ECONOMETRICS

UNIT-I           INTRODUCTION TO ECONOMETRICS

Definition – Scope – Economic Theory - Mathematical Economics -  Economic Statistics - Mathematical Statistics – Divisions – Theoretical Econometrics – Applied Econometrics – Goals of Econometrics – Methodology of Econometric Research – concepts used in Econometrics – Parameter – Statistic - Explanatory and Explained Variables – Stochastic and deterministic variables -  Lagged variables – Estimator and Estimates – Standard error - Hypotheses  - Simple, Composite, Null and Alternate -  Level of significance - Critical region - Type-I and Type-II errors

UNIT-II SIMPLE LINEAR REGRESSION MODEL

Specification – Assumptions – Least squares criterion – Ordinary least squares method of estimation.

UNIT-III  PROPERTIES OF ESTIMATORS

Properties of good estimators – Small and large samples - Properties of OLS estimators in the classical linear regression model – Gauss Markov theorem (without proof)

UNIT -IV  STATISTICAL SIGNIFICANCE OF ESTIMATORS

Testing of hypotheses – ‘t’ and  ‘F’ tests -  Confidence interval -  Test of  goodness of fit (R²) – Inference – Interpretation – Simple applications. 

UNIT –V  FUNCTIONAL FORMS OF  MODEL

Linear trend - Double log – Semi log – Reciprocal – Polynomial forms

UNIT -VI   MULTIPLE LINEAR REGRESSION ANALYSIS :

Model – Assumptions – Estimation – Testing – R² and adjusted R² – Statistical inference – Interpretation – Partial correlation –Simple economic applications.

UNIT-VII MULTICOLLINEARITY

Definition – Reasons – Consequences – Tests – Remedial measures.

UNIT –VIII HETROSCEDASTICITY

Definition – Reasons - Consequences – Tests – Spearman’s rank correlation test - Goldfeld and Quandt test – Likelihood ratio test

UNIT -IX AUTO CORRELATION

Definition – Reasons – Consequences – First order auto regressive model – Durbin  and Watson test – Remedial measures

UNIT –X  DUMMY INDEPENDENT VARIABLE MODEL

Concept – Uses – Dummy variable trap – Estimation – Inference – Interpretation.

REFERENCE:

I.   1.  Damodar Gujarati ‘Essentials of Econometrics’ Irwin

          Mcgraw Hill, Newyork, 1998.

2.     A Koutsoyiannis ‘Theory of Econometrics’ Palgrave, 1999.

3.      Robert S. Pindyck & Daniel  L. Rubinfeld Econometric Models and Economic Forecasts’ Irwin Mcgraw Hill. Newyork – International Student Edition, 1998.