Course syllabus EKM2 - Econometrics II (FBE - WS 2019/2020)


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Course code:
EKM2
Course title in Czech: Econometrics II
Course title in English:
Econometrics II
Semester: WS 2019/2020
Mode of completion and number of credits:
Exam (5 credits)
Mode of delivery and timetabled classes:
full-time, 2/2 (hours of lectures per week / hours of seminars per week)
part-time, 16/0 (lectures per period / seminars per period)
Level of course:
master continuing
Course type:
required
Type of delivery:
usual
Mode of delivery for our mobility students abroad: -- item not defined --
Language of instruction:
Czech
Course supervisor:
Course supervising department:
Faculty: Faculty of Business and Economics
Teachers:
doc. Ing. Václav Adamec, Ph.D. (examiner, instructor)
Mgr. Veronika Blašková, Ph.D. (examiner)
doc. Mgr. David Hampel, Ph.D. (examiner, instructor, lecturer, supervisor)
Ing. Michaela Staňková, Ph.D. (examiner, instructor)
doc. Ing. Luboš Střelec, Ph.D. (examiner, instructor, lecturer)
Inna Tsener (instructor, lecturer)
Ing. Terézia Vančová (examiner, instructor)
Prerequisites:
 
Timetable in this semester:
Day
From-till
Room
Field of studyYear of studyGroup
Teacher
Entry
Frequency
Capacity
Tuesday
9.00-10.50
Q01
D. Hampel, L. Střelec
Lecture
Every week
361
Tuesday
11.00-12.50
Q37
L. Střelec
Seminar
Every week
19
Tuesday11.00-12.50Q36
Seminar
Every week
18
Tuesday13.00-14.50Q36SeminarEvery week
18
Tuesday13.00-14.50
Q37
L. Střelec, D. HampelSeminarEvery week
18
Tuesday
15.00-16.50
Q36
Seminar
Every week
18
Wednesday
15.00-16.50
Q36
Seminar
Every week
18
Thursday
7.00-8.50
Q36
Seminar
Every week
18
Thursday
9.00-10.50
Q37
M. StaňkováSeminarEvery week
18
Thursday
11.00-12.50
Q37
SeminarEvery week
18
Friday
14.00-17.50
Q22
N-EM-ME
 
1
1
81
 
LectureOccasionally48
 
Aim of the course and learning outcomes:
Mastery of theory of multivariate econometric models formation using OLS method, its prerequisites and issue violations, including practical use of the methodology in the field of cross-sectional data and time series. Theoretical and practical knowledge of advanced methods of time series analysis involving the Box-Jenkins methodology and the related methods.
 
Course content:
1.
Classical linear regression model and its assumptions (allowance 5/6)
 
a.Classical linear regression model with multiple explanatory variables
b.
Hypothesis testing in the linear regression model
c.Assumptions of classical linear regression model

2.Violations and remedies of classical linear regression model assumptions (allowance 6/6)
 
a.
Model specification
b.Multicollinearity
c.
Serial correlations
d.
Heteroskedasticity

3.
Specific problems of economic time series analysis (allowance 3/3)
 
a.
Nonlinearity of time series
b.
Seasonality and periodicity in time series
c.
Nonstationarity of time series
d.The seeming dependence in time series
e.Cointegration of time series

4.Advanced methods for the analysis of univariate time series (allowance 7/5)
 
a.
Stationary Box-Jenkins ARMA processes
b.
Nonstationary Box-Jenkins ARIMA processes
c.
Seasonal Box-Jenkins SARIMA processes
d.
Volatility models

5.Advanced methods for the analysis of multivariate time series (allowance 3/2)
 
a.
Vector autoregressive model (VAR)
b.
Granger causality

6.
Nonlinear models (allowance 2/2)
 
a.
Nonlinear least squares
b.Logit model

7.
Presentation of selected econometric problems (allowance 0/4)
8.
Analysis of panel data (allowance 2/0)
 
a.
Elementary models of panel data
b.
Panel data analysis in software Gretl

Learning activities and teaching methods:
Type of teaching method
Daily attendance
Combined form
lecture
28 h
16 h
practice
28 h
0 h
preparation for exam
36 h
50 h
preparation for regular assessment8 h4 h
preparation for regular testing
20 h
20 h
elaboration and execution of projects20 h
50 h
Total
140 h
140 h
 
Assessment methods:
Participation in the seminar is compulsory, attendance is considered to be fulfilled if the student visits at least 9 seminars. Active participation is required in the seminary (the student has an overview of the lectured topics and can elaborate the basic exercises demonstrated at the lectures).

During the semester, it is necessary to pass a continuous test, ie to get at least 13 points out of the total possible 20 points. Students will bring only the student card to the test. Students can not use any papers or calculator during the test. The test can be repeated twice.

Furthermore, it is necessary to successfully defend the semestral project, which includes in particular the compilation and analysis of a multidimensional econometric model including quantification and its verification. The defense is considered successful or unsuccessful. The unsuccessful project can be reworked once.

If a students complete attendance (only in the case of a full-time form), successfully pass the test and successfully defends a semester project, they are eligible to apply for the exam. Otherwise, the final score will not be "not present".

The exam is in the form of a written work and is considered successful if the gain is at least 50 points out of a total of 100 points. If students are not successful in writing, they are rated F. If students successfully pass a written work, the subject assessment is given by the sum of the points obtained from the the written exam:
(91; 100) points - A
(82; 90) points - B
(73; 81) points - C
(64; 72) points - D
[55; 63] points - E

Students will bring writing accessories and the student card for written work. Students can not use their own papers or a calculator.


Any copying, recording or excerpt of tests and written works, the use of illicit devices as well as means of communication or other impairment of objectivity in the verification of knowledge will be considered gross violation of the study regulations. As a result, the course is closed in the UIS by F; F; F. Further, teacher can initiate disciplinary proceedings, which may result in termination of studies.

The course is not possible to enroll in a foreign trip.
 
Assessment criteria ratio:
Requirement type
Daily attendance
Combined form
Total
0 %
0 %
 
Recomended reading and other learning resources:
Basic:
HAMPEL, D. -- BLAŠKOVÁ, V. -- STŘELEC, L. Ekonometrie 2. 2nd ed. Brno: Mendelova univerzita v Brně, 2012. 144 p. ISBN 978-80-7375-664-2.
CIPRA, T. Finanční ekonometrie. 1st ed. Praha: Ekopress, 2008. 538 p. ISBN 978-80-86929-43-9.
GUJARATI, D N. -- PORTER, D C. Basic econometrics. 5th ed. Boston: McGraw-Hill Irwin, 922 p. ISBN 978-007-127625-2.

Recommended:
ARLT, J. -- ARLTOVÁ, M. Ekonomické časové řady: [vlastnosti, metody modelování, příklady a aplikace]. 1st ed. Praha: Grada, 2007. 285 p. ISBN 978-80-247-1319-9.
GREENE, W H. Econometric analysis. 7th ed. Boston [u.a.]: Pearson, 2012. 1238 p. ISBN 978-0-273-75356-8.
KMENTA, J. Elements of econometrics. 2nd ed. Ann Arbor: University of Michigan Press, 2011. 786 p. ISBN 0-472-10886-7.

Course listed in study plans for this semester:
Field of study C-EM-ME Business Economics and Management, full-time form, initial period SS 2018/2019
Field of study C-EM-ME Business Economics and Management, part-time form, initial period SS 2018/2019
Field of study C-EPA-UAD Accounting and Taxes, full-time form, initial period SS 2018/2019
Field of study C-EPA-FIM Finance and Investment Management, full-time form, initial period SS 2018/2019
Field of study C-EPA-FIM Finance and Investment Management, full-time form, initial period WS 2019/2020
Field of study C-EM-ME Business Economics and Management, full-time form, initial period WS 2019/2020
Field of study C-EPA-UAD Accounting and Taxes, full-time form, initial period WS 2019/2020
Field of study C-EM-ME Business Economics and Management, part-time form, initial period WS 2019/2020
 
Course listed in previous semesters:
Teaching place:
Brno


Last modification made by Ing. Jiří Gruber on 09/20/2019.

Type of output: