Econometrics 1

2022/2023
Programme:
Financial mathematics, First Cycle
Year:
3 year
Semester:
second
Kind:
optional
ECTS:
6
Language:
slovenian
Lecturers:

Miroslav Verbič

Hours per week – 2. semester:
Lectures
3
Seminar
0
Tutorial
2
Lab
0
Content (Syllabus outline)
  1. Introduction to econometrics
  2. Classical linear multiple regression model
  3. Hypothesis testing
  4. Prediction with multiple regression model
  5. Model specification and diagnostic testing
  6. Model diagnostics
  7. Regression models with dummy explanatory variables
  8. Distributed-lag regression models
Readings

Pfajfar, L.: Osnovna ekonometrija. Ljubljana: Ekonomska fakulteta, 2014.
Verbič, M., L. Pfajfar in R. Rogelj: Ekonometrični obrazci in postopki: Tretja izdaja. Ljubljana: Ekonomska fakulteta, 2017.
Baltagi, B. H.: Econometrics: Fourth Edition. Berlin: Springer-Verlag, 2008.
Greene, W. H.: Econometric Analysis: Seventh Edition. Essex: Pearson Education, 2012.
Gujarati, D. N. in D. C. Porter: Basic Econometrics: Fifth Edition. New York, NY: McGraw-Hill/Irwin, 2009.
Johnston, J. in J. DiNardo: Econometric Methods: Fourth Edition. Boston: McGraw-Hill, 1997.
Kennedy, P.: A Guide to Econometrics: Sixth Edition. Malden, MA: Blackwell Publishing, 2008.
Pindyck, R. S. in D. L. Rubinfeld: Econometric Models and Economic Forecasts: Fourth Edition. Boston: Irwin/McGraw-Hill, 1998.
Stock, J. H. in M. W. Watson: Introduction to Econometrics: Second Edition. Boston: Addison-Wesley, 2007.
Wooldridge, J.: Introductory Econometrics: A Modern Approach, Fourth Edition. Mason, OH: South-Western College Publishing, 2009.

Objectives and competences
  • To improve and expand the knowledge of quantitative skills with basic econometric methods.
  • To become acquainted with the theoretical fundations of econometric methods.
  • To obtain the skills necessary for the application of theoretical concepts.
  • To develop the capabilities of students to choose appropriate methodology for the analysis of relationships in finance.
  • To develop capabilities of students for interpretation of the results.
Intended learning outcomes

The course expands and enriches the knowledge of contemporary quantitative methods for detection and analysis of financial developments. It is intended for comprehension of procedures for facing economic and financial theories with the data, i.e. for quantitative estimation and measurement of theoretical concepts. The expertise of basic econometric methods and procedures enables testing of numerous hypotheses based on economic and financial data. Quantitatively measured concepts can thus directly be used in analytic departments of institutes, banks, investment companies and other financial institutions, for facilitating economic decision-making in larger companies, and for concucting economic policies at all levels of the decision-making process. The knowledge of econometric methods is of key importance for graduate studies of finance and financial mathematics.

Learning and teaching methods

Lectures and exercise sessions are conducted according to the time schedule. The lecturer will provide students with knowledge of the fundamental theories and techniques at the lectures. Guided exercise sessions will be carried out in the computer room. The course will also enable consultations with the lecturer and self study in the computer room, in particular with the use of Internet (using statistical and econometric computer software, work with data bases, study guides on the Internet, looking through sets of slides in Econometrics).

Assessment

Final written exam
Midterm exam

Lecturer's references

VERBIČ, Miroslav, OGOREVC, Marko. Ownership and corporate wage policy : the signal and its strength. Applied economics, ISSN 0003-6846, 2016, vol. 48, no. 17, str. 1583-1590, ilustr. [COBISS-SI-ID 1772942]
FILIPOVIĆ, Sanja, VERBIČ, Miroslav, RADOVANOVIĆ, Mirjana. Determinants of energy intensity in the European Union : a panel data analysis. Energy, ISSN 0360-5442. [Print ed.], 2015, vol. 92, str. 547-555, ilustr. [COBISS-SI-ID 1783438]
HOMMES, Carsien Harm, KISELEVA, Tatiana, KUZNETSOV, Yuri, VERBIČ, Miroslav. Is more memory in evolutionary selection (de)stabilizing?. Macroeconomic dynamics, ISSN 1365-1005, 2012, vol. 16, no. 3, str. 335-357. [COBISS-SI-ID 1651854]
VERBIČ, Miroslav (urednik). Advances in econometrics : theory and applications. Rijeka: InTech, 2011. IX, 116 str., tabele, graf. prikazi. ISBN 978-953-307-503-7. [COBISS-SI-ID 20216550]
VERBIČ, Miroslav. A quarterly econometric model of the Slovenian economy. Economic and business review, ISSN 1580-0466. [Tiskana izd.], 2006, vol. 8, no. 3, str. 215-244, tabele. [COBISS-SI-ID 1309582]