Course Outline
- General Linear Regression Model: Basic structure, assumptions, and estimation of single equal model using Ordinary Least Square (OLS)/ Maximum Likelihood Estimator (MLE). Use of matrix algebra in inference related to multiple regression analysis.
- Handling econometric problems like multicollinearity, autocorrelation and General linear aggression model, generalized least squares and maximum likelihood estimation; Hetetroscedasticity / Autocorrelation Consistent (HAC) estimator, dummy variables and structural shifts; non-linear models and estimation algorithms, panel data seemingly unrelated equations and simultaneous estimation.
- Estimation with limited dependent variables, data censuring and selectivity bias.
- Concept of stationary, analysis of stationary and integrated data, generalizing process, ARIMA models, forecasting and time series decomposition; analysis and decomposition of forecast errors. ARCH models and risk return analysis.
- VAR models. Casualty influence, response analysis and multivariate decomposition and co-integration and error correction analysis.
- Generalized least squares method. Use of dummy variables. Use of Instrumental variables.
- Cross-Sectional / Panel Data: Estimation of single quation models for cross-sectional and panel data. Fixed and random effect models. Estimation of dynamic panel data models.
- Varying coefficient models: Causes of coefficient variation. Randomly varying coefficient models. Systematically varying coefficient models.
- Time Series Analysis: ARIMA Models. Comparison of forecast based on ARIMA and regression models. Unit roots and co-integration. Dummy trap and its detection. Econometric forecasting: Stationarity, impulse response analysis. ARCH Models, VAR Models. Co-integration and error correction models.
Reference Books
- Asterious, Dimitrios, and Stephen G. Hall. 2011. Applied Econometrics. 2nd Palgrave Macmillan.
- Baltagi, B. H. 1999. 3rd ed. Springer Valog.
- Enders, Walter. 2009. Applied Econometric Times Series. 3rd New York: Wiley.
- Green, W.H. 2011. Econometric Analysis. 7th Prentice Hall.
- Hamilton, James D. 1994. Time Series Analysis. New Jersey: Princeton University Press.
- 2002. “Panel Data Econometrics”. 2nd ed. Cambridge University Press.
- Johnston, Jack and John Dinardo. 1997. Econometric Methods. 4th Mcgraw Hill.
- Kennedy, Peter. 2008. A Guide to Econometrics. 6th Wiley-Blackwell.
- Wooldridge, Jeffrey M. 2010. Econometric Analysis of Cross Sectional and Panel Data. The MIT Press.