Course

Unit 1

Review of Statistics – Introduction to regression analysis. Two-variable regression model: Estimation using ordinary least square method – underlying assumptions. Two-variable regression model: hypothesis testing, different functional forms.

Unit 2

Multiple regression – Multiple regression analysis: estimation, interpretation, hypothesis testing (understanding the model, model specification and casual inference, interpreting the coefficients, R-squared, t- and F-tests, model diagnostics, model building, model selection- timeseries (auto correlation functions, auto regression, and prediction) – logistic regression.

Unit 3

Dummy variable regression model – Violations of CLRM assumption: multi-collinearity, heteroscedasticity, auto correlation – Qualitative response regression models

Unit 4

Cross Sectional Econometrics – Time series Econometrics

Unit 5

Time Series Analysis: Some Basic Concepts – ARMA (p, q) – Var (p) – non-stationary processes -efficient market hypothesis – predictor methods – security and technical analysis – Panel data regression model

Course Objectives:

At the end of this course the students will be able to:

1. Conduct independent econometric and statistical analysis of data in an applied research setting
2. Use econometric software for data management and statistical analysis
3. Demonstrate their understanding of applied econometric analysis models/methods with respect to choice of model, estimation method and interpretation of results.

The course objectives above support the program level learning goal of “CRITICAL and INTEGRATIVE THINKING”.

Course Outcomes:

Textbook:

Damodar N Gujarati, Dawn C Porter, Sangeetha Gunasekar – Basic Econometrics – McGraw Hill

Reference Books:

1. Jack Johnston, John Di Nardo – Econometric Methods – McGraw Hill
2. Ramu Ramanathan – Introductory Econometrics with Applications – Hartcourt College Publishers
3. J.T. McClave, P.G. Benson and T. Sincich A First Course in Business Statistics – Prentice Hall
4. Russell Davidson, James G. Mackinon – Estimation and Inference in Econometrics – Oxford University Press
5. A.C. Cameron, P.K. Trivedi – Micro Econometrics – Cambridge University Press
6. Samprit Chatterjee, Jeffrey S. Simonoff – Handbook of Regression Analysis – John Wiley
7. Samprit Chatterjee, Ali S Hadi – Regression Analysis by Example – John Wiley
8. Kutner, Nachtsheim, Neter – Applied Linear Statistical Models – McGraw Hill