SubjectsSubjects(version: 861)
Course, academic year 2019/2020
  
Applied Econometrics - JEM116
Title: Applied Econometrics
Guaranteed by: Institute of Economic Studies (23-IES)
Faculty: Faculty of Social Sciences
Actual: from 2017
Semester: summer
Points: 6
E-Credits: 6
Examination process: summer s.:
Hours per week, examination: summer s.:2/2 Ex [hours/week]
Capacity: 97 / 65 (97)
Min. number of students: unlimited
State of the course: taught
Language: English
Teaching methods: full-time
Additional information: http://ies.fsv.cuni.cz/index.php?module=sylab&action=sylab&id_sylab=140&lng=cs_CZ
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: prof. Roman Horváth, Ph.D.
doc. PhDr. Jozef Baruník, Ph.D.
PhDr. Mgr. Jiří Kukačka, Ph.D.
Teacher(s): doc. PhDr. Jozef Baruník, Ph.D.
PhDr. Jaromír Baxa, Ph.D.
Mgr. Kristýna Brunová
prof. Roman Horváth, Ph.D.
PhDr. Mgr. Jiří Kukačka, Ph.D.
Mgr. Ing. Matěj Nevrla
Annotation -
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)
The course concentrates on the practical use of econometric methods, reviewing the relevant methodology, its use, and the possible alternative modeling approaches. The lectures are supplemented by computer classes, where students can gain hands-on experience in applied econometric analysis. During the course we will especially focus on time series techniques applied to forecasting asset volatility, modeling inflation, exchange rate volatility and other topics that you may regularly encounter in economic and financial literature. The course focuses on following topics in econometrics: OLS, IV, ARIMA, GARCH, VAR, cointegration, filters and limited dependent variables.
Aim of the course -
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)

Students will learn the basics of time series econometrics with an emphasis on how to apply these methods.

Course completion requirements -
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)

Grading - in line with the Dean's decree 17/2018, written exam at the end of the semester (60% weight), term paper (40% weight)

Literature -
Last update: prof. Roman Horváth, Ph.D. (20.02.2019)

Selected recommended textbooks on applied econometrics:

Brook, C.: Introductory Econometrics for Finance, Cambridge University Press.


Enders, W.: Applied Econometric Time Series, 2nd edition, 2003
Harris, R. and R. Sollis: "Applied Time Series Modelling and Foecasting", 2003
Stewart, K. G.: "Introduction to Applied Econometrics", 2005
Verbeek, M.: ?A Guide to Modern Econometrics?, 2nd edition, 2004
Kratzig, M. and H. Lutkepohl ,?Applied Time Series Econometrics?, 2004
Kocenda, E. and A. Cerny, "Elements of Time Series Econometrics: An Applied Approach", 2007, Karolinum Press

Teaching methods -
Last update: prof. Roman Horváth, Ph.D. (20.02.2019)

Lectures accompanied by seminars in the computer room. The software R will be used during the seminars.

Requirements to the exam
Last update: Ing. Monika Hollmannová (22.10.2019)

Grading - in line with the Dean's decree 17/2018. 

Written exam at the end of the semester (60% weight)

Term paper (40% weight)

Syllabus -
Last update: prof. Roman Horváth, Ph.D. (14.11.2019)

1. Introduction
2. OLS and basics
3. Introduction to Time Series
4. ARIMA Modeling
5. GARCH (2 lectures)
6. Introduction to Cointegration
7. Vector Autoregression
8. TSLS, IV

9. Non-linear time series models

10. Limited dependent variable models in finance

11. Time series filters

 
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