*Conducted in terms:*2019L, 2020L

*Erasmus code:*11.9

*ISCED code:*0619

*ECTS credits:*6

*Language:*English

*Organized by:*Faculty of Mathematics, Informatics, and Mechanics

*Related to study programmes:*

# Econometrics 1000-135EKN

1. Econometrics -- basic methods and goals. Examples of econometric models. Classification. Prediction. (1 lecture)

2. The least square method (LSM). The setting of the problem. The determining of the optimal values of the parameters. The error of the approximation. The algebraic properties of the model. (1--2 lectures)

3. The classical single-equation linear econometric model. Model assumptions. The least square estimation of the structural parameters of the model. The statistical verification of the model. Example: The Cobb-Douglas production function. (4--5 lectures)

4. The least square method in nonlinear models. Example: Consumption demand modeling - the Törnqvist function. (1 lecture)

5. Large-sample theory. Review of limit theorems of random variables. Model assumptions. Asymptotic properties of least square estimators. The statistical erification of the model. Example: Rational expectations theory. (4 lectures)

6. Econometric models based on time series. Stationarity. Classical linear models ARMA and ARIMA. Heteroskedastic models ARCH and GARCH. Prediction.(2--3 lectures)

## Type of course

## Course coordinators

Term 2020L: | Term 2019L: |

## Bibliography

W.H.Greene, Econometric Analysis, Prentice Hall, 2000.

F.Hayashi, Econometrics. Princeton University Press, 2000.

## Additional information

Information on *level* of this course, *year of study* and semester when the course
unit is delivered, types and amount of *class hours* - can be found in course structure
diagrams of apropriate study programmes. This course is related to
the following study programmes:

- Bachelor's degree, first cycle programme, Mathematics
- Master's degree, second cycle programme, Mathematics

Additional information (*registration* calendar, class conductors,
*localization and schedules* of classes), might be available in the USOSweb system: