Syllabus
Course Code: M-ECOE -043 Course Name: Elective Course - Econometrics-II |
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MODULE NO / UNIT | COURSE SYLLABUS CONTENTS OF MODULE | NOTES |
---|---|---|
1 | Distributed Lag
Models and Causality Tests Auto Regressive and Distributed lag Models- Koyak Model, Partial Adjust Model, Adaptive Expectations; Almon Approach to distributed-lag model; Causality tests; Granger and Sim’s Test. Reading
List ·
Gujarati,
D.N. (1995). Basic Econometrics. McGraw Hill, New Delhi. ·
Koutsoyiannis,
A. (1977). Theory of Econometrics. The Macmillan Press Ltd. London.
·
Pindyck
R.S. & Rubinfield, D.L. (1976). Econometric Models and Economic Forecasts. McGraw Hill Kogakusha Tokyo. |
|
2 | Dummy Variable
Technique Testing Structural Stability of Regression Models, Comparing two regressions, interaction effects, seasonal analysis, piecewise linear Regression; Regression with dummy dependent variables; The LPM, Logit and Probit Models. Reading
List ·
Amemiya,
T. (1985). Advanced Econometrics. Harvard University Press, Cambridge,
Mass. ·
Baltagi,
B.H. (1988). Econometrics.
Springer, New York. ·
Gujarati,
D.N. (1995). Basic Econometrics. McGraw Hill, New Delhi. ·
Kmenta
J. (1998). Elements of Econometrics. University of Michigan Press,
NewYork. ·
Koutsoyiannis,
A. (1977). Theory of Econometrics. The Macmillan Press Ltd. London. · Shyamala, S., Kaur, Navdeep & Pragasam, T. Arul (2009). A Text book on Econometrics Theory and Applications. Vishal Publishing Company Jalandhar. · Wooldridge, J. M. (2009). Introductory Econometrics: A Modern Approach. South-Western Cengage Learning, USA. |
|
3 | Simultaneous Equation Methods Methods
of Estimating Simultaneous Equation System: Indirect Least Squares (ILS),
Instrumental Variables (IV), 2SLS and 3SLS Methods; Basic idea and outline of
Limited Information Maximum Likelihood (LIML), FIML & SURE Methods;
Application to theory of firm – Estimation of Cobb Douglas and CES Production
Functions.
Reading
List ·
Gujarati,
D.N. (1995). Basic Econometrics. McGraw Hill, New Delhi. · Kmenta J. (1998). Elements of Econometrics. University of Michigan Press, New York. · Koutsoyiannis, A. (1977). Theory of Econometrics. The Macmillan Press Ltd. London. |
|
4 | Time Series and Panel Data Methods Time
Series: Stationarity, Unit Roots, Co-Integration, Dicky Fuller Test, Random
Walk Model, Forecasting with ARIMA and VAR Models-Box Jenkins Methodology,
Vector Auto Regression (VAR). Introduction
to Panel Data Methods: Problems with panel data, Pooled OLS, Random effects and
fixed effects models.
Reading
List ·
Amemiya,
T. (1985). Advanced Econometrics. Harvard University Press, Cambridge,
Mass. ·
Baltagi,
B.H. (2020). Econometric Analysis of Panel Data. Springer, New York. ·
Gujarati,
D.N. (1995).Basic Econometrics. McGraw Hill, New Delhi. ·
Harvey,
Andrew C. (1999). The Econometric
Analysis of Time Series. The MIT Press, Cambridge, Massachusetts. ·
Kmenta
J. (1998). Elements of Econometrics. University of Michigan Press,
NewYork. ·
Shyamala,
S., Kaur, Navdeep & Pragasam, T. Arul (2009). A Text book on Econometrics Theory and Applications. Vishal
Publishing Company Jalandhar.
·
Wooldridge,
J. M. (2002). Econometric Analysis of
Cross Section and Panel Data. The MIT Press, Cambridge, Massachusetts. |