Course: Econometrics

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Course title Econometrics
Course code KMA/EMN
Organizational form of instruction Lecture + Exercise
Level of course Master
Year of study not specified
Semester Summer
Number of ECTS credits 4
Language of instruction Czech
Status of course Compulsory, Compulsory-optional
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
  • Müller Ivo, RNDr. PhDr. Ph.D.
  • Fišerová Eva, doc. RNDr. Ph.D.
Course content
1 Approach to econometric modeling. 2 A general model; linear regression model. 3 Estimate of regression parameters. 4 Estimate of error variance; statistical verification. 5 Prediction; the test of stability of the model in time. 6 Measures of model fit; the test of regression fit. 7 Multicolinearity; condition index; ridge regression. 8 Dummy variables. Generalized linear model. 9 Tests of homoscedasticity and autocorrelation. 10 Seemingly unrelated regression. 11 Simultaneous equations; structural and reduced forms. 12 Problem of identification; parameter estimation. 13 The final form of simultaneous equations. Dynamic models.

Learning activities and teaching methods
  • Attendace - 39 hours per semester
  • Preparation for the Course Credit - 20 hours per semester
  • Preparation for the Exam - 60 hours per semester
Learning outcomes
Mastering statistical procedures appropriate for special data structures in economy.
Comprehension Mastering statistical procedures appropriate for special data structures in economy.
Motivation to learn

Assessment methods and criteria
Oral exam, Written exam

Credit: active participation in seminars, written test. Exam: oral.
Recommended literature
  • J. A. Víšek. (1997). Ekonometrie I. Karolinum, Praha.
  • R. Hušek. (1992). Základy ekonometrie. Skriptum VŠE, Praha.

Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Science Applied Statistics (2015) Mathematics courses 3 Summer
Faculty of Science Applications of Mathematics in Economy (2015) Mathematics courses 1 Summer