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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.
Last update: T_KPMS (13.05.2010)
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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.
Last update: T_KPMS (09.05.2008)
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Cipra, T.: Finanční ekonometrie. Ekopress, Praha 2008 Cipra, T.: Matematika cenných papírů. Professional Publishing, Praha 2013 Last update: Cipra Tomáš, prof. RNDr., DrSc. (09.09.2013)
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Lecture. Last update: G_M (27.05.2008)
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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.
Last update: T_KPMS (13.05.2010)
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