Last update: prof. Roman Horváth, Ph.D. (10.02.2023)
The course concentrates on the practical use of econometric methods, reviewing the relevant methodology, its use, and 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 the following topics in econometrics: OLS, IV, ARIMA, GARCH, VAR, cointegration, filters, and limited dependent variables.
Last update: prof. Roman Horváth, Ph.D. (10.02.2023)
The course concentrates on the practical use of econometric methods, reviewing the relevant methodology, its use, and 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 the following topics in econometrics: OLS, IV, ARIMA, GARCH, VAR, cointegration, filters, and limited dependent variables.
Literature - Czech
Last update: prof. Roman Horváth, Ph.D. (17.02.2021)
Selected recommended textbooks on applied econometrics:
Brooks, 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: PhDr. Jiří Kukačka, Ph.D. (14.02.2023)
Lectures accompanied by seminars in computer room 016.
The software R will be used during the seminars, and materials will be processed in the interactive Jupyter Notebook .ypinb format (freeware, available on all computers in 016). If you want to work on your computer, ensure in advance Jupyter is properly connected to the R kernel.
