Kurs podává výklad pokročilejších ekonometrických metod. Mezi probíraná témata patří: systémy zdánlivě nesouvisejících rovnic, simultánní rovnice, úvod do analýzy panelových dat. Kurz je přednášen v anglickém jazyce.
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (27.09.2013)
The course provides deeper understanding of selected econometric topics. It covers models from these areas: seemingly unrelated regressions, simultaneous equations and panel data.
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (27.09.2013)
Literatura -
Main text:
Baltagi, Badi H. Econometrics. 3rd ed. Springer, 2002. 401 p. (latest edition: 5th (2011))
Similar graduate-level econometrics textbooks:
Johnston, Jack - DiNardo, John: Econometric Methods. 4th ed., McGraw-Hill/Irwin, 1997, 549 p.
Greene, William H. Econometric Analysis. 5th ed. Prentice Hall, 2003, 1056 p. (latest edition: 7th (2012))
Useful supplementary text for panel data models:
Baltagi, Badi H. Econometric Analysis of Panel Data. 2nd ed. Wiley, 2002, 304 p. (latest edition: 4th (2008))
Good supplementary reading especially for the first 3 lectures available on internet:
Hansen, Bruce E.: Econometrics (draft of graduate textbook), University of Wisconsin (last revision: January 2012)
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (27.09.2013)
Požadavky ke zkoušce -
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: Baruník Jozef, doc. PhDr., 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: Baruník Jozef, doc. PhDr., Ph.D. (14.09.2020)
Sylabus -
*I. Revision of Linear Regression Model
*II. Seemingly Unrelated Regressions Introduction, notation Estimation of parameters Empirical examples Testing diagonality of the variance-covariance matrix Test of linear restrictions in SUR
*III. 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
*IV. Panel Data Models Introduction, notation The error component models (fixed effects and random effects models] Empirical examples
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (27.09.2013)
*I. Revision of Linear Regression Model
*II. Seemingly Unrelated Regressions Introduction, notation Estimation of parameters Empirical examples Testing diagonality of the variance-covariance matrix Test of linear restrictions in SUR
*III. 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
*IV. Panel Data Models Introduction, notation The error component models (fixed effects and random effects models] Empirical examples
Poslední úprava: Baruník Jozef, doc. PhDr., Ph.D. (27.09.2013)
