Econometrics-II (Theory)

Paper Code: 
24GECO404
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

24GECO 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: 

Suggested Text Books

  1. Gujarati, D.N. and Porter, D.C., Essentials of Econometrics, McGraw       Hill,4th Edition, 2010.
  1. Dougherty, C.,Introduction to Econometrics, Oxford University Press, 5th Edition, 2016.
  1. Koutsoyiannis, A., Theory of Econometric, Palgrave Macmillan, 2nd Edition, 2001.

 

REFERENCES: 

        SUGGESTED REFERENCE BOOKS

  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: 
2024-25
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