APPLIED ECONOMETRICS-I

Paper Code: 
ECO 324(A - P)
Credits: 
2
Contact Hours: 
60.00
Max. Marks: 
100.00
Objective: 

1.     To acquaint the students with the basics of software EViews.

2.     To develop an understanding of the use of EViews for estimating simple and multiple linear regression models.

3.      To appraise the students with the detection and remedial methods of multicollinearity, heteroskedasticity and autocorrelation problems with the help of software EViews

12.00
Unit I: 
Simple Linear Regression Model

About EViews software package

Estimation of Simple Linear Regression Model, Presentation and interpretation of regression results.

12.00
Unit II: 
The Multiple Linear Regression Model

Estimation of Multiple Linear Regression Model, Presentation and interpretation of regression results, Omitted Variable test, Redundant Variable test, Wald test of Coefficient Restrictions.

12.00
Unit III: 
Heteroscedasticity

Tests of heteroscedasticity, Estimation of White’s Heteroscedasticity-Consistent Standard Errors, Weighted Least Squares Estimation.

12.00
Unit IV: 
Autocorrelation

The Durbin-Watson test, Breusch-Godfrey test, Estimation of model using Iterative Method, OLS regression with HAC Standard Errors.

12.00
Unit V: 
Multicollinearity

Tests for Multicollinearity- Correlation matrix, Computation of VIFs, Coefficient Variance Decomposition.

Essential Readings: 
  1. Bhaumik, S.K., Principles of Econometrics- A Modern Approach using EViews, Oxford University Press, 2015.
  2. Cameron, A.C. &Trivedi, P.K.-Microeconometrics Using Stata, 2009. A Stata Press Publication, StataCorp LP, Texas.

 

References: 
  1. Gujarati, Damodar, N., Porter, Dawn C. and Pal, Manoranjan, Basic Econometrics, McGraw-Hill Education, 2021.
  1. Dougherty, Christopher, Introduction to Econometrics, Oxford University Press, 2011.

 

Academic Session: 
2022-23
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