Objectives  -  45 Hrs

In the last several years, the importance of studying econometrics has increased dramatically. As economists rely more and more on econometric techniques it is essential for everyone – especially students, working executives, entrepreneurs and corporate to develop an appreciation for the power and versatility of econometric modeling. The certificate course in fundamentals of econometrics intends to provide a thorough and sound understanding of the essential theoretical base, an introduction into the important and useful techniques of modeling and also an understanding of the broad applications of econometrics.

UNIT 1 -  10 Hrs

Nature and scope of econometrics and the linear regression model - A review of basic statistical concepts. The nature and scope of econometrics- The methodology of econometrics. Simple and general linear regression models-assumptions, estimation (OLS), properties of estimators, Gauss-Markov theorem, R2 adjusted R2. Analysis of variance and its application in regression.

UNIT 2 - 10 Hrs

Problems In Classical Linear Regression Analysis- The problems of heteroscedasticity, multicollinearity and auto-correlation-nature, test, consequences and remedial steps. Problems of specification error, errors of measurement. 

UNIT 3 -  10 Hrs

Regression on Qualitative Independent Variables The nature of dummy variables-testing the structural stability of regression models, interaction effects, seasonal analysis. Regression with dummy dependent variables-Logit, Probit and Tobit models.

UNIT 4 -  15 Hrs

Dynamic Econometric Models - Autoregressive and distributed lag models-Koyak model, adaptive expectations and stock adjustment model. Instrumental variables

Recommended Readings

1. Gujarati, D. (2007). Basic Econometrics. Tata McGraw-Hill Publications, New York.

2. Maddala, G. S. (1977). Econometrics. Tata McGraw-Hill Publications, New York.

3. Greene W. H. (2003). Econometric Analysis. Prentice Hall Press, New Delhi.

4. Johnston J. (1972). Econometric Methods. McGraw Hill Book Company, New York.

5. Intriligator, M. D. (1980). Econometric Models, Techniques and Applications, Prentice Hall Press, New Delhi.