JEM017 - Business Cycles Theory
| Credit: | 6 |
|---|---|
| Credit ETCS: | 6 |
| Hours weekly: | 2/2 |
| Status: | EEI and EP - elective English ET - mandatory F,FM and B - elective Masters - all MEF - elective Semester - winter |
| Obligatory courses: | |
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| Course supervisors: | prof. Ing. Miloslav Vošvrda CSc. |
| Teachers: | prof. Ing. Miloslav Vošvrda CSc. |
| Assistants: | PhDr. Tomáš Adam PhDr. Jaromír Baxa Ph.D. Mgr. Lukáš Vácha Ph.D. |
| Schedule: | Wednesday, 15:30 - 18:20, room number 601 |
| Announcements: | |
| Literature: | Enders, W.: Applied Econometric Time Series, 2nd ed., Wiley, 2004 Kočenda, E., Černý, A.: Elements of Time Series Econometrics: An Applied Approach, Karolinum 2007 Mills, T.C.: Long Term Trends and Business Cycles, Vol. I, II, The International Library of Critical Writings in Economnics, 149, Elgar, 2002 Niemira, M.P., Klein, and P.A.: Forecasting Financial and Economic Cycles, Wiley 1994 Peasaran, M.H., and Potter: Nonlinear Dynamics, Chaos and Econometrics, Wiley, 1994 Puu, T.: Nonlinear Economic Dynamics, Springer, 1997 Sargent T: Dynamic Macroeconomic Theory, Cambridge, 1987 Stock, J.H. Watson, M.W.: Business cycles fluctuations and U.S. macroeconomic time series. In: Taylor, J.B., Woodford, M. (eds): Handbook of Macroeconomics, Vol. 1, Elsevier, 1999 Software: Gretl, Eviews, R-project, TSM On-line support: webmathematica.fsv.cuni.cz (Interactive materials with Mathematica) http://dl1.cuni.cz/course/view.php?id=880 (Distance learning support) |
| Description: | This course is devoted to an analysis of business movement using econometric techniques. We will cover fields like isolation of trends and cycles using deterministic and stochastic methods; extraction of seasonal movements; recession dating procedures, multivariate models of business cycles, decompositions of business cycles movements etc. This is a workshop-style course. Prior knowledge of econometric techniques is a must. Students are expeted to apply covered techniques in problem sets and actively present their results during the course. |
| Content: | 1. Introduction to the business cycles research and review of econometric techniques 2. Stationary linar models (AR, MA, ARMA models and their properties) 3. Stationarity: economic and econometric interpretation, unit-root tests 4. Unit-root tests under structural instability. Seasonality. 5. introduction into spectral analysis: time domain and frequency domain 6. Spectral analysis: Filtering Economic Time Series 7. Recession dating procedures: NBER approach and simplified versions 8. Nonlinear models: Regime shift models 9. Nonlinear models: Time-varying parameter models and Kalman filter 10. Multivariate models: Introduction into VAR models 11. Multivariate models: Identification of VAR models 12. Multivariate models: Cointegration and common trends. |
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| Course requirements: | homeworks 40%, midterm 20%, finalterm 40% (tentative) |