Econometrics-II

Paper Code: 
25GECO404
Credits: 
04
Periods/week: 
04
Max. Marks: 
100.00
Objective: 

The course will enable the students to

1.   To understand the  meaning, reasons and  consequences of the  violation  of assumptions of the  regression model.

2.   To acquaint the  students with the  detection and  remedial methods of multicollinearity, heteroscedasticity and  autocorrelation.

3.   To appraise the  students with the  estimation and  interpretation of models with dummy independent variables.

 

Course Outcomes: 

Course

Learning outcome

(at course level)

Learning and teaching strategies

Assessment

Strategies

Course

Code

Course

Title

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25GECO

404

 

 

 

 

 

 

 

 

 

 

 

 

 

Econometrics- II

(Theory)

CO241. Evaluate the concept of multicollinearity, its detection and  remedial measures.

CO242.     Evaluate       the

concept    of heteroscedasticity, its detection and  remedial measures.

CO243. Analyse  serial correlation, its consequences, detection and  remedial measures.

 

CO244. Analyse  the problems related with specification error

CO245.        Analyse      the nature of dummy variables and      regression     models containing                  dummy variables

CO246.Contribute effectively        in       course- specific  interaction

 

 

 

 

 

 

 

 

 

Approach in teaching. Interactive Lectures ,Discussions and  Class Studies.

 

Learning activities for the students. Presentations, Assignments and Group  discussions.

 

 

 

 

 

 

 

 

 

 

 

 

 

Class activity, Assignments and  Semester end examinations.

 

12.00
Unit I: 

Multicollinearity

•   Meaning, reasons and   consequences

•   Detection and  remedies of the  problem of multicollinearity.

 

12.00
Unit II: 

Heteroscedasticity

•  Meaning, reasons and  consequences

•  Detection ( graphical method and  B-P-G test)

•  Remedies (weighted least  squares method, root  transformation and  log         transformation) of the  problem of heteroscedasticity

 

12.00
Unit III: 

Serial correlation

•  Meaning, reasons and  consequences,

•  Detection (graphical method and  D-W test)

•  Remedies ( generalized difference equations and  Prais-Winsten transformation) of the  problem of serial  correlation.

 

12.00
Unit IV: 

Specification error:

•   Meaning  of model  specification,

•   Specification error- omission of a relevant variable; inclusion  of irrelevant variable;

•   Errors  of measurement

•   Tests of specification errors

 

12.00
Unit V: 

Qualitative (dummy) independent variables:

•  Nature of dummy variables

 •  ANOVA and  ANCOVA models

 •  Caution  in the  use  of dummy variable-the dummy variable trap

 •  The dummy variable alternative to the  chow  test

 •  Interaction effects using  dummy variables

 

ESSENTIAL READINGS: 

1.   Gujarati, D.N. and  Porter, D.C., Essentials of Econometrics, McGraw Hill,4th  Edition,  2010.

2.   Dougherty, C.,Introduction to Econometrics, Oxford  University Press, 5th  Edition,  2016.

3.   Koutsoyiannis, A., Theory  of Econometric, Palgrave Macmillan,  2nd  Edition,  2001.

 

REFERENCES: 

SUGGESTED READINGS:

1.   Smith,  A. and  Taylor,  J. Edward  Essentials of Applied Econometrics, University  of California  Press,    2017.

2.   Kmenta, J.,   Elements of Econometrics, Indian Reprint, Khosla Publishing   House, 2nd Edition,  1997.

e RESOURCES

1.Econometrics Academy--------sites.google.com/site/econometricsacademy

2. MIT Open  Courseware---------ocw.mit.edu

3. Econometrics: Methods and  Applications-Coursera-------coursera.org

4. Crunch  Econometrics----------cruncheconometrix.com

5. Explaining  the  Core Theories of Econometrics------udemy.com

JOURNAL

1. The  Journal of Econometrics:     Academic.oup.com/ectj

2. Journal of Applied Econometrics :    Onlinelibrary.wiley.com/journal/18735924

 

Academic Year: 
2025-26
  • Printer-friendly version