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ECONOMETRICS
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GRADUATE DEGREE STANDARD |
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UNIT
I: INTRODUCTION
Definition - Scope and
Goals of Econometrics –– Methodology of Econometric
Research.
UNIT II : SINGLE EQUATION
REGRESSION MODELS
SIMPLE AND MULTIPLE LINEAR REGRESSION MODELS:
 Assumptions
– Derivation of OLS estimators – Properties – Test of
goodness of fit (R2 & 2)
– Test of significance – Confidence intervals – Testing
the overall significance of a regression – Analysis of
Variance – Applications in demand and production
analysis with time series, cross section, pooled and
panel data.
Unit III
VIOLATION OF OLS ASSUMPTIONS
Autocorrelation,
Multicollinearity and Hetroscedasticity – Definition –
Source - Consequences – Detection – Solution.
Unit-
IV DUMMY VARIABLE
Dummy variable –
Definition - Uses – Dummy variable trap – Estimation -
Inference – Applications.
Unit-
V DISTRIBUTED LAG MODE
Definition - Koyck
model - Partial adjustment model - Adaptive expectation
model – Estimation – Inference - Applications
Unit
– VI LIMITED DEPENDENT VARIABLE MODELS
Logit -
Probit - Tobit models – Estimation – Inference.
UNIT
VII: SIMULTANEOUS EQUATION MODELS
Simultaneous equation bias- Structural, reduced form and
recursive models – Identification – ILS, Instrumental
variable and Two SLS methods of estimation.
UNIT VIII: TIME SERIES ECONOMETRICS
Stationary and non stationary time series – Purely random process – MA
process – AR process – ARMA Process - ARIMA – Estimation
of AR, MA, ARMA, and ARIMA models
UNIT IX VECTOR AUTO REGRESSION
VAR - Unit root tests – D.F. test – Co-integration – Error correction
models Box Jenkins approach - Forecasting using BJ
method
Unit – X
Econometric Applications
Agriculture – Industry
– Monetary Economics – Financial markets
REFERENCE:
1.Damodar Gujarati
‘Essentials Of Econometrics’, Irwin Mcgraw Hill, Newyork,
1998.
2.G.S.Maddala
‘Introduction to Econometrics’, John Wiley&Sons Ltd,
Newyork,2002.
3.Jack Johnston &John
Dinardo ‘Econometric Methods’The Mc Graw Hill Companies
Inc, Newyork,1997.
4.Peter Kennedy ‘A Guide
to Econometrics’ Blackwell Publishing, U.K., 2003.
5.A.Koutsoyiannis, ‘Theory
of Econometrics’, Palgrave Publishers Ltd, Newyork.1999.
6.Robert S. Pindyck & Daniel L. Rubinfeld, ‘Econometric
Models And Economic
Forecasts’, Irwin Mcgraw Hill, Newyork, 1998
7.D. Nachane ,
“Econometrics” Oxford University Press,2006.
8.
K.L Krishna, Econometric Applications in India, Oxford
pulblications.
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