Kurs podává výklad pokročilejších ekonometrických metod. Mezi probíraná témata patří: systémy zdánlivě nesouvisejících rovnic, simultánní rovnice, úvod do analýzy panelových dat, modely s binární nebo omezenou vysvětlovanou proměnnou.
Also available in English: Advanced Econometrics.
Poslední úprava: NETUKAM (09.10.2012)
The course provides an introduction to advanced econometric techniques. It deals with seemingly unrelated regression models, models of simultaneous equations. It also offers introduction to models for panel data and models with binary or limited dependent variables.
Literatura -
Poslední úprava: NETUKAM (09.10.2012)
Baltagi, Badi H. Econometrics. 3nd ed. Springer 2002, 401 p.
Berndt, Ernst. The Practice of Econometrics. Classic and Contemporary. Addison Wesley 1991. 702 p.
Textbooks similar to Baltagi's Econometrics:
Johnston, Jack - DiNardo, John: Econometric Methods. 4 th ed., McGraw-Hill/Irwin, 1997, 549 s.
Greene, William H. Econometric Analysis. 5th ed. Prentice Hall, 2003, 1056 s.
Panel Data Models - tips for further reading:
Baltagi, Badi H. Econometric Analysis of panel Data. 2nd ed. Wiley 2001. 293 p.
Wooldridge, Jeffrey. Econometric Analysis of Cross Section and Panel Data. MIT Press 2001. 740 p.
Poslední úprava: NETUKAM (09.10.2012)
Baltagi, Badi H. Econometrics. 3nd ed. Springer 2002, 401 p.
Berndt, Ernst. The Practice of Econometrics. Classic and Contemporary. Addison Wesley 1991. 702 p.
Textbooks similar to Baltagi's Econometrics:
Johnston, Jack - DiNardo, John: Econometric Methods. 4 th ed., McGraw-Hill/Irwin, 1997, 549 s.
Greene, William H. Econometric Analysis. 5th ed. Prentice Hall, 2003, 1056 s.
Panel Data Models - tips for further reading:
Baltagi, Badi H. Econometric Analysis of panel Data. 2nd ed. Wiley 2001. 293 p.
Wooldridge, Jeffrey. Econometric Analysis of Cross Section and Panel Data. MIT Press 2001. 740 p.
Požadavky ke zkoušce -
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (14.09.2020)
Assignments: 0 - 15% Midterm Exam: 0 - 20% Final Exam: 0 - 50% (to pass the Final, one needs to have at least 50% of correct answers) Empirical Paper: 15%
Poslední úprava: doc. PhDr. Jozef Baruník, Ph.D. (14.09.2020)
Assignments: 0 - 15% Midterm Exam: 0 - 20% Final Exam: 0 - 50% (to pass the Final, one needs to have at least 50% of correct answers) Empirical Paper: 15%
Sylabus -
Poslední úprava: NETUKAM (09.10.2012)
I. Seemingly Unrelated Regressions
Introduction, notation
Estimation of parameters
Empirical examples
Testing diagonality of the variance-covariance matrix
Test of linear restrictions in SUR
II. Simultaneous Equations Models
Introduction, simultaneous bias, notation
Problem of identification (rank and order condition)
Estimation (Two-Stage Least Squares, Three-Stage Least Squares)
Hausman's specification test
Empirical examples
III. Panel Data Models
Introduction, notation
The error component models (fixed effects and random effects models]
Empirical examples
IV. Qualitative & limited dependent variable models
Poslední úprava: NETUKAM (09.10.2012)
I. Seemingly Unrelated Regressions
Introduction, notation
Estimation of parameters
Empirical examples
Testing diagonality of the variance-covariance matrix
Test of linear restrictions in SUR
II. Simultaneous Equations Models
Introduction, simultaneous bias, notation
Problem of identification (rank and order condition)
Estimation (Two-Stage Least Squares, Three-Stage Least Squares)
Hausman's specification test
Empirical examples
III. Panel Data Models
Introduction, notation
The error component models (fixed effects and random effects models]
Empirical examples
IV. Qualitative & limited dependent variable models
