Course syllabus EKM1 - Econometrics I (FBE - WS 2019/2020)


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Course code:
EKM1
Course title in Czech:
Econometrics I
Course title in English:
Econometrics I
Semester:
WS 2019/2020
Mode of completion and number of credits:
Exam (5 credits)
Mode of delivery and timetabled classes: full-time, 1/2 (hours of lectures per week / hours of seminars per week)
part-time, 16/0 (lectures per period / seminars per period)
Level of course:
bachelor
Course type:
optional
Type of delivery:
consulting
Mode of delivery for our mobility students abroad:
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Language of instruction:
Czech
Course supervisor: doc. Ing. Luboš Střelec, Ph.D.
Course supervising department: Department of Statistics and Operation Analysis (FBE)
Faculty:
Teachers: doc. Ing. Luboš Střelec, Ph.D. (examiner, supervisor)
Prerequisites: Statistics
 
Timetable in this semester:
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Aim of the course and learning outcomes:
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 Econometrics (allowance 1/0)
 
a.
Definition of Econometrics, 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, regression model, variables in regression model
b.
Ordinary Least Squares (OLS)
c.Fits, residuals
d.Decomposition of variability, coefficient of determination, information criteria
e.
Analysis of variance (ANOVA)
f.Correlation analysis, pairwise coefficient of correlation

3.
Testing statistical hypotheses, confidence intervals (allowance 2/4)
 
a.
Tests of significance for regression coefficients (t-tests) and test of overall model significance (F-test)
b.
Confidence interval for regression coefficients
c.
Confidence interval and prediction interval for the model
d.
Significance test of correlation coefficient

4.
Gauss-Markov theorem, classical model assumptions (allowance 2/4)
 
a.
Classical assumptions and methods of verification
b.Properties of OLS estimator under Gauss-Markov theorem
c.
Violations of classical requirements, consequences for the model

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
c.
Time series decomposition
d.
Trend analysis, structural break and its detection
e.
Modeling seasonality
f.Modeling cyclicality
g.
Causal regression models
h.Spurious regression
i.Criteria of model fit

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

Learning activities and teaching methods:
Type of teaching methodDaily attendance
Combined form
lecture
14 h
16 h
practice
28 h
0 h
preparation for exam53 h68 h
preparation for regular testing
15 h
20 h
preparation of presentation
5 h0 h
writing of seminar paper
25 h
36 h
Total
140 h
140 h
 
Assessment methods:
For assessment, the active participation in seminars, fulfillment of the ongoing test conditions (minimum 50% score of each test is required) and succesful advocation of semester project are required. The course is completed by a written examination covering the theoretical and practical part (minimum 50% is required). Totally, score above 50% is required to receive a passing grade. The same requirements hold for combined form of study except active participation in seminars.
 
Assessment criteria ratio:
Requirement type
Daily attendanceCombined form
Total
0 %
0 %
 
Recomended reading and other learning resources:
Basic:
ADAMEC, V. -- STŘELEC, L. -- HAMPEL, D. Ekonometrie I: učební text. 1st ed. 162 p. ISBN 978-80-7375-703-8.
ADAMEC, V. -- STŘELEC, L. Ekonometrie I: cvičebnice. 138 p. ISBN 978-80-7509-396-7.

Recommended:
ARLT, J. -- ARLTOVÁ, M. Ekonomické časové řady. 1st ed. Praha: Professional Publishing, 2009. 290 p. ISBN 978-80-86946-85-6.
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.
HAMPEL, D. -- BLAŠKOVÁ, V. -- STŘELEC, L. Ekonometrie 2. 3rd ed. Mendelova univerzita v Brně, 2016. 153 p. ISBN 978-80-7509-427-8.
HINDLS, R. et al. Statistika pro ekonomy. 8th ed. Praha: Professional Publishing, 2007. 415 p. ISBN 978-80-86946-43-6.
HUŠEK, R. Aplikovaná ekonometrie: teorie a praxe. 1st ed. Praha: Oeconomica, 2009. 344 p. Vysokoškolská učebnice. ISBN 978-80-245-1623-3.
HUŠEK, R. Ekonometrická analýza. 1st ed. Praha: Oeconomica, 2007. 367 p. ISBN 978-80-245-1300-3.
MAREK, L. et al. Statistika pro ekonomy: aplikace. 2nd ed. Praha: Professional Publishing, 2007. 485 p. ISBN 978-80-86946-40-5.
STUDENMUND, A H. Using econometrics. 6th ed. Boston: Addison-Wesley, 2010. 616 p. ISBN 978-0-13-136773-9.

Course listed in study plans for this semester:
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Course listed in previous semesters:
Teaching place:
Brno


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

Type of output: