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Econometrics - NMEK432

Title:	Ekonometrie
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2013 to 2016
Semester:	summer
E-Credits:	8
Hours per week, examination:	summer s.:4/2, C+Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	prof. RNDr. Tomáš Cipra, DrSc.
Class:	M Mgr. FPM M Mgr. FPM > Volitelné M Mgr. PMSE M Mgr. PMSE > Povinně volitelné
Classification:	Mathematics > Math. Econ. and Econometrics
Incompatibility :	NEKN041
Pre-requisite :	NMSA407
Interchangeability :	NEKN041
Is pre-requisite for:	NMEK051, NMEK551, NMEK563
Is interchangeable with:	NEKN042, NEKN041

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: T_KPMS (10.05.2013)

Overview of modern methods used in econometrics. Econometric problems of linear regression (heteroscedasticity, autocorrelated residuals, multicollinearity, estimation methods, models with a priori restrictions). Discrete and limited dependent variables. Econometric systems of equations (SUR model, simultaneous-equations model, identification problem, estimation methods). Vector autoregression (causality, response to impulse, cointegration). Requierements: Basic knowledge of statistics.

Aim of the course -

Last update: RNDr. Šárka Hudecová, Ph.D. (30.01.2022)

The students should master the most important methods of modern econometrics so that they are capable to apply them in practice. The applications in finance are preferred.

Literature - Czech

Last update: prof. RNDr. Tomáš Cipra, DrSc. (04.01.2016)

Cipra, T.: Finanční ekonometrie. Ekopress, Praha 2008

Cipra, T.: Matematika cenných papírů. Professional Publishing, Praha 2013

Teaching methods -

Last update: T_KPMS (10.05.2013)

Lecture + exercises.

Syllabus -

Last update: RNDr. Šárka Hudecová, Ph.D. (30.01.2022)

I. Subject of econometrics.

II. Econometric problems of linear regression (heteroscedasticity, autocorrelated residuals, multicollinearity, estimation methods, models with a priori restrictions).

III. Discrete and limited dependent variables.

IV. Econometric systems of equations: 1. General formulation. 2. SUR model. 3. Simultaneous-equations model. 4. Identification problem. 5. Estimation methods.

V. Vector autoregression: 1. Causality. 2. Response to impulse. 3. Cointegration.