INTRODUCTORY ECONOMETRICS

  

Course Description

This course provides a comprehensive introduction to basic econometric concepts and techniques. It covers statistical concepts of hypothesis testing, estimation and diagnostic testing of simple and multiple regression models. The course also covers the consequences of and tests for misspecification of regression models.

Course Outline

1. Nature and Scope of Econometrics

2. Statistical Concepts
Normal distribution; chi-sq, t- and F-distributions; estimation of parameters;
properties of estimators; testing of hypotheses: defining statistical hypotheses; distributions of test statistics; testing hypotheses related to population parameters; Type I and Type II errors; power of a test; tests for comparing parameters from two samples.

3. 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; confidence intervals; Gauss-Markov theorem; forecasting.

4. Multiple Linear Regression Model
Estimation of parameters; properties of OLS estimators; goodness of fit - R2 and adjusted R2; partial regression coefficients; testing hypotheses – individual and joint;
functional forms of regression models; qualitative (dummy) independent variables.

5. Violations of Classical Assumptions
Consequences, Detection and Remedies; Multicollinearity; heteroscedasticity; serial correlation.

6. Specification Analysis
Omission of a relevant variable; inclusion of irrelevant variable; tests of specification
errors.


THIS SECTION COMPRISES PREVIOUS YEAR PAPERS OF INTRODUCTORY ECONOMETRICS.



THIS SECTION COMPRISES STUDY MATERIAL OF INTRODUCTORY ECONOMETRICS.


SOME RELATED BOOKS




Readings

1. Jay L. Devore, Probability and Statistics for Engineers, Cengage Learning, 2010.

2. John E. Freund, Mathematical Statistics, Prentice Hall, 1992.

3. Richard J. Larsen and Morris L. Marx, An Introduction to Mathematical Statistics and its Applications, Prentice Hall, 2011.

4. D. N. Gujarati and D.C. Porter, Essentials of Econometrics, McGraw Hill, 4th edition, International Edition, 2009.

5. Christopher Dougherty, Introduction to Econometrics, Oxford University Press, 3rd edition, Indian edition, 2007.
15

6. Jan Kmenta, Elements of Econometrics, Indian Reprint, Khosla Publishing House,
2nd edition, 2008.



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