Předmět Applied Econometrics (JEM116)

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Materiál	Typ	Datum	Počet stažení

Sylabus

Applied Econometrics - syllabus Organization: Summer semester, every Thursday, 17:00 - lecture, seminars on 9:30, 11:00, 12:30 and 18:30The seminars start from the 2nd week of the semester. Room 314 (for the lectures)/016 (for the seminars), IES, Opletalova 26, Prague 1 Lecturers: Jaromir Baxa (jaromir.baxa@centrum.cz)Roman Horvath (roman.horvath@gmail.com)Jozef Barunik (barunik@utia.cas.cz)Teaching Assistants:Frantisek Cech (fero.cech@gmail.com)Jiri Kukacka (jiri.kukacka@gmail.com)Boril Sopov (boril.sopov@gmail.com) Assessment: - written exam at the end of semester (60%) - term paper (40%) Term paper - in general, student may choose any topic after consulting the lecturer or may accept a topic and data that the lecturer will propose. Some examples of topics of individual assignment from the previous years: The effect of spot position of exchange rate within the fluctuation band on its volatility: Evidence from Hungary, PX-50 stock market returns and volatility modeling, Daily effects of volatility of stock markets in central Europe. There is a class website, where all materials are stored: http://ies.fsv.cuni.cz/en/syllab/JEM116  (I am sorry for the weird link; apparently I did not choose it). Here you can find all data, lecture notes and some additional material. List of readings: 1. Introduction Lecture Notes 2. OLS and basics Lecture Notes 3. Introduction to Time Series Lecture Notes 4. ARIMA Modeling Lecture Notes 5. GARCH (2 lectures) Lecture Notes Choudhry, T. (2000): Day of the week effect in emerging Asian stock markets: Evidence from the GARCH model, Applied Financial Economics, 235-242. Engle, R. (2001): GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics, Journal of Economic Perspectives, pp. 157-168. Engle, R. (2003): Risk and Volatility: Econometric Models and Financial Practice, Nobel lecture, December 8, 2003, downloadable from http://nobelprize.org/nobel_prizes/economics/laureates/2003/engle-lecture.pdf Kocenda, E. (1998): Exchange Rate in Transition (chapters 2-3), CERGE-EI, downloadable from http://www.cerge-ei.cz/pdf/books/exchange_rate.pdf. Fidrmuc, J. and R. Horvath (2008): Volatility of Exchange Rates in Selected EU New Members: Evidence from Daily Data, Economic Systems, forthcoming. The Royal Swedish Academy of Sciences (2003): Time Series Econometrics: Cointegration and Autoregressive Conditional Heteroscedasticity, downloadable from http://www.kva.se/KVA_Root/files/newspics/DOC_2003108143127_50163615451_ecoadv03.pdf 6. Introduction to Cointegration Lecture Notes The Royal Swedish Academy of Sciences (2003): Time Series Econometrics: Cointegration and Autoregressive Conditional Heteroscedasticity, downloadable from http://www.kva.se/KVA_Root/files/newspics/DOC_2003108143127_50163615451_ecoadv03.pdf Granger, C. W.J. (2003): Time Series, Cointegration and Applications, Nobel lecture, December 8, 2003, downloadable from http://repositories.cdlib.org/cgi/viewcontent.cgi?article=1019&context=ucsdecon 7. Vector Autoregression (2 lectures) Lecture Notes Stock and Watson (2001): Vector Autoregressions, Journal of Economic Perspectives, pp. 101-115 Ivanov and Kilian (2005): A Practitioner Guide to Lag Order Selection for VAR Impulse Response Analysis, Studies in Non-linear Dynamics & Econometrics, Article 2. 8. TSLS, IV Lecture Notes Angrist and Krueger (2001): Instrumental Variables and the Search for Identification, Journal of Economic Perspectives, pp.69-85. Hausman (2001): Mismeasured Variables in Econometric Analysis: Problems from the Right and Problems from the Left, Journal of Economic Perspectives, pp. 57-67. Horvath, R. (2005): Exchange Rate Variability, Pressures and Optimum Currency Area Criteria: Some Empirical Evidence from 1990s, Applied Economics Letters, pp. 919-922. 9. Presentations of Individual Assignment Mandatory are only lecture notes. Other readings are recommended. Software - JMulTi For your term paper you are free to use econometric software you like. During the classes, we are going to use JMulTi (time series econometric software). It is free to download from www.jmulti.com and very easy to use. There is online help or you can download all online-help chapters in pdf. Office hours By appointment, send us e-mail or contact us after the lecture.

Literatura

Selected recommended textbooks on applied econometrics: Enders, W.: ?Applied Econometric Time Series?, 2nd edition, 2003 Harris, R. and R. Sollis: "Applied Time Series Modelling and Foecasting", 2003 Stewart, K. G.: "Introduction to Applied Econometrics", 2005 Verbeek, M.: ?A Guide to Modern Econometrics?, 2nd edition, 2004 Kratzig, M. and H. Lutkepohl ,?Applied Time Series Econometrics?, 2004 Kocenda, E. and A. Cerny, "Elements of Time Series Econometrics: An Applied Approach", 2007, Karolinum Press

Garant

doc. Bc. Roman Horváth, M.A., Ph.D.PhDr. Jozef Baruník, Ph.D.PhDr. Jaromír Baxa, Ph.D.