Course syllabus EKM1A - Econometrics I (FBE - SS 2019/2020)

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Course title: Econometrics I
Semester: SS 2019/2020
Course supervisor: doc. Ing. Václav Adamec, Ph.D.
Supervising department: Department of Statistics and Operation Analysis (FBE)
Time allowance: full-time, 1/2 (hours of lectures per week / hours of seminars per week)
Prerequisites for registration: Statistics or Statistics
Type of study: usual
Form of teaching: lecture, seminar
Mode of completion and credits: Exam (5 credits)
Course objective:
Obtaining theoretical knowledge and practical experience with construction of basic econometric models based on linear regression and models of univariate time series. Students are able to evaluate the econometric models, interpret in economic context and apply for predictions. Students can apply statistical software. Knowledge and skills learned in this course are expected to be used during work on student bachelor's thesis.
Course content:
1.Introduction to Econometry (allowance 1/0)
a.Definition of Econometry, evolution and history.
b.Basic steps of econometric analysis
c.Econometric data types

2.Regression and correlation analysis, error term. (allowance 4/6)
a.Regression analysis
b.Ordinary Least Squares method (OLS)
c.Error term, residuals
d.Analysis of variance (ANOVA)
e.Correlation analysis

3.Statistical hypothesis testing, confidence intervals. (allowance 2/4)
a.Tests of significance for regression coefficients (t-tests) and test of overall model significance (F-test)
b.Tests of model specification, non-linearity test and RESET test
c.Confidence interval for regression coefficients
d.Confidence interval and prediction interval for the model
e.Testing coefficient of correlation

4.Gauss-Markov theorem, classical model assumptions (allowance 2/4)
a.Classical assumptions
b.Properties of OLS estimator

5.Introduction to time series analysis (allowance 1/2)
a.Time series data, definition, properties, types
b.Time series dynamics

6.Models of time series (allowance 4/8)
a.Qualitative (expert) methods
b.Moving averages, exponential filters
c.Time series decomposition
d.Modeling seasonality
e.Models based on filters
f.Causal regression models
g.Criteria of model fit

7.Applied econometry (allowance 0/4)
a.Student presentations, discussion

Teaching methods and workload (hours of workload):
Type of teaching methodDaily attendance
Direct teaching
     lecture14 h
     practice28 h
     preparation for exam58 h
     preparation for regular testing15 h
     preparation of presentation5 h
     writing of seminar paper20 h
Total140 h
Key words:
Course completion:
A credit is granted on the basis of group project (>= 50% score), midterm exam (score at least 50%) and active participation in labs (at most 2 missed labs). Active lab participation is further assessed by 1 point per lab. Submitted and approved preproject is required for successful project mark. Credit is required for admission to the final exam. Passing final exam requires at least 50% score. Course grade is made on the basis of the final exam, midterm exam, project and active participation: A [91 – 100]; B [82 – 91); C [73 – 82); D [64 – 73); E [55 – 64); F [0 – 55). The examiner may adjust the grade by 1 step in both directions. The course cannot be taken during overseas internship.
Course methods: The course is divided into lectures (14 hours) and practical PC lab sessions (28 hours), where students are expected to practice building models of cross-sectional data and time series on real economic data. Students work on semester project to analyze economic problem of their choice. Topics are approved by the teacher.
Reading list:
GUJARATI, D N. -- PORTER, D C. Basic econometrics. 5th ed. Boston: McGraw-Hill Irwin, 922 p. ISBN 978-007-127625-2.
ASHENFELTER, O. -- LEVINE, P B. -- ZIMMERMAN, D J. Statistics and econometrics : methods and applications. New York: John Wiley & Sons, 2003. 300 p. ISBN 0-471-10787-5.
WOOLDRIDGE, J M. Introductory econometrics: a modern approach. 4th ed. Mason, Ohio: South-Western, 2008. 865 p. ISBN 978-0-324-66054-8.

KMENTA, J. Elements of econometrics. 2nd ed. Ann Arbor: University of Michigan Press, 2011. 786 p. ISBN 0-472-10886-7.
Using econometrics: a practical guide. 5th ed. Boston: Addison Wesley Pearson, 639 p. ISBN 0-321-31649-5.

Study plans:
B-EMEN-MEEN Business Economics and Management, full-time form, initial academic year WS 2018/2019
Run in the period of: SS 2018/2019, WS 2018/2019, SS 2017/2018, WS 2017/2018, SS 2016/2017, WS 2016/2017   (and older)
Course tutor: doc. Ing. Václav Adamec, Ph.D. (examiner, instructor, lecturer, supervisor)
Teaching language: English
Town: Brno

Last modification made by Ing. Jiří Gruber on 02/14/2020.

Type of output: