KUK - LMS

Syllabus

MODULE NO / UNIT	COURSE SYLLABUS CONTENTS OF MODULE	NOTES
Course Code: M-BECOE-045 Course Name: Group 1 - Quantitative Economics) - Econometrics-II
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. • Enders, Walter (2010). Applied Econometric Time Series. John Wiley & Sons, • 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.