Modern Econometric Theory
Informacje ogólne
Kod przedmiotu: | 235411-D |
Kod Erasmus / ISCED: |
11.2
|
Nazwa przedmiotu: | Modern Econometric Theory |
Jednostka: | Szkoła Główna Handlowa w Warszawie |
Grupy: |
Elective courses for AAB - masters Przedmioty kierunkowe do wyboru SMMD-ADA Przedmioty kierunkowe do wyboru SMMD-MIS |
Punkty ECTS i inne: |
3.00 (zmienne w czasie)
|
Język prowadzenia: | angielski |
Efekty uczenia się: |
Wiedza: Students should know: 1. Theoretical basis for building linear regression models and properties of the least squares method, generalized method of moments, maximum likelihood method, instrumental variable method, and other selected estimation methods. 2. Asymptotic theory for econometric models, the theoretical basis of selected statistical tests used in econometrics, fundamentals of nonparametric econometric models 3. Monte Carlo, bootstrap, and jacknife methods, and their properties, fundamentals of Programming in MATLAB. Umiejętności: Students should be able to: 1. Derive fundamental theories related to linear regression models, present properties and assumptions behind discussed estimation methods 2. Build and estimate a nonparametric econometric model, derive formulas for selected statistical tests used in econometrics 3. Build a program in MATLAB and run basic statistical calculations concerning econometric models Kompetencje społeczne: Students have an opportunity: 1. To understand fundamental theorems concerning the construction and verification of econometric models 2. To acquire the ability to explain properties of estimation methods and statistical tests 3. To understand functioning of MATLAB programs in practice and to apply those programs in the field of econometrics. |
Zajęcia w cyklu "Semestr letni 2024/25" (jeszcze nie rozpoczęty)
Okres: | 2025-02-15 - 2025-09-30 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Laboratorium, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Laboratorium - Ocena |
|
Skrócony opis: |
Basic concepts and theorems in econometrics: conditional expectation function and linear projection, least squares method, maximum likelihood method, generalized method of moments, and other selected estimation methods for econometric models, Monte Carlo, bootstrap and jacknife simulation methods, nonparametric econometric models. Asymptotic properties of econometric models. The theoretical basis for statistical tests in econometrics. Examples of calculations in MATLAB (or in Octave) |
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Pełny opis: |
The main objective of this course is to familiarize participants with the basics of the theory of econometrics, with particular emphasis on estimation and hypothesis testing methods. Presented issues also apply to non-classical estimation methods for econometric models and to the application of simulation methods in econometrics. An additional objective of the course is to familiarize students with programming and building econometric models in MATLAB (or in Octave). |
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Literatura: |
Literatura podstawowa: 1. Bruce Hansen (2015) Econometrics, University of Wisconsin Departament of Economics, (available at: http://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf), 2. our lecture slides 3. Fumio Hayashi (2000) Econometrics, Princeton University Press. 4. Takeshi Amemiya (1985) Advanced Econometrics, Harvard University Press. Literatura uzupełniająca: 1. James D.Hamilton (1994) Time Series Analysis, Princeton University Press; 2. William H. Greene (2012) Econometric Analysis, Pearson. 3. Jack Johnston, John DiNardo (1997) Econometric Methods, McGraw-Hill. 4. scientific articles selected by the lecturer |
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Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 50.00% ocena z ćwiczeń: 50.00% |
Zajęcia w cyklu "Semestr zimowy 2024/25" (w trakcie)
Okres: | 2024-10-01 - 2025-02-14 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Laboratorium, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Laboratorium - Ocena |
|
Skrócony opis: |
Basic concepts and theorems in econometrics: conditional expectation function and linear projection, least squares method, maximum likelihood method, generalized method of moments, and other selected estimation methods for econometric models, Monte Carlo, bootstrap and jacknife simulation methods, nonparametric econometric models. Asymptotic properties of econometric models. The theoretical basis for statistical tests in econometrics. Examples of calculations in MATLAB (or in Octave) |
|
Pełny opis: |
The main objective of this course is to familiarize participants with the basics of the theory of econometrics, with particular emphasis on estimation and hypothesis testing methods. Presented issues also apply to non-classical estimation methods for econometric models and to the application of simulation methods in econometrics. An additional objective of the course is to familiarize students with programming and building econometric models in MATLAB (or in Octave). |
|
Literatura: |
Literatura podstawowa: 1. Bruce Hansen (2015) Econometrics, University of Wisconsin Departament of Economics, (available at: http://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf), 2. our lecture slides 3. Fumio Hayashi (2000) Econometrics, Princeton University Press. 4. Takeshi Amemiya (1985) Advanced Econometrics, Harvard University Press. Literatura uzupełniająca: 1. James D.Hamilton (1994) Time Series Analysis, Princeton University Press; 2. William H. Greene (2012) Econometric Analysis, Pearson. 3. Jack Johnston, John DiNardo (1997) Econometric Methods, McGraw-Hill. 4. scientific articles selected by the lecturer |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 50.00% ocena z ćwiczeń: 50.00% |
Zajęcia w cyklu "Semestr letni 2023/24" (zakończony)
Okres: | 2024-02-24 - 2024-09-30 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Laboratorium, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Laboratorium - Ocena |
|
Skrócony opis: |
Basic concepts and theorems in econometrics: conditional expectation function and linear projection, least squares method, maximum likelihood method, generalized method of moments, and other selected estimation methods for econometric models, Monte Carlo, bootstrap and jacknife simulation methods, nonparametric econometric models. Asymptotic properties of econometric models. The theoretical basis for statistical tests in econometrics. Examples of calculations in MATLAB (or in Octave) |
|
Pełny opis: |
The main objective of this course is to familiarize participants with the basics of the theory of econometrics, with particular emphasis on estimation and hypothesis testing methods. Presented issues also apply to non-classical estimation methods for econometric models and to the application of simulation methods in econometrics. An additional objective of the course is to familiarize students with programming and building econometric models in MATLAB (or in Octave). |
|
Literatura: |
Literatura podstawowa: 1. Bruce Hansen (2015) Econometrics, University of Wisconsin Departament of Economics, (available at: http://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf), 2. our lecture slides 3. Fumio Hayashi (2000) Econometrics, Princeton University Press. 4. Takeshi Amemiya (1985) Advanced Econometrics, Harvard University Press. Literatura uzupełniająca: 1. James D.Hamilton (1994) Time Series Analysis, Princeton University Press; 2. William H. Greene (2012) Econometric Analysis, Pearson. 3. Jack Johnston, John DiNardo (1997) Econometric Methods, McGraw-Hill. 4. scientific articles selected by the lecturer |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 50.00% ocena z ćwiczeń: 50.00% |
Zajęcia w cyklu "Semestr zimowy 2023/24" (zakończony)
Okres: | 2023-10-01 - 2024-02-23 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Laboratorium, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Laboratorium - Ocena |
|
Skrócony opis: |
Basic concepts and theorems in econometrics: conditional expectation function and linear projection, least squares method, maximum likelihood method, generalized method of moments, and other selected estimation methods for econometric models, Monte Carlo, bootstrap and jacknife simulation methods, nonparametric econometric models. Asymptotic properties of econometric models. The theoretical basis for statistical tests in econometrics. Examples of calculations in MATLAB (or in Octave) |
|
Pełny opis: |
The main objective of this course is to familiarize participants with the basics of the theory of econometrics, with particular emphasis on estimation and hypothesis testing methods. Presented issues also apply to non-classical estimation methods for econometric models and to the application of simulation methods in econometrics. An additional objective of the course is to familiarize students with programming and building econometric models in MATLAB (or in Octave). |
|
Literatura: |
Literatura podstawowa: 1. Bruce Hansen (2015) Econometrics, University of Wisconsin Departament of Economics, (available at: http://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf), 2. our lecture slides 3. Fumio Hayashi (2000) Econometrics, Princeton University Press. 4. Takeshi Amemiya (1985) Advanced Econometrics, Harvard University Press. Literatura uzupełniająca: 1. James D.Hamilton (1994) Time Series Analysis, Princeton University Press; 2. William H. Greene (2012) Econometric Analysis, Pearson. 3. Jack Johnston, John DiNardo (1997) Econometric Methods, McGraw-Hill. 4. scientific articles selected by the lecturer |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 50.00% ocena z ćwiczeń: 50.00% |
Właścicielem praw autorskich jest Szkoła Główna Handlowa w Warszawie.