Syllabus
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Course Code: ST-303 & ST-304 Course Name: (iv) Econometrics |
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| MODULE NO / UNIT | COURSE SYLLABUS CONTENTS OF MODULE | NOTES |
|---|---|---|
| 1 | Two Variable Linear Regression Model- Least Squares Estimators of Coefficients and Their Properties, Inference in Least Squares Model, The General Linear Regression Model, Ordinary Least Squares Estimator and its Properties, Inference in General Linear Regression Model. Maximum likelihood Estimates. | |
| 2 | Tests of Linear Restrictions on Regression Coefficients, Use of Extraneous Information on Regression Coefficients – Restricted Regression, Restricted Least Squares and its Properties, Mixed Regression and Properties of Mixed Regression Estimator, Specification Errors Analysis- Inclusion and Deletion of Explanatory Variables, Effect on Estimation of Parameters and Disturbance Variance. | |
| 3 | Heteroscedasticity, Tests for Heteroscedasticity –Bartletts’s, Breusch-Pagan and GoldfeldQuand t- Tests Multicollinearity - Exact and Near Multicollinearity, Consequences and Detection of Multicollinearity, Farrar Glauber Test, Remedies for Multicollinearity, Ridge Regression Autocorrelation , Tests for Autocorrelation, Durbin Watson Test, Generalized Least Squares Estimation | |
| 4 | Simultaneous Equations Models: Structural and Reduced forms, Identification Problem. Rank and Order Conditions of Identification, Estimation in Simultaneous Equations Models: Indirect Least Squares2SLS Estimators,Instrumental Variable Method of Estimation. Limited Information maximum likelihood(LIML).Dummy Variable Technique forTesting Structural Stability of Regression Models and Comparing two regressions | |
