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IB - 306: Econometrics Department of International Business

This document outlines chapters from two econometrics textbooks - Basic Econometrics and Econometrics by Example. It provides an overview of various econometric techniques including two variable regression analysis, multiple regression, hypothesis testing, heteroscedasticity, autocorrelation, time series analysis, cointegration, and panel data regression models. The chapters cover topics such as model specification, estimation methods, diagnostic testing, and approaches for addressing issues like multicollinearity. Real-world examples and illustrations are provided to demonstrate the application of these econometric concepts.

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Rimon Islam
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65 views6 pages

IB - 306: Econometrics Department of International Business

This document outlines chapters from two econometrics textbooks - Basic Econometrics and Econometrics by Example. It provides an overview of various econometric techniques including two variable regression analysis, multiple regression, hypothesis testing, heteroscedasticity, autocorrelation, time series analysis, cointegration, and panel data regression models. The chapters cover topics such as model specification, estimation methods, diagnostic testing, and approaches for addressing issues like multicollinearity. Real-world examples and illustrations are provided to demonstrate the application of these econometric concepts.

Uploaded by

Rimon Islam
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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IB - 306: Econometrics

Hazera-Tun-Nesa, Assistant Professor


Department of International Business
Book – 01: Basic Econometrics
Book – 02: Econometrics by Example

Basic Econometrics
Introduction
Beginning Page: 01
1.1 What is econometrics?
1.2 Why a separate discipline?
1.3 Methodology of econometrics
1.4 Types of econometrics

Basic Econometrics
Chapter – 02: Two variable regression analysis: Some basic ideas
Beginning Page: 38
2.1 A hypothetical example
2.2 The concept of population regression function (RPF)
2.3 The meaning of the term- Linear
2.4 Stochastic specification of RPF
2.5 The sample regression function
NOTE: Question No: 2.5, 2.6, 2.7, 2.9 [Page No: 54]

Basic Econometrics
Chapter – 03: Two variable regression model: The problem of estimation
Beginning Page: 61
3.1 The method of Ordinary Least Squares (OSL)
3.2 The classical linear regression model: The assumptions
3.3 Precision or Standard errors of Lease Squares Estimates
3.4 Properties of Least squares estimators: The Gauss-Markov Theorem
3.6 A numerical example
Basic Econometrics
Chapter – 05: Two variable regression: Interval estimation and Hypothesis Test
Beginning Page: 115
5.5 Hypothesis testing: General Comments
5.6 Hypothesis testing: The confidence interval approach
5.7 Hypothesis testing: The test of significance approach
5.8 Hypothesis testing: Some practical aspects
5.9 Regression analysis and analysis of variance
5.11 Reporting the results of regression analysis

Basic Econometrics
Chapter – 07: Multiple regression analysis: The problem of estimation
Beginning Page: 202
7.3 The meaning of partial regression coefficients
7.4 OLS and ML estimation of the partial regression coefficients
7.5 The multiple coefficients of determination……
7.6 An illustrative example: Example – 7.1
7.7 Simple regression in the context of multiple regression
7.8 R2 and the Adjusted R2

Econometrics by Example
Chapter – 01: The linear regression model: an overview
PDF Page: 45; Book Page: 5
1.2 The nature and sources of data

Chapter – 02: Functional forms of regression models


Book Page: 25
1.1 Log-linear, double log or constant elasticity models
1.2 Testing validity of linear restrictions (VVI)
1.3 Log-lin or growth models
1.4 Lin-log models
2.8 Comparing linear and log-linear models (VVI)
Econometrics by Example
Chapter – 03: Qualitative explanatory variables regression models
Book Page: 47
3.1 Wage function revisited (Table: 3.1)
3.2 Refinement of the wage function (Table: 3.2)
Table – 3.4: Reduced wage function
3.5 Use of dummy variables in structural change (VVI)
Table – 3.7: Regression of GPI on GPS, 1959 – 2007
3.6 Use of dummy variables in seasonal data

Econometrics by Example
Chapter – 08: The logit and probit models
Book Page: 152
8.1 An illustrative example: to smoke or not to smoke
8.2 The linear probability model (LPM) with Table: 8.2
8.3 The logit model with Table: 8.3
8.4 The probit model
Logit Vs Probit

I. Basic Econometrics
Chapter – 10: What happens if the regressors are correlated?
Beginning Page: 339
10.1 The nature of multicollinearity
10.2 Estimation in the presence of perfect multicollinearity
10.3 Estimation in the presence of “High” but “Imperfect” multico……
10.5 Practical consequences of multicollinearity
10.6 An illustrative example: Example – 10.1
10.7 Detection of multicollinearity
10.8 Remedial Measures
10.9 Is multicollinearity necessarily bad? Maybe not, if the objective….
II. Econometrics by Example
Chapter – 04: Regression diagnostic I: multicollinearity
Book Page: 68
4.1 Consequences of imperfect collinearity
4.2 An example: married women’s hours of work in the labor market
4.3 Detection of multicollinearity
4.4 Remedial Measures

I. Basic Econometrics
Chapter – 11: Heteroscedasticity: What happens if the error variance is………
Beginning Page: 386
11.1 The nature of Heteroscedasticity
11.3 The method of Generalized Least Squares (GLS)
11.4 Consequences of using OLS in the presence of Heteroscedasticity
11.5 Detection of Heteroscedasticity
Informal Methods
Formal Methods
Goldfeld-Quandt Test
White’s General Heteroscedasticity Test
11.6 Remedial Measures
II. Econometrics by Example
Chapter – 05: Regression diagnostic II: Heteroscedasticity
Book Page: 86
5.3 Detection of Heteroscedasticity
Breusch-Pagan (BP) Test

I. Basic Econometrics
Chapter – 12: Autocorrelation: What happens if the error terms are correlated
Beginning Page: 437
12.1 The nature of the problem
12.2 OLS estimation in the presence of autocorrelation
12.5 Relationship between Wages and Productivity
12.6 Detecting Autocorrelation
12.7 What to do when you find autocorrelation: Remedial Measures
12.8 Model Mis-specification Vs Pure autocorrelation
II. Econometrics by Example
Chapter – 06: Regression diagnostic III: Autocorrelation
PDF Page: 132; Book Page: 102
6.2 Tests of autocorrelation
Breusch–Godfrey (BG) general test of autocorrelation

Econometrics by Example
Chapter – 13: Stationary and Non-stationary Time Series
PDF Page: 246; Book Page: 216
13.1 Are exchange rates stationary?
13.2 The importance of stationary time series
13.3 Tests of stationary
13.4 The unit root test of stationary with table 13.3
13.5 Trend stationary Vs different stationary time series
13.6 The random walk-model

Econometrics by Example
Chapter – 14: Cointegration and Error Correction Models
PDF Page: 264; Book Page: 234
14.1 The phenomenon of spurious regression
14.3 Is the regression of consumption expenditure on disposable income..
Table 14.2 Unit root analysis of the LPDI series.
Table 14.3 Unit root analysis of the LPCE series.
Table 14.4 Regression of LPCE on LPDI.
14.4 When a spurious regression may not be spurious
Table 14.5 Regression of LPCE on LPDI and trend.
14.5 Tests of cointegration
Table 14.6 Unit root test on residuals from regression (14.4).

Basic Econometrics
Chapter – 16: Panel Data Regression Models
Beginning Page: 623
16.1 Why Panel Data?
16.4 The Fixed Effect Least-Squares Dummy Variables Model
16.5 The Fixed Effect Within Group Estimator
16.6 The Random Effects Model
16.8 Fixed Effects Vs Random Effects Model

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