STATE HIGHER EDUCATIONAL INSTITUTION
“Ukrainian Academy of Banking of the National Bank of Ukraine”
Department of Economic Cybernetics
“APPROVE”
Vice-Rector for Academic Affairs
_____________ prof. I. Shkolnyk
“_____”_______________ 2014
DISCIPLINE SYLLABUS
Applied econometrics
(The name of the course)
Specializations: 8.03050201 – “Economic Cybernetics”
Faculty: banking technologies
Sumy – 2014
The discipline syllabus for the subject “Applied Econometrics” for students with
specializations 8.03050201 – “Economic Cybernetics”
« » August, 2014 – P.__
Redactors: Kozmenko O. – PhD, Professor, Department of Economic Cybernetics;
Kuzmenko O. – PhD, Associate Professor, Department of Economic Cybernetics.
The discipline syllabus was approved at a meeting of the Department of Economic
Cybernetics
Minutes of « » August 2014 № 1
Head of the Chair: Gritsenko K. ____________________________ (Gritsenko K.)
« » August 2014
Approved by Methodical Council of the Faculty of banking technology for students with
specializations 8.03050201 – “Economic Cybernetics”
Minutes of « » September 2014 № 1
«_____»________________2014 року
Chair of Methodical Council: D’yakonova I. ________________ (D’yakonova I.)
__________, 20__
__________, 20__
CONTENTS
INTRODUCTION ................................................................................................................. 4
1. THE PURPOSE AND OBJECTIVES OF DISCIPLINE ................................................. 5
2. DISCIPLINE PROGRAM ................................................................................................ 4
3. BIBLIOGRAPHY FOR THE STUDENTS ...................................................................... 7
4. FINAL CONTROL OF THE SUCCESS OF TRAINING ............................................. 11
5. DIAGNOSTIC MEANS OF THE SUCCESS OF TRAINING ..................................... 13
INTRODUCTION
This educational program is the main document that sets goals, objectives,
requirements for content and scope of training course "Applied Econometrics". This
document details the education standards of educational program: presented subject
content topics, provided recommendations concerning the division of specific topics time
researching, recommended basic and additional literature, given the means and criteria for
residual knowledge evaluating.
The "Applied Econometrics" study program is a part of the normative component of
the educational and professional training programs (EPP) bachelors in training direction
8.03050201 - "Economic Cybernetics".
The discipline teacher which leads laboratory classes provides the control and
assessment of the student’s current control during the semester on the study of program
material.
There are subjects for the educational plan that must precede the study of
“Economic Cybernetic: “Mathematics for Economists”, “Informatics”, “Statistics”,
“Economic-mathematical methods and models (Optimization Methods and Models)”,
“Economic-mathematical methods and models (Econometrics)”, “Higher Mathematics”,
“The software of Mathematical Analysis”, “The software of Statistic Analysis”.
Writing a diploma work is the logical conclusion of study the course “Applied
Econometrics”.
1. THE PURPOSE AND OBJECTIVES OF DISCIPLINE
Purpose of the discipline is to provide knowledge about methods of parameter
estimation dependencies, which are characterizing quantitative relationships between
economic variables.
Objective is to study the basic principles and tools for formulation objectives, to
build econometric and optimization economic and mathematical models, methods of their
solution and analysis for using them in economy, to acquiring skills of using models in
practice by economic management at different hierarchical levels of the national economy.
The subject of discipline is the dependencies and relationships between economic
variables and also the methodology, tools for construction and solution of deterministic
and stochastic economic problems.
Below shows the items that students should know following the completion of
courses:
 fundamental principles and techniques of mathematical modeling;
 econometric techniques that are necessary to test and identify new empirical
relationships;
 the construction of reliable prediction;
 the principles of quantitative analysis of economic processes;
 the principles of empirical output of the economic dependencies;
 the extent and the character of influence of some factors on economic
performance.
Below shows the items that students should be able to do after mastering the
discipline:
 to create econometric models with using the computer technology in order to
explain the behavior of the studied economic processes;
 to evaluate the parameters of econometric models to explain the behavior of the
studied economic processes;
 to conduct a comprehensive analysis of optimization processes in the activity of
economic entities;
 to test hypotheses about the properties of economic indicators to make informed
economic decisions;
 to develop current and future plans and programs for activity of economic
entities.
The list of production functions and tasks of education and qualification
characteristics that are supported by the discipline are listed in table 1.1.
Table 1.1 – Production functions and tasks of education and qualification characteristics 6.030508 “Finance and Credit”, which
are supported of this discipline
№
1
2
3
4
5
Function
Analytical
Typical tasks
Analysis of scientific
information
and
develop
recommendations for
implementation
of
research results
Lawmaking
Development
of
regulatory documents
Accounting and Preparation
of
statistical
financial statements
Control
Control over the
efficiency of banking
operations
Informational
Ensuring
own
information needs
Proficiency
Act in the modern information environment, have skills of
finding the necessary scientific information technology have
quick reading and comprehension of information on scientific
publications
EQC
6.030508
number
1.1.1
Develop intrabank normative documents on the organization of
the bank in terms of various types of businesses and products
Lay hands on methodology of preparation and interpretation of
financial statements
Monitor the timely preparation and submission to the relevant
authorities of all forms of bank statements
2.5.1
To search, collect, organize and accumulate necessary legal,
social, economic, scientific-methodological, reference and other
information for the performance of official duties
6.1.1
4.2.1
5.1.1
2. DISCIPLINE PROGRAM
Content module 1. The general principles of construction of structural
econometric models
Theme 1. Processing of the input array of economic data
Peculiarities of search the statistical data. Methods of modeling the time series. The
basic concepts and preliminary analysis of time series. The concept of time series. The
main characteristics of the dynamics of the time series. Systematic and random
components of the time series. Checking for the abnormality (stationarity, uniformity).
Correlation analysis. The normalization of parameters.
Theme 2. Features of defining the relationship between financial activity of
economic entities
Linear regression. General view of the linear econometric model, its structure and
stages of construction. The method of least squares. Model verification. Multiple linear
regression. Methods of construction the multivariable regression model. Stages of
research the general linear models of multiple regression. Nonlinear regression.
Theme 3. The analysis of financial system development
Econometric models of the dynamics. Testing the hypothesis about the existence of
a trend. Modeling the tendencies of time series: smoothing and analytical alignment.
Modeling the seasonal
and
cyclical fluctuations. The easonality, cyclicality
(Decomposition Analysis). Methods of filtering the seasonal components. Filtration of
seasonal component with the help of Filtration of seasonal components with the help of
seasonality index. Decomposition of time series. Fourier series.
Theme 4. Evaluation of the qualitative characteristics of the financial system
activity
Binary indicators. Fictitious variables. Economic and mathematical formulation of
integer linear programming. General characteristics of methods for solving integer linear
programming problems. Bayes method. Determination of the synergistic effect. Probit
and Logit models.
Theme 5. Study of socio-economic phenomena and processes based on structural
modeling
Systems of simultaneous structural equations. Structural and reduced forms of the
model. Strictly identifiable, unidentifiable and overidentifiable system of equations. The
problem of system parameter estimation, general description of methods. Indirect method
parameter estimation of strictly identified system of equations. Recursive system of
simultaneous equations and their characteristics. Forecast and overall confidence
intervals.
Content module 2. The use of econometric modeling in the analysis of time
series
Theme 6. Rating evaluation of economic entities activity with the use of
taksonometric approach
Economic and mathematical problem statement of ranking the economic entities.
The main difficulties in solution of ranking tasks. Classical taksonometric approach.
Theme 7. The multidimensional analysis of financial processes
The principal components method. Factor analysis. The cluster and discriminant
analysis.
Theme 8. Formation of optimal structure of different portfolios of financial
intermediaries
Linear programming. General economic and mathematical model of linear
programming. Permissible and optimal solution of the linear programming problem. The
forms of records tasks of linear programming. The solution of linear programming with
using of simplex method. The main properties of solutions the linear programming
problem. Markowitz portfolio analysis.
Theme 9. Methods of financial forecasting
Methods for time series prediction. Methods of Social and Economic Forecasting.
Prediction of tendencies of time series by the average characteristics. Prediction of
tendencies of time series by the mechanical methods. Prediction of tendencies of time
series by the analytical methods.
Theme 10 Specific modeling techniques
Basic concepts and tasks of game theory. The main theorems of game theory:
Neumann theorem, theorem of active strategies. Network planning. Performing
calculations and analysis of application network models. Statement of the problem of
dynamic programming and its geometric interpretation. The principle of optimality and
algorithm for tasks solution a dynamic programming method. Graphical method for
solving the problems for economic and mathematical modeling.
3. BIBLIOGRAPHY FOR THE STUDENTS
UDC of the
library
№ The title of textbook (manual), author, publisher, year of publication
Number of
copies
Table 12 – Bibliography for the students
–
–
–
–
–
–
–
–
20
330.45
В54
Main
Абчук В.А. Экономико-математические методы: Элементарная
математика и логика. Методы исследования операций. – СПб.:
Союз, 1999. – 320 с.
1
Abchuk V.A. (1999) Ekonomiko-matematicheskie metodyi:
Elementarnaya matematika i logika. Metodyi issledovaniya
operatsiy [Economic-mathematical methods: elementary
mathematics and logic. Methods of operation research] SPb.: Soyuz
Бережная Е.В., Бережной В.И. Математические методы
моделирования экономических систем: Учеб. пособие. – 2-е
изд., перераб. и доп. – М.: Финансы и статистика, 2006. – 432 с.
2
Berezhnaya E.V., Berezhnoy V.I. (2006) Matematicheskie metodyi
modelirovaniya ekonomicheskih system [Mathematical methods of
economic systems modeling] Мoscow : Finances and Statistics
Бородич, С.А. Економетрика [Текст]: учебное пособие / С.А.
Бородич. – Минск: Новое знание, 2001. – 408c.
3
Borodich, S.A. (2001) Ekonometrika [Econometrics] Minsk: The
new knowledge
Вітлінський В.В. Моделювання економіки: Навч.посібник. – К.:
КНЕУ, 2003. – 408 с.
4
Vitlins'kyy V.V. (2003) Modelyuvannya ekonomiky [Economics
modelling] Kuiv : KNEU
5
Вітлінський В.В., Наконечний С.І., Терещенко Т.О.
Математичне програмування: Навчально-методичний посібник
для самост. вивч.дисц. – 2-е вид., без змін. – К.: КНЕУ, 2006. –
248 c.
Vitlins'kyy V.V., Nakonechnyy S.I., Tereshchenko T.O. (2006)
Matematychne prohramuvannya [Mathematical programming] Kuiv
8
UDC of the
library
№ The title of textbook (manual), author, publisher, year of publication
Number of
copies
Продовження таблиці 3.1
5
519.85
В54
–
–
–
–
–
–
–
–
–
–
: KNEU
Кучма М.І Математичне програмування: приклади і задачі.
Навчальний посібник. – Львів: «Новий Світ-2000». 2007, - 344
с.
6
Kuchma M.I (2007) Matematychne prohramuvannya: pryklady i
zadachi [Mathematical Programming: Examples and tasks] Lviv :
“New World 2000”
7
Лугінін, О.Є. Економетрія [Текст]: навч. посіб., 2-ге вид.,
перероб. та доп. / О.Є. Лугінін. – К.: ЦУЛ, 2008. – 278 с.
Luhinin, O.Ye. (2008) Ekonometriya [Econometrics] Kuiv : CEL
8
Лук`яненко, І.Г. Економетрика [Текст]: підручник: навчальне
видання / І.Г. Лук’яненко, Л.І. Краснікова. – К.: Знання, 1998. –
494c.
Luk`yanenko I.H. , Krasnikova L.I. (1998) Ekonometryka
[Econometrics] Kuiv : Knowledge
9
Наконечний, С.І. Економетрія [Текст]: навчальний посібник /
С.І. Наконечний, Т.О. Терещенко, Т.П. Романюк.– К.: КНЕУ,
1997. – 352с.
Nakonechnyy S.I., Tereshchenko T.O., Romanyuk T.P. (1997)
Ekonometriya [Econometrics] Kuiv : KNEU
Наконечний С. І., Савіна С. С. Математичне програмування:
Навч. посіб. – К.: КНЕУ, 2003. – 452 с.
10
Nakonechnyy S. I., Savina S. S. (2003) Matematychne
prohramuvannya [Mathematical programming] Kuiv : KNEU
Экономико-математические методы и прикладные модели:
Учеб. пособие для вузов/ В.В. Федосеев, А.Н. Гармаш, Д.М.
Дайитбегов и др.; Под ред. В.В. Федосеева. — М.: ЮНИТИ,
11
1999. - 391 с.
Fedoseev V.V., Harmash A.N., Dayytbehov D.M. ets. (1999)
9
UDC of the
library
№ The title of textbook (manual), author, publisher, year of publication
Number of
copies
Продовження таблиці 3.1
–
–
–
–
1
519.8
Б90
–
–
–
–
3
330.45
Ekonomiko-matematicheskie metodyi i prikladnyie modeli
[Economic-mathematical methods and applied models] Moskow :
UNITY
Толбатов, Ю.А. Економетрика [Текст]: підручник / Ю.А.
Толбатов. – К.: Четверта хвиля, 1997. – 320с.
12
Tolbatov, Yu.A. (1997) Ekonometrika [Econometrics] Kyiv : The
Fourth Wave
Additional
Айвазян, С.А. Прикладная статистика и основы эконометрики
[Текст]: учебник / С.А. Айвазян, В.С. Мхитарян. – М.: ЮНИТИ,
1998. – 1022c.
13
Ayvazyan S.A., Mhitaryan V.S. (1998) Prikladnaya statistika i
osnovyi ekonometriki [Applied statistics and econometrics basics]
Moskow : UNITY
Бугір М.К., Якiмов Ф.П. Посібник по розв`язуванню задач з
математичного програмування: Навч.посiбник, 1997. – 208 c.
14
BugIr M.K., Yakimov F.P. (1997) PosIbnik po rozv`yazuvannyu
zadach z matematichnogo programuvannya [Manual for tasks
solution of mathematical programming] Ternopil
Власов М. П. Моделирование экономических процессов , М. П.
Власов, П. Д. Шимко. — Ростов нД, Феникс, 2005. – 409.
15
Vlasov M. P., Shimko P. D. (2005) Modelirovanie ekonomicheskih
protsessov [Modeling of Economic Processes] Rostov-on-Don :
Phoenix
Економетрика [Текст]: ученик / ред. И. И. Елисеева. – М.:
Финансы и статистика, 2003. – 344 с.
16
Eliseeva I. I. (2003) Ekonometrika [Econometrics] Moskow :
Finance and statistics
17 Конюховский П.В. Математические методы исследования
10
операций в экономике: Учебное пособие. – СПб.: Питер, 2000.
– 208 c.
UDC of the
library
№ The title of textbook (manual), author, publisher, year of publication
Number of
copies
Продовження таблиці 3.1
К65
Konyuhovskiy P.V. (2000) Matematicheskie metodyi issledovaniya
operatsiy v ekonomike [Mathematical methods of economics
operations research] SPb.: Piter
Курицкий Б.Я. Поиск оптимальных решений средствами Ехсеl
7.0. – СПб.: ВНV, 1997. – 384 с.
3
004.67
К93
–
–
–
–
16
330.4
Х15
18
Kuritskiy B.Ya. (1997) Poisk optimalnyih resheniy sredstvami Ehsel
7.0. [Search for optimal solutions by using Excel 7.0.] SPb.: ВНV
Назаренко, О.М. Основи економетрики [Текст]: підручник, 2-е
вид., випр. / О.М. Назаренко. – К.: ЦНЛ, 2005. – 392c.
19
Nazarenko O.M. (2005) Osnovi ekonometriki [Econometrics
essentials] Kyiv : CNL
Практикум по эконометрике [Текст]: учебное пособие/ ред. И.
И. Елисеева. – М.: Финансы и статистика, 2003. – 192 с.
20
Eliseev I. I. (2003) Praktikum po ekonometrike [The econometrics
practicum] Moskow : Finance and statistics
Хазанова Л.Э. Математическое моделирование в экономике:
Учебное пособие. – М.: БЕК, 1998. – 141 c.
21
Hazanova L.E. (1998) Matematicheskoe modelirovanie v ekonomike
[Mathematical modeling in economics] Moskow : BECK
4. FINAL CONTROL OF THE TRAINING SUCCESS
Final knowledge control of the discipline “Economic-mathematical methods and
models: optimization methods and models” carried out in form of examination in the
amount of training material which defined by curriculum and within the deadline set by
the curriculum. The test is conducted in the form of written examination tasks. The object
of knowledge control is the results of the examination tasks.
Examination ticket consists of five tasks: two theoretical questions and the three
tasks. Theoretical issues, which are listed in the ticket, elected from thematic plan of
discipline, lectures, list of issues for self-study, questions for seminars and individual work
of students. The basis for the examination complex compilation tasks are tasks that are
used for complex production situation on laboratory lessons and tasks discussed during
lectures and individual lessons.
Таблиця 4.1 – Scale for evaluation of the examination theoretical issues of the
discipline “Economic-mathematical methods and models: optimization methods and
models”
The
number
The evaluation criteria
of points
10 (5) Student given correct and complete answer to a question, with demonstrated a
high level of knowledge and possession of conceptual apparatusfamiliarization
with primary sources on the subject.
8 (4)
In general student gave a correct answer to a question, could argue his answer,
but made a mistake in using the conceptual apparatus, has shown a low level of
review with primary sources on this issue.
6 (3)
In general student gave a correct answer to a question, at the same time
limiting the presentation only on the necessary conceptual apparatus within the
outline.
4 (2)
The student was unable to give a complete answer to the question, but the
represented material answer is part of the correct answer, is characterized by a
high level of argumentation and demonstrates a sufficient level of knowledge
and possession of conceptual apparatus.
0
Student has refused to respond on assigned tasks.
Таблиця 4.2 – Scale for assessment of practical examination tasks of the
discipline “Economic-mathematical methods and models: optimization methods and
models”
The
number
Practical tasks solution
of points
10 (5) Student correctly decided the estimated task. During the problem solving
correctly presented the necessary formulas and theoretical propositions, was
made analytical conclusion.
8 (4)
Student correctly decided the estimated task, in general was done the right
analytical conclusion. During the problem solving correctly presented the
necessary formulas and theoretical propositions, was made analytical
conclusion.
6 (3)
Student correctly decided the estimated task. Correctly presented the necessary
formulas. The calculation includes insignificant errors that in general do not
affect the progress of solving and analytical conclusion or was made the
surface analytical conclusion in the right solution.
4 (2)
Student incorrectly solved the problem – result of the calculation (number of
indicators, the dimension of indicators, analytical conclusions) is false.
0
Student has refused to respond on assigned tasks.
By students the examination task must wear only individual character. Therefore,
the use of prohibited sources (cribs, communications, etc.) or tips student is removed from
the exam and receives 0 points.
The total number of points for exam results mustn’t exceed 50 points.
Total final evaluation of the discipline is the aggregate of scores for the results of
the current control knowledge and perform tasks which are submitted to the examination,
on condition that student scored at least 25 points during the exam. If on the exam student
received less than 25 points, the total final score includes only the results of the current
control.
Total score of the current and final evaluation of students' knowledge level makes
100 points.
5. DIAGNOSTIC MEANS OF THE TRAINING SUCCESS
Diagnostics of progress in studies, checking mastering program material, acquisition
of skills for processing ability, public and written presentation of specific issues and
solving practical problems, situations of discipline is in the process of this control.
The main objects of the current monitoring of student learning are: systematic and
active work in all kinds of classes (lecture and laboratory); perform tasks required for
individual work; performance control works (for external students).
Таблиця 5.1 – Evaluation of certain types of full-time students training
Content module 1
Content module 2
T1 T2 T3 Т4 Т5 Т6 Т7
Т8 Т9 Т10
Execution of tests which
5
5
5
5
5
5
5
5
5
5
are
submitted
for
laboratory studies to check
the quality of mastering
the theoretical material –
Systematic and active information base of doing
work on laboratory practical tasks
lessons
The results of practical
5
5
5
5
5
5
5
5
5
5
problems implementation;
answers to
questions
which are submitted for
defense of laboratory
work
Correctness of the answer
5
5
Execution of module
for theoretical questions
(control) tasks
doing practical tasks
Implementation of tasks which are submitted to self-study
Searching, selection The presence of the
5
5 5 5
5
5
5
5
5
5
and review the
expanded lecture notes
software and
with the theme software
literature for given reviews
topics
Selected types of individual work
Tipe of work
Forms of control