Econometrics

Paper Code:

STT 421

Credits:

Contact Hours:

75.00

Max. Marks:

100.00

Objective:

Objective: This course is meant for training the students in econometric methods and their applications. This course would enable the students to understand economic phenomena through statistical tools and economics principles.

Students will able to

Course	Learning outcomes (at course level	Learning and teaching strategies	Assessment Strategies
Paper Code	Paper Title
STT-421	Econometrics	CO 94: Identify key classical assumptions in the field of econometrics, explain their significance, and describe the effects that violations of the classical assumptions can have. CO 95: Remove the problems of econometrics such as heteroscedasticity, autocorrelation, multicollinearity. CO 96: Use the least squares method in evaluating the relationship of one explanatory variable to the dependent variable and the relationships of multiple explanatory variable to the dependent variable CO 97: Construct, test, and analyse and interpretate econometric models, using variables and relationships commonly found in studies of economic theory; CO 98: Make use of econometric models in your own academic work	Approach in teaching: Interactive Lectures, Group Discussion, Classroom Assignment Problem Solving Sessions Learning activities for the students: Assignments Seminar Presentation Subject based Activities	Classroom Quiz Assignments Class Test Individual Presentation

Course

Learning outcomes (at course level

Learning and teaching strategies

Assessment Strategies

Paper Code

Paper Title

STT-421

Econometrics

CO 94: Identify key classical assumptions in the field of econometrics, explain their significance, and describe the effects that violations of the classical assumptions can have.

CO 95: Remove the problems of econometrics such as heteroscedasticity, autocorrelation, multicollinearity.

CO 96: Use the least squares method in evaluating the relationship of one explanatory variable to the dependent variable and the relationships of multiple explanatory variable to the dependent variable

CO 97: Construct, test, and analyse and interpretate econometric models, using variables and relationships commonly found in studies of economic theory;

CO 98: Make use of econometric models in your own academic work

Approach in teaching:

Interactive Lectures,

Group Discussion,

Classroom Assignment

Problem Solving Sessions

Learning activities for the students:

Assignments

Seminar

Presentation

Subject based Activities

Classroom Quiz

Assignments

Class Test

Individual Presentation

15.00

Unit I:

Unit-I

Representation of Economic phenomenon, relationship among economic variables, the general linear model and its extensions, basic assumptions, Ordinary least squares estimation and prediction, generalized least square estimation and prediction

15.00

Unit II:

Unit-II

Heteroscedasticity, Auto-correlation: its consequences and tests (Durbin Watson test), Multicollinearity: problem, its implications and tools for handling the problem

15.00

Unit III:

Unit-III

Linear regression and stochastic regression, instrumental variable estimation, autoregressive linear model, lagged variables, Distributed Lag models: Koyck’s Geometric Lag model

15.00

Unit IV:

Unit-IV

Simultaneous equation model: Basic rationale, Consequences of simultaneous relations, Identification problem, Conditions of Identification, Indirect Least Squares, Two-stage least squares, K-class estimators, Limited Information and Full Information Maximum Likelihood Methods

15.00

Unit V:

Unit-V

Three stage least squares, Generalized least squares, Recursive models, SURE Models. Mixed Estimation Methods, use of instrumental variables, pooling of cross-section and time series data, Principal Component Methods.

Essential Readings:

● Croxton, F.E .& Cowden, DJ. (1979): Applied General Statistics, Prentice Hallof India.

● Johnston, J. (1984): Econometric Methods. McGraw Hill.

● Judge, G.C., Hill, R.C., Griffiths, W.E., Lutkepohl, H. & Lee, T.C. (1988):Introduction to the Theory and Practice of Econometrics, 2nd Ed.John Wiley.

● Kmenta, J. (1986): Elements of Econometrics, 2nd Ed. University of Michigan Press.

● Koop, G. (2007): Introduction to Econometrics, John Wiley.

References:

SUGGESTED READINGS:

● Maddala, G.S. (2017): Introduction to Econometrics, 3rd Ed. John Wiley.

● Pindyck, R.S. & Rubinfeld, D.L. (1998): Econometric Models and Economic Forecasts, 4th Ed. McGraw Hill.

● Verbeek, M. (2008): A Guide to Modern Econometrics, 3rd Ed. John Wiley.

● Judge, G.C., Hill, R,C. Griffiths, W.E., Lutkepohl, H. and Lee, T-C. (1988): Introduction to the Theory and Practice of Econometrics, Second Edition, John Wiley & Sons.

● Kendall, M.G. and Stuart, A. (1968): The Advanced Theory of Statistics (Vol. III), Second Edition, Charles Griffin.

e-RESOURCES:

· https://epgp.inflibnet.ac.in/

· https://www.academia.edu/

· https://www.slideshare.net/

·https://www.youtube.com/watchv=z09hret40eI&list=PLyqSpQzTE6MYZKVfuVSYqZn...

JOURNALS:

· Sankhya The Indian Journal of Statistics, Indian Statistical Institute

· Aligarh Journal of Statistics, Department of Statistics and Operations Research, Aligarh Muslim University

· Afrika Statistika, Saint-Louis Senega University

· International Journal of Statistics and Reliability Engineering, Indian Association for Reliability and Statistic

· Journal of the Indian Society for Probability and Statistics, Indian Society for Probability and Statistics