Syllabus (ECONOMICS)

Course Type: MAJ-16

Semester: 8

Course Code: BECOMAJ16T

Course Title: Econometrics - II

(L-P-Tu): 5-0-1

Credit: 6

Practical/Theory: Theory

Course Objective:

Learning Outcome: Course Objective: To Provide Basic Knowledge in Data Handling with econometric methods. To empower the students in analyzing the data behaviour with econometric methods. To understand the data handling problems and econometric interpretation. To handle th

1. Limited Dependent Variable Models: (12)

5. Linear Probability Model
5. Logit Model
5. Probit Model
5. Specification Issues in Binary Response Models

2. Simultaneous Equation System: (1

5. Forms of Simultaneous Equation System

5. Identification Problem

• The concept of identification with economic examples. Observationally equivalent structure. Order and Rank Conditions

5. Estimation Problem

• Consequences of estimating simultaneous equation system by OLS method.
• Unbiasedness and consistency of estimator-use of the concept of plim. Recursive system.
• ILS estimator with properties,
• IV estimator with properties,

3. Basics of Time Series Econometrics: (12)

5. Properties of time series,
5. ACF and PACF - Some Useful Processes

• White Noise,
• Random Walks,
• MA Processes,
• AR Processes,
• ARMA Processes and
• ARIMA Processes

5. ARIMA models- identification, estimation, diagnostic testing,
5. Analysis of Time Series and Box-Jenkins Method, Barlett’s test, Box-pierce Q-test, Ljung-Box test, Unit Root Tests,
5. Trend Stationary and Difference Stationary process,
5. Forecasting- MA(1), ARMA(1,1) and ARIMA(1,1,0) processes, Seasonality

4. Modeling with Trends: (12)

5. Deterministic and stochastic trends,

• Removing the trend,
• Spurious Regression,

5. Cointegration:

• General cointegrated system,
• Error correction model and tests for cointegration;
• Cointegration in single equations-
• Engle-Granger method,
• CRDW test,
• System estimation method – Johansen procedure

5. Basics of Panel Data: (12)

5. Sources and Types of Panel Data

5. Pooled Estimator
5. Random Effect Model
5. Fixed Effect Model
5. Fixed versus Random Effects Model & Hausmann Test
5. Dynamic Panel

Reading References:

• Johnston, J., 1977 and 1984, Econometric Methods, 2^nd and 3^rd Editions, McGraw-Hill.
• Johnston, J. and Dinardo, J., 1997, Econometric Methods, 4^th Edition, McGraw-Hill International Edition.
• Hamilton, J. D. ,1994, Time Series Analysis, Princeton University Press.
• Granger, C.W.J. and Newbold, P., 1977, Forecasting Economic Time Series, 2^nd Edition, Academic Press.
• Greene, W.H., 1997, Econometric Analysis, 3^rd Edition, Prentice Hall.
• Gujarati, D.N., 1995, Basic Econometrics, 4^th Edition, McGraw-Hill, New Delhi.
• Enders, W., 2004, Applied Econometric Time Series, Wiley.
• Maddala, G.S., 1997, Econometrics, McGraw Hill, New York.