Econometrics –II

Paper Code: 
ECO 414
Credits: 
4
Contact Hours: 
60.00
Max. Marks: 
100.00
Objective: 

        Course Objectives:

 

The objectives of this course are –

 

  1. To develop an understanding of the meaning, reasons and consequences of the violation of assumptions of the regression model.
  2. To acquaint the students with the detection and remedial methods of multicollinearity, heteroscedasticity and autocorrelation. 
  3. To  acquaint the students with the estimation and interpretation of models with dummy independent variables.

 

 

Course Outcomes (COs):

Course

 Outcome (at course level)

Learning and teaching strategies

Assessment Strategies 

Paper Code

Paper Title

ECO 414

Econometrics-II

CO57: Gain knowledge of the meaning, reasons and consequences of the violation of assumptions of OLS method.

CO58: Learn about the different methods of detecting the violations and their remedial measures.

CO59: Comprehend the  meaning and applications of dummy variables.

Approach in teaching: Interactive Lectures and Discussions.

 

Learning activities for the students:

Practice Modules and

Assignments.

Class activity, Assignments and Semester end examinations.

 

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

Meaning of model specification, Specification error- omission of a relevant variable; inclusion of irrelevant variable; errors of measurement, tests of specification errors.

12.00
Unit V: 
Qualitative (dummy) independent variables

Nature of dummy variables; ANOVA and ANCOVA models; caution in the use of dummy variable-the dummy variable trap; the dummy variable alternative to the chow test; Interaction effects using dummy variables.

Essential Readings: 

1.   D. N. Gujarati and D.C. Porter, Essentials of Econometrics, McGraw Hill.

2. Christopher Dougherty, Introduction to Econometrics, Oxford University Press.

3.   Jan Kmenta, Elements of Econometrics, Indian Reprint, Khosla Publishing House.

4.   A. Koutsoyiannis, Theory of Econometric, Palgrave Macmillan.

 

Academic Session: 
2020-21
  • Printer-friendly version
  • PDF version