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: Mgr. Barbara Pertold-Gebická M.A., Ph.D.
Teachers: Mgr. Barbara Pertold-Gebická M.A., Ph.D.
Assistants: Mgr. Josef Brechler
Ing. David Kocourek
PhDr. Jiří Kukačka
Mgr. Ayaz Zeynalov M.A.
Schedule:
Previous year: Online quiz for Chapter 10:
https://docs.google.com/forms/d/1dghxOIKMoMlDx2lLmPA8bR90b8iPGdM1CPV6F1pS4LE/viewform
Literature: 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
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. 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.).
4. Limited Dependent Variable models (Chapter 17)
- Binary response models (linear probability, logit, probit). - Corner solution, censored and truncated data models.
5. Panel Data I, II (Chapters 13 - 14)
- Pooling cross sections across time: Simple panel data methods.
- Fixed effects estimation
- Random Effects Models
6. Carrying out Empirical Project (Chapter 19)
Seminar:
Examination dates: Midterm will be held in November 2014.

Final Exams will be announced during the exam term starting in January 2015.
Course requirements: 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
Downloadable: Article: abortion and crime
Cviceni I
Cviceni I - reseni
Cviceni I - soubor
Durbin and Watson original paper
Empirical Project Assignment
Lecture01
Lecture02
Lecture03
Lecture04
Lecture05
Sample Final Exam
Seminar 02
Seminar 02 online quiz
Seminar 03 with solutions to Stata
Seminar 04
Seminar 04 code
Seminar 04 Data file
Syllabus 2014/15
Wooldrige (1989)