Předmět Business Cycles Theory (JEM017)

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Materiál	Typ	Datum	Počet stažení

Sylabus

1. Introduction to the business cycles research and review of econometric techniques.2. Stationary linar models (AR, MA, ARMA models and their properties). Stationarity: economic and econometric interpretation, unit-root tests.3. Introduction to R Time series models in R.4. Unit-root tests under structural instability. Seasonality. 5. Introduction into spectral analysis: time domain and frequency domain .6. Extracting business cycles:Fitlers and recession dating procedures (NBER approach and simplified versions).7. Introduction to State Space Models and Kalman Filter. Time-varying parameter model. 8. Nonlinear models: Regime shift models.9. Multivariate models: Introduction into VAR models. Forecasting.10. Multivariate models: Identification of VAR models.11.Bayesian VARs.12. Multivariate models: Cointegration and common trends.

Literatura

LiteratureEnders, W.: Applied Econometric Time Series, 3rd ed., Wiley, 2009Kočenda, E., Černý, A.: Elements of Time Series Econometrics: An Applied Approach, Karolinum 2007Mills, T.C.: Long Term Trends and Business Cycles, Vol. I, II, The International Library of Critical Writings in Economnics, 149, Elgar, 2002Stock, 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, 1999Moodle Site: http://dl1.cuni.cz/course/view.php?id=880

Garant

prof. Ing. Miloslav Vošvrda, CSc.PhDr. Jaromír Baxa, Ph.D.

Vyučující

PhDr. Jaromír Baxa, Ph.D.Mgr. Ing. Adam KučeraMgr. Lukáš Vácha, Ph.D.