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Course Objective: |
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The purpose of this course is to teach and make student learn about the econometric estimations and their inferences at the advance level that can covers wide-range of economic issues. The course structure can be seen in broad heads, i.e. Time-series and Panel data analysis which further divided into four units. At the end of the course students are expected to learn how to apply the modern econometrics concepts and methods in analyzing and interpreting empirical research. The basic level of econometric understanding that has been taught in the previous semester is assumed. |
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Course Outcomes: The students will be able to |
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1 |
To conduct panel data analysis using pooled OLS, Fixed effects and Random Effects model. |
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2 |
To apply time series econometric techniques to empirical settings |
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3 |
To carry out empirical analyses using economic and financial time series data |
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4 |
Interpret the results of such analyses, in terms of the validity of the inferences that can be drawn, and to appreciate the interplay between data and theory in making such inferences |
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Course Content: |
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UNIT I |
Review of cross section data analysis; Introduction to static panel data models: pooled OLS, Fixed effects and Random Effects. Choosing fixed effects vs random effects: The Hausman specification test, |
10 hrs |
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UNIT II |
Mundlak’s approach, Chamerlain’s approach. Robust estimations, Heteroskedasticity and autocorrelations in panel data. |
10 hrs |
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UNIT III |
Importance of lags in economic variables, Estimations of distributed lag model: Koyck Approach, adaptive expectations model, adaptive expectations and partial adjustment models; Autoregressive models. Almon Approach. Introduction to Univariate time-series econometrics: Stationary and non-stationary process; Tests for stationarity: unit root tests. |
10 hrs |
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UNIT IV |
Time series and forecasting: AR, MA, and ARIMA models. The vector auto regression (VAR), Granger causality, Granger non-causality tests: Toda and Yamamoto. Measuring volatility: the family of ARCH and GARCH models. |
10 hrs |
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UNIT V |
The concept of spurious regressions and co-integration. Engle —Granger approach, Multivariate co-integration tests: the Johansen’s approach. ECM and VECM.ARDL models. |
10 hrs |
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UNIT VI |
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10 hrs |
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Internal Assessment: |
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CIA 1 |
Unit I, Unit II |
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CIA 2 |
Assignment submission and/or presentation |
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Text Books: |
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1. Greene, William H. (2012).
Econometric Analysis, Pearson Prentice Hall, 7th edition. |
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Reference Books: |
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2. Arellano M. (2003). Panel Data Econometrics: Advanced texts in econometrics. Oxford University Press |
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3. Badi H Baltagi (2005). Econometric Analysis of Panel Data, 3rd edition, John Wiley and Sons Ltd. |
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4. Wooldridge, Jeffrey (2010), Econometric Analysis of Cross Section and Panel Data, Cambridge: MITPress. |
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5. Hsiao, Cheng (2003). Analysis of Panel Data, Second Edition, Cambridge University Press |
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- Teacher: Department of Economics