SubjectsSubjects(version: 861)
Course, academic year 2019/2020
Business Cycles Theory - JEM017
Title: Business Cycles Theory
Guaranteed by: Institute of Economic Studies (23-IES)
Faculty: Faculty of Social Sciences
Actual: from 2017
Semester: winter
Points: 6
E-Credits: 6
Examination process: winter s.:
Hours per week, examination: winter s.:2/2 Ex [hours/week]
Capacity: 20 / 20 (20)
Min. number of students: unlimited
State of the course: taught
Language: English
Teaching methods: full-time
Additional information:
Note: course can be enrolled in outside the study plan
enabled for web enrollment
priority enrollment if the course is part of the study plan
Guarantor: PhDr. Jaromír Baxa, Ph.D.
prof. Ing. Miloslav Vošvrda, CSc.
Teacher(s): PhDr. Jaromír Baxa, Ph.D.
Nino Buliskeria
Mgr. Lukáš Vácha, Ph.D.
Annotation -
Last update: PhDr. Jaromír Baxa, Ph.D. (14.02.2014)
This course is devoted to an analysis of business movement using econometric techniques. We will cover fields like isolation of trends and cycles using deterministic and stochastic methods; extraction of seasonal movements; recession dating procedures, multivariate models of business cycles, decompositions of business cycles movements etc.
This is a workshop-style course. Prior knowledge of econometric techniques is a must. Students are expeted to apply covered techniques in problem sets and actively present their results during the course.
Course completion requirements -
Last update: PhDr. Jaromír Baxa, Ph.D. (23.10.2019)

Homeworks 40%, Midterm 20%, Final exam 40%. All problem sets have to be accepted by the lecturers before the exam. Non-accepted problem sets are considered as preliminary versions not counted for evaluation.

Grading of problem sets: maximum 10 points all, late submission/returned PS -1 point. Presentation 10 points. Sum of points from problem sets + presentations is then rescalled to 40 points to the final grade.

Final exam consists of presentation of selected problem set and written exam. Midterm: written exam

Literature -
Last update: PhDr. Jaromír Baxa, Ph.D. (04.10.2017)


Enders, W.: Applied Econometric Time Series, 3rd ed., Wiley, 2009

Kočenda, E., Černý, A.: Elements of Time Series Econometrics: An Applied Approach, Karolinum 2007

Kilian, L., & Lütkepohl, H.: Structural Vector Autoregressive Analysis. Cambridge: Cambridge University Press, 2017.

Lütkepohl, H.: New Introduction to Multiple Time Series Analysis. Springer, 2005. 

Stock, J.H. Watson, M.W.: Business cycles fluctuations and U.S. macroeconomic time series. In: Taylor, J.B., Woodford, M. (eds): Handbook of Macroeconomics, Vol. 1, Elsevier, 1999


Moodle Site:

Syllabus -
Last update: PhDr. Jaromír Baxa, Ph.D. (04.10.2017)

1. Introduction
2. Stationary linar models (AR, MA, ARMA models and their properties). Stationarity: economic and econometric interpretation, unit-root tests.
3. Introduction to R Time series models in R.
4. Unit-root tests under structural instability. Seasonality.
5. Introduction to spectral analysis: time domain and frequency domain .
6. Extracting business cycles: Fitlers and recession dating procedures (NBER approach and simplified versions).
7. Midterm + Nonlinear models: Regime shift models.
8. Introduction to State Space Models and Kalman Filter. Time-varying parameter model.
9. Multivariate models: Introduction into VAR models. Forecasting.
10. Multivariate models: Identification of VAR models.
11. Multivariate models: Bayesian VARs and factor models.
12. Multivariate models: Cointegration and VARs with nonstationary variable.

Charles University | Information system of Charles University |