Econometrics-II

Paper Code: 
25CECO 612
Credits: 
4
Contact Hours: 
60.00
Max. Marks: 
100.00
Objective: 

1.      To understand 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. 

To appraise the students with the estimation and interpretation of models with dummy independent variables

Course Outcomes: 

Course Outcomes (COs):

Course

Code

Course Title

Learning outcome (at course level)

Learning and teaching strategies

Assessment Strategies 
   

25CECO 612

 Econometrics-II

(Theory)

Students will:

CO91: comprehend the concept of multicollinearity, its detection and remedial measures

CO92: evaluate the concept of heteroscedasticity, its detection and remedial measures

CO93:analyse serial correlation, its consequences, detection and remedial measures

CO94: analyse the problems related with specification error

CO95: analyse

Regression models containing dummy variables

CO96: contribute effectively in course-specific interaction

Approach in teaching: Interactive Lectures, Discussion, Case studies.

 

Learning activities for the students:

Presentations, Assignments and Group discussions.

Class activity, Assignments and Semester end examinations.

 

12.00
Unit I: 
Multicollinearity
  • Meaning, reasons and consequences
  • Detection and remedies of the problem of multicollinearity.

 

12.00
Unit II: 
Heteroscedasticity
  • Meaning, reasons and consequences
  • Detection (graphical method and B-P-G test)
  • Remedies (weighted least squares method, root transformation and log transformation) of the problem of heteroscedasticity

 

12.00
Unit III: 
Serial correlation
  • Meaning, reasons and consequences,
  • Detection (graphical method and D-W test)
  • Remedies (generalized difference equations and Prais-Winsten transformation) 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. Gujarati, D. N. and Porter, D.C., Essentials of Econometrics, McGraw Hill,  International Edition. 4th Edition, 2010.
  2. Dougherty, C.,  Introduction to Econometrics, Oxford University Press, 5th Edition, 2016.
  3. Koutsoyiannis, A., Theory of Econometrics, Palgrave Macmillan, 2nd Edition, 2001.

 

References: 

Suggested Readings:

1.      Smith, A. and Taylor, J. E., Essentials of Applied Econometrics, University of   California Press, 2017.

2.       Kmenta, J., Elements of Econometrics, Indian Reprint, Khosla Publishing House,       2nd Edition, 1997.

E- Resources:

1. Econometrics Academy--------sites.google.com/site/econometricsacademy

2. MIT Open Courseware---------ocw.mit.edu

3. Econometrics: Methods and Applications-Coursera-------coursera.org

4. Crunch Econometrics----------cruncheconometrix.com

5. Explaining the Core Theories of Econometrics------udemy.com

Journals:

1. The Journal of Econometrics

    Academic.oup.com/ectj

2. Journal of Applied Econometrics

    Onlinelibrary.wiley.com/journal/18735924

 

Academic Session: 
2025-26
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