Quantitative Methods in Empirical Research

  • Credits: 10
  • Ending: Examination
  • Range: 16sP
  • Semester: winter
  • Year: 1
  • Faculty of Economic Informatics

Teachers

Included in study programs

Accounting

Teaching results

In particular, students acquire the following abilities:
- principles for the formulation and specification of different types of econometric models,
- overview of the main methods of analysis of cross-sectional data, time series and models with discrete dependent variable,
- approaches to the specification, estimation and diagnosis of these econometric models.

Students acquire in particular the following skills:
- ability to apply research methods to specific problems using suitable software.
Students will acquire the following competencies:
- the ability to correctly select the appropriate econometric method for a research problem,
- identify potential violations of model assumptions and propose a solution to handle them,
- correctly interpret the results of econometric models.

Indicative content

• Estimation, asymptotic properties and diagnostics of regression models.
• Autocorrelation – identification, testing and solutions.
• Heteroskedasticity – identification, testing and solutions.
• Qualitative regressors, model specification and testing.
• Time series – basic model specification, Box-Jenkins methodology, ARIMA.
• Stationarity of time series and its testing, stationarization of time series.
• Cointegration a Granger causality.
• Models with a discrete dependent variable.

Support literature

WOOLDRIDGE, J. M. Introductory econometrics : a modern approach. 4th ed. [S.l.] : South-Western/Cengage Learning, 2009. 865 p. ISBN 978-0-32478-890-7.
WOOLDRIDGE, J. M. Introduction to econometrics : Europe, Middle East and Africa edition. Hampshire : Cengage Learning, 2014. 603 p. ISBN 978-1-4080-9375-7.
WOOLDRIDGE, J. M. Econometric analysis of cross section and panel data. 2nd ed. Cambridge : The MIT Press, 2010. xxvii, 1064 p. ISBN 978-0-262-23258-6.
GUJARATI, D.N. - PORTER, Dawn C. Basic econometrics. 5th international ed. New York : McGraw-Hill/Irvin, 2008, 5th ed., 2009. xx, 922 p. ISBN 9780073375779.

Syllabus

• Regression repetitorium, model assumptions, asymptotic properties and diagnostics. • The most common problems of econometric models – autocorrelation, consequences and solutions. • The most common problems of econometric models – heteroskedasticity, consequences and solutions. Method of weighted least squares, robust estimates. • Qualitative regressors, model specification and testing. • Time series, trends and seasonality. ARIMA models, specification and estimation. • Time series stationarity, testing of unit roots in time series and panel data, problem of spurious regression. • Cointegration and error-correction models. Granger causality. • Models with discrete dependent variable.

Requirements to complete the course

40% assignments (2 assignments x 20 points);
60% final paper

Student workload

Total study load (in hours): 10 credits x 26 hours = 260 hours
Distribution of study load
Lectures and seminar participation: 16 hours
Preparation for seminars: 32 hours
Written assignments: 32 hours
Final paper preparation: 158 hours
Preparation of presentation and presentation itself: 20 hours
Consultation for final paper: 2 hours

Language whose command is required to complete the course

Slovak, English

Date of approval: 08.02.2023

Date of the latest change: 12.01.2022