Credit

4.00   (L-T-P:   3-0-2)

Department / Center / School / Unit

Economics

Course Objectives

The objective of this course is to provide introduction to econometric theory and practice. The linear regression model is the main focus of this course. The topics covered in the course include Gauss-Markov assumptions, Small and Large sample properties of least square estimator. Then we proceed to violation of assumptions of Gauss-Markov Theorem, which include heteroskedasticity, autocorrelation, measurement error, omitted variables and simultaneity. We also cover generalized regression models, endogeneity and instrumental variable estimation, limited dependent variable models. We also introduce basic econometric methods with time series and panel data.

Course Contents

Linear regression models, heteroskedasticity, autocorrelation, generalized least squares, endogeneity issues, instrumental variable estimation, limited dependent variable models, econometrics with time series data, linear models with panel data.

Suggested References

1. Greene, W. H., Econometric Analysis, (7th edition), Pearson Prentice Hall, 2011
2. Wooldridge, J. M., Econometric Analysis of Cross Section and Panel Data, (2nd edition), The MIT Press, 2010
3. Angrist, J. D. and Pischke, J., Mostly Harmless Econometrics: An Empiricist's Companion, Princeton University Press, 2009