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Econometrics –II
Paper Code:
ECO 614
Credits:
4
Contact Hours:
60.00
Max. Marks:
100.00
Objective:
The course covers the consequences of and tests for violation of assumptions of classical linear regression model.
12.00
Unit I:
Multicollinearity
Meaning, reasons, consequences, detection and remedies of the problem of multicolliearity.
12.00
Unit II:
Heteroscedasticity
Meaning, reasons, consequences, detection and remedies of the problem of heteroscedasticity.
12.00
Unit III:
Serial correlation
Meaning, reasons, consequences, detection and remedies of the problem of serial correlation.
12.00
Unit IV:
Specification error
Specification error- omission of a relevant variable; inclusion of irrelevant variable; tests of specification errors.
12.00
Unit V:
Qualitative (dummy) independent variables
Nature of dummy variables; ANOVA and ANCOVA models; caution in use of dummy variable-the dummy variable trap; the dummy variable alternative to the chow test; Interaction effects using dummy variables.
Essential Readings:
- D. N. Gujarati and D.C. Porter, Essentials of Econometrics, McGraw Hill, 4th edition, International Edition, 2009.
- Christopher Dougherty, Introduction to Econometrics, Oxford University Press, 3rd edition, Indian edition, 2007.
- Jan Kmenta, Elements of Econometrics, Indian Reprint, Khosla Publishing House, 2nd edition, 2008.
- A. Koutsoyiannis, Theory of Econometric, Palgrave Macmillan; 2nd edition edition, 2001.
Academic Session:
