APPLIED ECONOMETRICS USING EVIEWS-II

Paper Code: 
ECO 424(A-P)
Credits: 
2
Contact Hours: 
60.00
Max. Marks: 
100.00
Objective: 

Course Objectives:

The objectives of this course are-

  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 acquaint the students with the estimation of simultaneous equations model by software EViews.

 

Course Outcomes (COs):

Course

Outcome (at course level)

Learning and teaching strategies

Assessment Strategies 

Paper Code

Paper Title

ECO 424(A-P)

Applied Econometrics using EViews-II

CO66: Acquire a hands-on training in the use of EViews software for estimating dummy variable regression models and distributed lag models.

CO67: Understand the estimation and interpretation of models based on panel data and time series data.

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

Organising data, obtaining series for fixed/random effects, Fixed Effects testing, estimating Random Effects Model, choosing between FEM and REM, 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, estimation of ARCH Model and GARCH model.

12.00
Unit V: 
Simultaneous Equations System

Application of Indirect Least Squares, Application of Two-Stage Least Squares and interpretation.

Essential Readings: 

Bhaumik, S.K., Principles of Econometrics- A Modern Approach using EViews, Oxford University Press, 2015.

 

Academic Session: 
2020-21
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