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Econometrics Course Syllabus for Ph.

D Preparation Course Work (2011)


December 2011
Instructor: E-mail: Venkatesha Bhagavath venkatesh.bhagavath@christuniversity.in

Description: This course is concerned with the econometric tools that are indispensable for analyzing cross section and time series data in economics, business, finance and international finance. It deals with theoretical concepts and empirical applications. It offers participants hands-on experience in model building and hypothesis testing aspects using an Econometrics analysis software. Learning Objectives: Course content Topics for this unit include a revision of basic statistical concepts, an introduction to business econometrics, the classical regression model, relaxing the assumptions of the classical linear regression model, models for qualitative response variable and use of empirical examples to test hypotheses in economics and finance, and an introduction to the use of STATA / SPSS. Learning outcomes On completion of this course, you should be able to: Conduct preliminary analysis of economic and financial data; Construct economic models (cross-sectional or time-series); Run linear regressions; Perform statistics tests to check the robustness of econometric models; Interpret regression results; Make statistical inferences & validate assumptions and take remedial measures for violation of important assumptions. Recommended/required text(s) Gujarati, DN and Porter DC, Basic Econometrics, 5th edition, McGraw-Hill, Australia, 2009. (NB: the bookshop may offer a copy of the book with Eviews 4.1 CDs. Earlier editions of the book were authored by DN Gujarati.) Software requirements Excel / STATA / SPSS

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Reference material drawn by the instructor from other sources will be communicated at the appropriate time.

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Session Plan
[One session = 60 minutes]

Session 1: Overview of basic statistical concept of random variable, probability distributions, stochastic process. Introduction to Nature of Classical Ordinary Least Square (OLS) Model & Basic Ideal assumptions Estimation of OLS model Reading: Guajarati Introduction, Appendix A, Chapters 2 -5 Class activity: Data Exercise with STATA / SPSS (Fitting & interpretation) Session 2 & 3: Dummy Variable Regression Models Post estimation assessment of OLS model Testing for normality of residuals, Detecting outliers. Post estimation assessment of OLS model Multicollinearity Measures and Remedies Reading: Guajarati Chapters 9, 10 Class activity: Data Exercise with STATA / SPSS Session 4 & 5: Testing for constant variance / Problem of Heteroscedasticity Formal methods of testing, Introduction to GLS estimation. Reading: Guajarati Chapters 10, 11 Class activity: Data Exercise with STATA / SPSS Session 6 & 7: Autocorrelation Formal method(s) of testing. Case Study: Research scenario with data [Participants will test a postulated model, estimate and test study hypotheses. Discussion in the class based on the results obtained] Sessions 8 & 9 Qualitative Response Models Linear Probability Model (LPM) Logit & Probit model Estimation, Interpretation & Hypothesis testing Reading: Guajarati Chapters 10, 11 Chapter 15 Class activity: Data Exercise with STATA / SPSS

Session 10 Panel Data regression model (Only an overview) Chows test for equality of parameters Case Study Research scenario with data. [Participants will test a postulated model, estimate and test study hypotheses. Discussion in the class based on the results obtained]

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