Econometrics-II

Paper Code: 
CECO 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. 
  3. To appraise the students with the estimation and interpretation of models with dummy independent variables.
12.00
Unit I: 
Multicollinearity

·         Meaning, reasons and  consequences

·         Detection and remedies of the problem of multicolliearity.

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

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: 

.      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.

Academic Session: 
2023-24
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