1. Introduction. The concept of econometrics and econometric model. Examples of econometric models.
2. Ordinary Least Squares (OLS). Properties of regression hyperplane.
3. Decomposition of the residual sum of the squares, R2 and its properties.
4. Assumptions of the Classic Linear Regression Model (CLRM). Estimation of CLRM by OLS.
5. Properties of OLS estimators in CLRM (Gauss-Markov's theorem). Estimator of variance-covariance matrix.
6. Statistical reasoning in CLRM. Distribution of OLS estimators in CLRM. Testing of simple and complex hypotheses: t - test and test F.
7. Interpretation of model parameters.
8. Diagnostics in CLRM I - testing: normality of random error (Jarque-Berra test), correctness of functional form (RESET test), stability of parameters (Chow test).
9. Diagnostics in CLRM I - testing: homoscedascity (White test, Breusch-Pagan test), autocorrelation (Durbin-Watson test, Breusch-Godfrey test).
10. Specific problems: collinearity (concept, detection, handling); qualitative explanatory variables (coding, interpretation of parameters); omitted variables and insignificant variables; atypical observations and outliers (concept, detection, handling).
11. Aspherical random errors - causes and consequences of heteroscedasticity and autocorrelation. Methods: robust estimators of variance-covariance matrix; Generalized Least Squares Method (GLS).
12. Dynamic models I: Distributed lags models (DL), Autoregressive distributed lags models (ADL). Granger causality. The problem of autocorrelation in dynamic models.
13. Stationary and non-stationary variables. Variable integration order testing - Dickey-Fuller test, KPSS test. Problem of spurious regression.
14. Models for discrete dependent variables: logit, probit, ordered logit and ordered probit, Poisson's model.
Szacunkowy nakład pracy studenta:
Typ aktywności K (kontaktowe) S (samodzielne)
wykład (zajęcia) 0 0
ćwiczenia (zajęcia) 60 0
egzamin 2 0
konsultacje 3 0
przygotowanie do ćwiczeń 0 60
przygotowanie do wykładów 0 0
przygotowanie do kolokwium 0 0
przygotowanie do egzaminu 0 25
… 0 0
Razem 65 85 = 150