JEB110 - Econometrics II

Credit: 6
Credit ETCS: 6
Hours weekly: 2/2
Status: Anglicky
Bakalářský - povinný
Bakalářský - vše
BEF - elective
Semestr - zimní
Obligatory courses: JEB109 - Econometrics I
Recommended courses:
Course supervisors: Ing. Barbara Pertold-Gebická Ph.D.
Teachers: Ing. Barbara Pertold-Gebická Ph.D.
Assistants: Mgr. Josef Brechler
Ing. David Kocourek
PhDr. Jiří Kukačka
Mgr. Ayaz Zeynalov M.A.
Schedule:
Announcements: If you are interested in time series econometrics, the recommended book is: "Introductory Econometrics for Finance" by Chris Brooks.
Literature: J.M. Wooldridge, Introductory Econometrics, South-Western College Publishing
Description: The objective of the course is to teach students how to use econometric methods to identify and quantify economic relations, how to deal with the data and interpret the results. Together with Econometrics I, the course will prepare students to carry out independent empirical projects (e.g. for a bachelor thesis) and to take the Advanced Econometrics course.
Content: 1. Introductory Lecture: Repetition of basic econometrics (Chapters 1 - 9)
2. Time Series I, II, III (Chapters 10 - 12)
Basic Regression analysis with time series data.
- Properties of OLS with time series data.
- Trends and seasonality.
- Stationarity, nonstatinarity and weak dependence.
- Serial correlation and heteroskedasticity in time series regressions.
3. Panel Data I, II (Chapters 13 - 14)
- Pooling cross sections across time: Simple panel data methods.
- Fixed effects estimation
- Random Effects Models
4. Instrumental Variables & 2SLS I and II (Chapters 15 - 16)
- Instrumental variables estimation.
- Two Stage Least Squares (2SLS).
- Simultaneous equations models (simultaneity bias in OLS, etc.).
5. Limited Dependent Variable models (Chapter 17)
- Binary response models (linear probability, logit, probit). - Corner solution, censored and truncated data models.
6. Carrying out Empirical Project (Chapter 19)
Seminar:
Examination dates: Midterm will be held during the week of November 11, 2013.

Final Exams will be announced during the exam term starting in January 2014.
Course requirements: Assignments: 0 - 15 points
Midterm Exam: 0 - 20 points
Final Exam: 0 - 50 points (to pass the Final, one needs to have at least 30 points)
Empirical Paper: 0 - 15 points
Downloadable: Article: abortion and crime
Exercise Session I
Exercise Session I - Solution
Exercise Session IX
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Exercise Session V - Solution
Exercise Session V - Solution_DoFile
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Exercise Session VI - Solution
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Exercise Session VIII
ExSI - Excel Solution
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Home assignment 1
Home assignment 1 solution
Home assignment 2
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Home assignment 4: Project
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MURDER
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Sample Final Exam
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Syllabus 2013/2014
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