Applied Econometrics-II

Paper Code: 
24ECO 424(A-P)
Credits: 
2
Contact Hours: 
60.00
Max. Marks: 
100.00
Objective: 
  1. To acquaint the students with the use of software EViews in the case of dummy variables, panel data and estimation of autoregressive models.
  2. To develop an understanding of the use of EViews for testing of stationarity, granger causality tests and forecasting with ARIMA model. 
  3. To appraise the students with the estimation of simultaneous equations model by software EViews.

 

Course Outcomes: 

Course

Learning outcome (at course level)

Learning and teaching strategies

Assessment Strategies 

Course Code

Course Title

24ECO 424(A-P)

Applied Econometrics using EViews-II

(Practical)

Students will

CO151: evaluate the use of EViews/Stata software for estimating dummy variable regression models.

CO152: evaluate application of EViews/Statain distributed lag models.

CO153: analyze the estimation of models based on panel data in EViews/Stata

CO154: analyze the interpretation of models based on time series data in EViews/Stata

CO155: analyze the application of simultaneous equation models in EViews/Stata

CO156: contribute effectively in course-specific interaction.

Approach in teaching: Interactive Lectures, Discussion and Demonstration.

 

Learning activities for the students:

Practice modules and  Assignments.

Practical File Preparation,  Assignments,  Semester end examinations.

 

12.00
Unit I: 
Dummy Variables
  • Illustration of the use of dummy variables
  •  Chow test
  • Estimation of Logit and Probit Models
  •  computation of Marginal Effects.

 

 

12.00
Unit II: 
Distributed Lag Models
  • Estimation of the Koyck Model and its interpretation
  • Estimation of Partial Adjustment Model and its interpretation.

 

12.00
Unit III: 
Panel Data Regression Models
  • Organizing data, obtaining series for fixed/random effects
  • Fixed Effects testing, estimating Random Effects Model
  •  choosing between FEM and REM and  interpretation of results.

 

12.00
Unit IV: 
Time Series Econometrics
  • Stationarity tests
  •  estimation of Cointegrating Regression and the ECM
  • ARIMA (BJ) Forecasting, evaluation of forecasts
  • Estimation of VAR model, testing Granger Causality in VAR model
  • forecasting with VAR model, testing of ARCH effect
  •  graphical presentation of volatility clustering.

 

12.00
Unit V: 
Simultaneous Equations System
  • Application of Indirect Least Squares
  • Application of Two-Stage Least Squares and interpretation.

 

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: 

Suggested Readings:

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

E-Resources:

  • Data Set for Dougherty’s Book:

https://global.oup.com/uk/orc/busecon/economics/dougherty5e/student/datasets/

Journal:

  • Theoretic and Applied Econometrics

 

Academic Session: 
2024-25
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