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Advanced Topics on Econometrics - NMEK563

Title:	Pokročilé partie ekonometrie
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2024
Semester:	winter
E-Credits:	3
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	not taught
Language:	Czech
Teaching methods:	full-time

Guarantor:	doc. RNDr. Petr Lachout, CSc.
Class:	M Mgr. PMSE M Mgr. PMSE > Volitelné
Classification:	Mathematics > Math. Econ. and Econometrics, Probability and Statistics
Pre-requisite :	NMEK511
Is interchangeable with:	NEKN007

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Annotation -

The lecture follows lecture NMEK432 with specialization on the mathematical theory of modern econometrics. Linear regression with general loss function. Censored data.

Last update: T_KPMS (05.05.2015)

Aim of the course -

Presentation of advanced methods of econometrics.

Last update: T_KPMS (10.05.2013)

Literature - Czech

Drymes, P.J.: Mathematics for Econometrics. Springer Verlag, New York, 1984

Drymes, P.J.: Topics in Advanced Econometrics. Springer Verlag, New York, 1994

Fomby, T.B., Hill, R.C., Johnson, S.R.:Advance Econometric Methods. Springer Verlag, New York, 1984

Last update: T_KPMS (10.05.2013)

Teaching methods -

Lecture.

Last update: T_KPMS (10.05.2013)

Syllabus -

1. Linear regression model.

2. Estimation of regression parameters.

3. M-estimators and efficient estimators.

4. Consistency and speed of convergence of these estimators.

5. Linear regression model adapted for economical applications.

6. Error dependence in linear regression model.

7. Autoregressive model.

8. Censored linear regression model.

Last update: T_KPMS (10.05.2013)