JEB110 - Econometrics II

Kredit: 6
Dotace: 2/2
Role předmětu: Anglicky
Bakalářský - povinný
Bakalářský - vše
BEF - elective
Semestr - zimní
Prerekvizity: JEB109 - Econometrics I
Doporučené kurzy:
Garanti: Mgr. Barbara Pertold-Gebická M.A., Ph.D.
Vyučující: Mgr. Barbara Pertold-Gebická M.A., Ph.D.
Asistenti: Mgr. Václav Hausenblas
Mgr. Barbora Malinská
Mgr. Ayaz Zeynalov M.A.
Rozvrh:
Novinky: Due to national holiday on wednesday, October 28, Seminar sessions are moved to: Thursday, October 29 at 12:30 and Friday, October 30 at 8:00.
Literatura: J.M. Wooldridge, Introductory Econometrics, South-Western College Publishing

Alternative books:
Time series data: "Introductory Econometrics for Finance" by Chris Brooks
Cross-sectional and panel data: "Microeconometrics: Methods and Applications" by Cameron and Triveldi
Popis: 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.
Obsah: 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)
Semináře:
Termíny zkoušek: Midterm will be held on November 10, 2015.

Final Exams will be announced during the exam term starting in January 2016.
Povinnosti: Assignments: 0 - 21 points
Midterm Exam: 0 - 20 points
Final Exam: 0 - 45 points (to pass the Final, one needs to have at least 25 points)
Empirical Paper: 0 - 14 points
Ke stažení: Article: abortion and crime
Durbin and Watson original paper
Empirical Project Assignment
Home assignment 1 - RESULTS
Home assignment 1 - UPDATED!
Home assignment 2
Home Assignment 2 - Results
Home assignment 3 RESULTS
Home assignment 3 UPDATE (for Stata 12 users)
Lecture01
Lecture02
Lecture03
Lecture04
Lecture05
Lecture06
Lecture08
Lecture09
Lecture10
Lecture11
Lecture12
Lecture1_example_TeamProductivity_paper
Lecture2_example_dofile
Lecture2_example_housingVATdata
Lecture4_data
Sample Final Exam
SampleProject1
SampleProject2
SampleProject3
Session01 with solutions
Session02 with solutions
Session03
Session04
Session05
Session06
Session08
Session09
Session10 with solutions
Session11 with solutions
Session12
Syllabus 2015/2016
Wooldrige (1989)

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ČSOB

Deloitte

Remonia, a.s.
ČEZ

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