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Robust Econometrics - NEKN038

Title:	Robustní ekonometrie
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Semester:	summer
E-Credits:	3
Hours per week, examination:	summer s.:0/2, C [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	cancelled
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	prof. RNDr. Jan Ámos Víšek, CSc.
Class:	DS, ekonometrie a operační výzkum
Classification:	Mathematics > Math. Econ. and Econometrics

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: G_M (05.06.2007)

Repetition of basic results of (classical) regression analysis (as assumed in econometric monographs) and main notions and results of robust statistics. Construction of theory as a "unification" of both topics including (classical) theoretical results -consistency, asymptotic normality, asymptotic representation, study of sensitivity, breakdown points as well as alghoritms, their properties and implementation, and, finally, also simulations and case studies. A course for doctoral students.

Aim of the course -

Last update: G_M (30.05.2008)

The goal of subject is to inform PhD. students about the most recent results of the robust regression from point of view of econometrician, with some new technics of the proving and to start common work employing just mentioned topics. A part of discussion will be devoted also to philosophical problems of formalized models.

Literature - Czech

Last update: T_KPMS (18.01.2007)

Hampel, F. R., E. M. Ronchetti, P. J. Rousseeuw, W. A. Stahel (1986): Robust Statistics -- The Approach Based on Influence Functions. J.Wiley.
Judge, G.,G., W.,E. Griffiths, R. C. Hill, H. Lutkepohl, T.,C. Lee (1985): The Theory and Practice of Econometrics. J.Wiley.
Rousseeuw, P. J., A. M. Leroy (1987): Robust Regression and Outlier Detection. J.Wiley.
Časopisecká literatura

Teaching methods -

Last update: G_M (28.05.2008)

Seminar.

Syllabus -

Last update: T_KPMS (18.05.2010)

Regression analysis.

Robust statistics.

Unification of both topics.