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Econometrics I

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Course Type Course Code No. Of Credits
Discipline Core NSUS1EC109 4

Email of course coordinator:                       pcbabed@aud.ac.in  

Pre-requisites:                                               No

Course Description: 

This course shall introduce the approach of unifying the theoretical and empirical dimensions of economic analysis. Basic econometric methods like simple and multiple linear regression analysis will be discussed with an emphasis on their applications and the issues that are confronted in the process.

Course Objectives:

The main objective of this course is to introduce students to basic techniques of econometrics that are generally used for testing validity of any economic theory.

Course Outcomes: 

  • Be able to describe basic econometric challenges involved in testing relationship between two or more economic variables.
  • Be able to estimate and interpret linear regression models.
  • Be able to interpret results of linear regression model generated through statistical software.
  • Be able to assess and comment on the statistical significance of the results obtained.
  • Be able to describe the consequences of violation of standard assumptions underlying classical linear regression analysis.

Brief description of the modules: 

Module I: Nature and Scope of Econometrics & Review of Statistical Concepts: Normal distribution; chi-sq, t- and F-distributions; estimation of parameters; properties of estimators; testing of hypotheses.

Module II: Simple Linear Regression Model: Two Variable Case, Estimation of Model by Method of Ordinary Least Squares; Properties of Estimators; Goodness of Fit; Tests of Hypotheses; Scaling and Units of Measurement; Gauss-Markov Theorem; Forecasting.

Module III: Multiple Linear Regression Model: Estimation of parameters; Properties of OLS Estimators; Goodness of Fit - R 2 and Adjusted R 2 ; Partial Regression Coefficients; Testing Hypotheses - Individual and Joint; Functional Forms of Regression Models; Dummy Variable Regression.

Module IV: Violations of Classical  Assumptions: Consequences, Detection and Remedies: Multicollinearity; heteroscedasticity.

Assessment Plan

S.No

Assessment

Weightage

1

Class Test

30%

2

Assignment

30%

3

End Term

40%

References:

  • Jeffery Wooldridge, Introductory Econometrics: A Modern Approach, 7'h ed.
  • James H Stock and Marl W. Watson, (SW), Introduction to Econometrics by 3rd ed.
  • Christopher Dougherty, Introduction to Econometrics, 4th edition, OUP, Indian edition, 2011
  • Baltagi, B. H., & Baltagi, B. H. (2011). What is Econometrics? (pp. 3-12). Springer Berlin Heidelberg.
  • Dougherty, Christopher. Introduction to econometrics. Oxford university press, USA, 2011

 

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