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Advanced Topics on Econometrics - NEKN007

Title:	Pokročilé partie ekonometrie
Form of teaching:	lecture
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Duration in semesters:	1
Semester:	summer
E-Credits:	3
Hours per week, examination:	summer s.:2/0, Ex [HT]
Capacity:	unlimited
Maximum number of enrolled students:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	cancelled
Language:	Czech
Teaching methods:	full-time
Repeated enrollment:	2 / 2 / 2 / 2

Guarantor:	doc. RNDr. Petr Lachout, CSc.
Class:	DS, ekonometrie a operační výzkum
Classification:	Mathematics > Math. Econ. and Econometrics, Probability and Statistics
Co-requisite :	NEKN041
Interchangeability :	NMEK563

Opinion survey results Schedule Noticeboard

Annotation -

The lecture follows lecture NEKN041 with specialization on the mathematical theory of modern econometrics. Linear regression with general loss function. Censored data.

Last update: T_KPMS (14.05.2010)

Aim of the course -

Presentation of advanced methods of econometrics.

Last update: T_KPMS (22.05.2008)

Literature - Czech

Drymes, P.J.: Mathematics for Econometrics. Springer Verlag, New York, 1984

Drymes, P.J.: Topics in Advanced Econometrics. Springer Verlag, New York, 1994

Fomby, T.B., Hill, R.C., Johnson, S.R.:Advance Econometric Methods. Springer Verlag, New York, 1984

Last update: Zakouřil Pavel, RNDr., Ph.D. (05.08.2002)

Teaching methods -

Lecture.

Last update: G_M (27.05.2008)

Syllabus -

1. Linear regression model.

2. Estimation of regression parameters.

3. M-estimators and efficient estimators.

4. Consistency and speed of convergence of these estimators.

5. Linear regression model adapted for economical applications.

6. Error dependence in linear regression model.

7. Autoregressive model.

8. Censored linear regression model.

Last update: T_KPMS (16.05.2003)