Subject description - XP16ECM1
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Explanatory Notes
Instructions
Anotation:
This course is a direct sequel to Statistics/Linear regression. The objective of the course is to expose the student to variety of common and practical econometric challenges with the ultimate goal of gaining a stronger appreciation of strengths and weaknesses of econometric methodology and to overview historical developments in applied econometrics. The course assumes familiarity with the general linear model and knowledge how to deal with basic model and data deficiencies, simultaneous systems, and simple time-series processes. The course will start developing theoretical topics covered in the essential courses on Econometrics. The course will follow with different empirical research projects drawn from the literature. Each project will be introduced by the relevant economic theory-model. Using own and empirical data sets, the students will apply standard econometrics methods to answer basic economic questions. Exercise sessions will provide introduction into advance use of statistical packages (best is TSP or Stata or their derivatives like E-views) and a feedback on possible solutions of problem sets. The course will require intensive work with data and statistical packages.
Course outlines:
| 1. | | Basic regression and testing, intrinsically linear models |
| 2. | | Variable choice, specification, and functional forms, |
| 3. | | Heteroskedasticity |
| 4. | | Autocorrelation, |
| 5. | | Dummy variables, |
| 6. | | Multicollinearity and distributer lags (geometric lag, PDL), |
| 7. | | SUR (seemingly unrelated regression), |
| 8. | | Simultaneous equations, |
| 9. | | Dichotomous choice, |
| 10. | | Errors in variables, |
| 11. | | Basics of limited dependent variables, |
| 12. | | Selected topics, e.g., basics of panel data |
| 13. | | Selected topics cont. |
| 14. | | Reserve and revision |
Exercises outline:
Literature:
Obligatory:
| 1. | | William Greene, Econometrics Analysis, Pearson, 8th edition, ISBN 0134461363, 2017 |
Recommended:
| 2. | | Jeffrey Wooldridge, Introductory Econometrics: A Modern Approach, 6th Edition, ISBN: 9781305270107, 2016 |
| 3. | | Jan Kmenta, Elements of Econometrics, Macmillan, NY, 1990. |
| 4. | | Lott and Ray, Applied Econometrics, Orlando FL, The Dryden Press, 1992 (selected chapters only, accompanied with the datasets of the original research). |
Requirements:
Subject is included into these academic programs:
| Page updated 23.4.2024 09:51:42, semester: Z/2024-5, Z,L/2023-4, Send comments about the content to the Administrators of the Academic Programs |
Proposal and Realization: I. Halaška (K336), J. Novák (K336) |