Econometrics (STAT-308)

Introduction

This course introduces the regression methods for analyzing economics data. This course emphasizes both the theoretical and the practical aspects of statistical analysis, focusing on techniques for estimating econometric models of various kinds and for conducting tests of hypotheses of interest to economists. The goal is to help the students to develop a solid theoretical background in introductory level econometrics, the ability to implement the techniques and to critique empirical studies in economics.

Pre requisites: STAT- 307

Learning outcomes

  • Conduct basic statistical and econometric analysis. Explain and interpret econometric results.
  • Explain econometric concepts and results intuitively, conduct independent data analysis and inquiry using the tools of statistics and econometrics.
  •  Conduct Research with econometrics, derive econometric results mathematically

Textbooks

  1. Gujrati, D. (2004). “Basic Econometrics”, John Wiley, New York.
  2. Koutsoyiannis, A. (1980), “Theory of Econometrics”, Macmillan.
  3. Draper, N.R. and Smith, H. (2004). “Applied Regression Analysis”, John Wiley, New York.
  4. Salvatore, D. and Reagle, D. (2002). Theory and Problems of Statistics and Econometrics, 2nd Edition. McGraw-Hills, New York.

 

Week

Topics

Books

1

Introduction to Econometrics with some basic concepts

Basic Econometrics (1-13), Theory of Econometrics (1-4)

2

Assumptions of Econometric Model

Basic Econometrics (65-74), Theory of Econometrics(5-8)

3

Autocorrelation: Consequences, Tests and Solutions

Applied Regression Analysis (179-203), Basic Econometrics (441-488, Theory of Econometrics(200-232)
4 Multicollinearity: Consequences, Tests and Solutions Basic Econometrics(341-375), Theory of Econometrics(233-257)

5

Heteroscedasticity: Consequences, Tests and Solutions

Basic Econometrics (387-422), Theory of Econometrics(181-196)

6

Ridge regression: Estimation with practical exercises

Applied Regression Analysis (387-400)

7

Dummy Variables: Role of Dummy Variables in Econometric Modeling

Basic Econometrics (297-322), Theory of Econometrics(281-284)

8

Lagged Variables and Econometrics

Basic Econometrics (656-700), Theory of Econometrics(294-324)

9

Errors in variables: Consequences, Tests and Solutions

Theory of Econometrics(258-274)

10

System of Simultaneous Equations

Basic Econometrics (762-790)

11

Identification and Estimation Methods

Basic Econometrics (735-750), Theory of Econometrics(346-368)

12

Indirect and Two-stage least square methods, restricted least squares

Basic Econometrics (770-780), Theory of Econometrics(369-376, 384-393, 399-402)

13

Test of identifying restrictions; Estimation with stochastic regressor,

Basic Econometrics (266-270)

14

Generalized least squares estimators.

Applied Regression Analysis (205-215)

15

Econometric Modeling with Some Statistical Softwares

Minitab, Mathematica

16

Testing the Problems of Autocorrelation, Multicollinearity, and Heteroscedasticity using some Statistical Softwares

Minitab, Mathematica
 

Description of system of Evaluation

Exam: Mid (30%), Final (50%), Sessional (20%): Assignments, Presentations, Class Participation, Quizzes 

Time Table: BS Regular: Wensday (11:00 AM to 12:30 PM), Thursday (8:30 AM to 10:00 AM), Friday (10:00 AM to 11:00 AM)

                     BS Self : Monday (3:00 PM-4:00 PM), Tuseday (3:00 PM-4:00 PM), Wensday (3:00 PM-4:00 PM), Thursday (3:00 PM-4:00 PM)

Course Material

Other Courses by Dr. Muhammad Amin