulsory course of the specialization)
• Aplikované matematicko-stochastické metody (elective course)
• Aplikace informatiky v přírodních vědách (compulsory course in the program)