(in Polish) Programowanie narzędzi analitycznych II 2400-M1IiEPNA2

To propose a novel econometric or statistical tool there is a necessity of programming it. More often than not, in academic work or data analysis at work, existing programms adjustments appears. Because of atypical data features, econometricians have to propose a novel method to handle them. The purpose of this class is to recollect and combine students' knowledge of statistics, undergraduate econometrics, and Advanced Econometrics. To strengthen students' self reliance some modifications of widely used models will be presented.

Topics list (lista tematow)
(1)-(2) Illustrating basic statistical notions with Monte Carlo Method (type-I and type-2 errors, control for type-I error -- Bonferroni correction and alike)
(3) Law of Large Numbers and Central Limit Theorem, Convergence in Distribution, Convergence in Probability, Convergence Almost Surely -- all with computer illustrations
(4)-(7) Programming interesting econometric models based on Maximum Likelihood Method, and other such as Cochrane-Orcutt estimator, and Seemingly Unrelated Regressions. Programming alternative versions of typical econometric models with non-standard link functions.
(8) Panel data models and their properties illustrated with Monte Carlo experiments.
(9) Programming M-estimators and alike
(10)-(11) Kernel density functions estimator and introduction to non-parametric regression.
(12)-(13) Programming Fourier Transform
(14)-(15) Programming instrumental variables method

Szacunkowy nakład pracy studenta:
Typ aktywności K (kontaktowe) S (samodzielne)
wykład (zajęcia) 0 0
ćwiczenia (zajęcia) 30 0
egzamin 0 0
konsultacje 2 0
przygotowanie do ćwiczeń 0 30
przygotowanie do wykładów 0 0
przygotowanie do kolokwium 0 0
przygotowanie do egzaminu 0 0
praca zaliczeniowa 0 38
Razem 32 68 = 100

Literatura
1. Owen Jones, Robert Millardet i Andrew Robison, Introduction to Scientific Programming and Simulation Using R, CRC Press, 2009
2. Vance Martin, Stan Hurn i David Harris, Econometric Modelling with Time Series. Specification, Estimation and Testing, Cambridge University Press, 2013
3. Badi H. Baltagi, Econometric analysis of panel data 3rd ed., John Wiley & Sons, 2005
4. Jerzy Mycielski, Skrypt do Ekonometrii, WNE UW
5. Materiały przygotowane przez prowadzącego