Applied Econometrics - JEM116

• Title: Applied Econometrics
• Guaranteed by: Institute of Economic Studies (23-IES)
• Faculty: Faculty of Social Sciences
• Actual: from 2017
• Semester: summer
• E-Credits: 6
• Examination process: summer s.:
• Hours per week, examination: summer s.:2/2, Ex [HT]
• Capacity: 97 / 65 (97)
• Min. number of students: unlimited
• Virtual mobility / capacity: no
• 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.; prof. Roman Horváth, Ph.D.; Mgr. Lukáš Janásek; PhDr. Mgr. Jiří Kukačka, Ph.D.; Mgr. Lenka Nechvátalová
• Class: Courses for incoming students

Annotation

English

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.

Czech

Last update: prof. Roman Horváth, Ph.D. (17.02.2021)

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

English

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

English

Last update: prof. Roman Horváth, Ph.D. (17.02.2021)

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

Research proposal at the end of the semester (60% weight)

Term paper (40% weight)

 

The details regarding the research proposal and term paper are available in Lecture 1.pdf and in separate pdf files posted (during the semester) in the SIS.

Literature

English

Last update: PhDr. Petr Bednařík, Ph.D. (05.06.2020)

Selected recommended textbooks on applied econometrics:

Brook, Ch.: Introductory Econometrics for Finance, New York: Cambridge University Press.

Enders, W.: Applied Econometric Time Series, 2nd edition, Hoboken: Wiley, 2003.
Harris, R. and R. Sollis: Applied Time Series Modelling and Forecasting, Chichester: Wiley, 2003.
Stewart, K. G.: Introduction to Applied Econometrics, Belmont: Thomson Brooks, 2005.
Verbeek, M.: A Guide to Modern Econometrics, 2nd edition, Chihester: John Wiley, 2004.
Kratzig, M. and H. Lutkepohl ,Applied Time Series Econometrics, New York: Cambridge University Press, 2004.
Kočenda, E. and Černý, A.: Elements of Time Series Econometrics: An Applied Approach, Prague: Karolinum Press, 2007.

 

 

Czech

Last update: PhDr. Petr Bednařík, Ph.D. (15.05.2020)

Selected recommended textbooks on applied econometrics:

Brook, Ch.: Introductory Econometrics for Finance, New York: Cambridge University Press.

Enders, W.: Applied Econometric Time Series, 2nd edition, Hoboken: Wiley, 2003.
Harris, R. and R. Sollis: Applied Time Series Modelling and Forecasting, Chichester: Wiley, 2003.
Stewart, K. G.: Introduction to Applied Econometrics, Belmont: Thomson Brooks, 2005.
Verbeek, M.: A Guide to Modern Econometrics, 2nd edition, Chihester: John Wiley, 2004.
Kratzig, M. and H. Lutkepohl ,Applied Time Series Econometrics, New York: Cambridge University Press, 2004.
Kočenda, E. and Černý, A.: Elements of Time Series Econometrics: An Applied Approach, Prague: Karolinum Press, 2007.

Teaching methods

English

Last update: prof. Roman Horváth, Ph.D. (15.02.2022)

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

This semester we teach in the hybrid form. The students have two options: 1) they come to the lecture room 314 in Opletalova 26 building or 2) they join the lecture and seminar online using the MS Teams (please see the instructions below).

INSTRUCTIONS:

You can either join the class/group in MS teams or use a direct link to join the meeting.

To join the class you need to sign in to MS teams (with [e-mail], otherwise it might not work) and then join the team using code jcz184d (in MS teams app: Teams -> Join or create team -> Join a team with a code).
Direct link to the meeting (for lectures and seminars):
https://teams.microsoft.com/l/meetup-join/19%3a7oNBbtlJfk0pJGdBD6KUgz_YbUkWyLJFsgaamz9p7d01%40thread.tacv2/1644839682361?context=%7b%22Tid%22%3a%22e09276da-f934-4086-bf08-8816a20414a2%22%2c%22Oid%22%3a%2290413cdc-137d-4c39-a5d1-2f6fb3119fb1%22%7d

Requirements to the exam

Last update: prof. Roman Horváth, Ph.D. (17.02.2021)

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

Research proposal at the end of the semester (60% weight)

Term paper (40% weight)

The details regarding the research proposal and term paper are available in Lecture 1.pdf and in separate pdf files posted (during the semester) in the SIS.

Syllabus

English

Last update: Mgr. Lenka Nechvátalová (14.02.2022)

2021/2022:

Link to join the lectures and seminars (Microsoft teams):

https://teams.microsoft.com/l/meetup-join/19%3a7oNBbtlJfk0pJGdBD6KUgz_YbUkWyLJFsgaamz9p7d01%40thread.tacv2/1644839682361?context=%7b%22Tid%22%3a%22e09276da-f934-4086-bf08-8816a20414a2%22%2c%22Oid%22%3a%2290413cdc-137d-4c39-a5d1-2f6fb3119fb1%22%7d

 

Code to join MS teams class: (using account [e-mail])

jcz184d

 

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

12. Networks

13. Guest lecture

Czech

Last update: Mgr. Lenka Nechvátalová (14.02.2022)

2021/2022:

Link to join the lectures and seminars (Microsoft teams):

https://teams.microsoft.com/l/meetup-join/19%3a7oNBbtlJfk0pJGdBD6KUgz_YbUkWyLJFsgaamz9p7d01%40thread.tacv2/1644839682361?context=%7b%22Tid%22%3a%22e09276da-f934-4086-bf08-8816a20414a2%22%2c%22Oid%22%3a%2290413cdc-137d-4c39-a5d1-2f6fb3119fb1%22%7d

 

Code to join MS teams class: (using account [e-mail])

jcz184d

 

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