Econometrics

obligatory courses

(in Polish) Opanowanie w stopniu podstawowym metod opisu statystycznego i metod wnioskowania statystycznego

The aim of the course is to familiarize students with the construction of econometric models and their use for the analysis of economic and financial quantities.

The presented empirical examples will require the use of information and communication tools, i.e. GRETL (for those interested it is possible to use other econometric packages)

. The subject of econometrics. Economic theory and the econometric model.

2. Classical Least Squares estimation (LS) - fitting the linear model to the observation. Model with one explaining variable and many explaining variables.

3. Measures of model fit and interpretation of model parameters - linear relationship (including for transformed variables). Analysis of variance.

4. Statistical inference in LS. Assumptions about the distribution of the random error. The t and F statistical tests.

5. Methods of selecting explanatory variables for the econometric model. Initial analysis of statistical data. Binary variables in the model. Outliers - detection of their presence in the data set and methods of proceeding.

6. LS: assumptions, properties of the LS estimator, efficiency of the LS estimator: Gauss-Markov theorem.

7. Diagnostic tests - testing of the functional form, normality of distribution, stability of parameters, homoscedasticity, autocorrelation.

8. Basic problems of estimation using LS - omitted variables, insignificant variables, collinearity, simultaneity.

9. Nonlinear models. Methods of selecting the analytical form of the model. Methods of estimating nonlinear models.

10. Models of qualitative variables: logit, probit, LMP (estimation, verification and prediction)

Primary:

Borkowski B., Dudek H., Szczesny W., Ekonometria, wybrane zagadnienia. PWE, Warszawa 2003 i dalsze wydania.

Kufel T. Ekonometria Rozwiązywanie problemów z wykorzystaniem programu GRETL, PWN, Warszawa, wyd. 3, 2020.

Lipiec-Zajchowska M. Wspomaganie procesów decyzyjnych. Tom II. Ekonometria Beck 2003.

Complementary:

Gajda J., Ekonometria praktyczna, Absolwent, Łódź 1996.

Gruszczyński M. i In., Ekonometria i badania operacyjne, PWN, Warszawa, 2009.

Turyna B., Statystyka dla ekonomistów, Difin, Warszawa, 2011.

Greene W.H. Econometric Analysis, Prentice-Hall, 2006 (and next issues)

K_W01

He/she knows and understands to a greater extent the research methodology and terminology in the field of management and quality science as well as in supplementary disciplines (economics and finance, legal sciences).

K_W02

He/she knows and understands in-depth the principles, procedures and practices relating to the financial activities of various types of organizations and uses management theory and complementary disciplines (economics and finance, legal sciences) to recognize, diagnose and solve problems related to financial management in organizations, accounting, management of institutions financial and strategies of financial institutions

K_W03

He/she knows and understands at an advanced level economic theories and models regarding the functioning of organizations and the entire economy

K_W05

He/she knows and understands technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, including the principles of protection of industrial property and copyright.

K_U01

He/she can use the discipline theory of management and quality science and complementary sciences (economics and finance, legal sciences) to identify, diagnose and solve complex and atypical problems related to key functions in the organization and their integration into the organisation's strategy, using the correct selection of sources and adapting existing or developing new methods.

K_U02

He/she is able to correctly interpret technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, using the appropriate selection of sources.

K_U03

He/she is able to independently and as a team prepare analyzes, diagnoses and reports on complex and unusual problems related to the functioning of the organization, sector and the entire economy, and to present them communicatively, also in English - using advanced information and communication tools

K_U05

He/she is able to plan and organize own and team work.

K_U06

He/she has the ability to self-educate and improve what has been gained qualification and support others in this regard.

K_K01

He/she is ready to assess and critically approach situations and phenomena related to financial management in organizations, accounting, management of financial institutions and strategists of financial institutions.

Final project

Points / grade

51-60 / 3

61-70 / 3+

71-80 / 4

81-90 / 4+

91-100 / 5