Coming soon
Econometrics
This course is meant for training the students in econometric methods and their applications. This course would enable the students in understanding the economic phenomena through statistical tools and economics principles.
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
Heteroscedasticity, Auto-correlation : its consequences and tests( Durbin Watson test), Multicollinearity: problem, its implications and tools for handling the problem
linear regression and Stochastic regression, instrumental variable estimation, autoregressive linear model, lagged variables, Distributed Lag models: Koyck’s Geometric Lag model,
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
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.
Books Recommended/Reference Books
1. Croxton, F.E .& Cowden, DJ. (1979): Applied General Statistics, Prentice Hallof India.
2. Johnston, J. (1984): Econometric Methods. McGraw Hill.
3. 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.
4. Kmenta, J. (1986): Elements of Econometrics, 2nd Ed. University of Michigan Press.
5. Koop, G. (2007): Introduction to Econometrics, John Wiley.
Maddala, G.S. (2001): Introduction to Econometrics, 3rd Ed. John Wiley.
6. Pindyck, R.S. & Rubinfeld, D.L. (1998): Econometric Models and Economic Forecasts, 4th Ed. McGraw Hill.
7. Verbeek, M. (2008): A Guide to Modern Econometrics, 3rd Ed. John Wiley.
8. 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.
9. Kendall, M.G. and Stuart, A. (1968): The Advanced Theory of Statistics (Vol. III), Second
Edition, Charles Griffin.
