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8 views

Course Contents

Uploaded by

nabaparmita
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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ECON 304: Econometrics

3rd year, Department of Economics


University of Chittagong

Main Text Book


1) Basic Econometrics (4th) by Damodar Gujarati.

Additional Readings
1) Introductory Econometrics – By Wooldridge, J.
2) Principles of Econometrics (4th edition) by Hill, Griffiths, and Lim.

Course Outline

Topic Detail Topics Readings/Reference


Introduction What is econometrics, and how it is different from other Gujarati: Introduction
disciplines; The classical methodology of econometrics; the & Ch 1
concept of regression analysis; statistical vs. deterministic
relationship; regression vs. causation; regression vs.
correlation; Nature and sources of economic data;
measurement scales of variables.
Two-variable The concept of population regression function; the meaning Gujarati: Ch 2
regression analysis of linear regression model; the significance of stochastic
error term; the concept of sample regression function.
Two-variable OLS estimation method – finding normal equations and OLS Gujarati: Ch 3 & Ch 4
regression analysis estimators; numerical properties of OLS estimators; the
- estimation assumptions of CLRM; the precision of the OLS estimators;
interpretations of estimated coefficients; properties of a good
estimator; Gauss Markov theorem; the coefficient of
determination; The CNLRM model – the normality
assumption of the error term; why the assumption is
required; properties of OLS estimators under the normality
assumption.
Two-variable Point estimation vs. interval estimation; constructing Gujarati: Ch 5
regression analysis confidence intervals for regression coefficients – its
- Hypothesis interpretation and hypothesis testing; Hypothesis testing
using the test of significance approach; Hypothesis testing
some practical aspects – Meaning of accepting or rejecting a
hypothesis, the 2-t rule of thumb, forming a null and
alternative hypothesis, the p-value & statistical vs. practical

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significance; prediction using the estimated regression line;
Normality tests.
Extensions of the Regression through the origin; scaling and units of Gujarati: Ch 6
Two-variable measurements; regressions of standardized variables and
regression model interpretations; the log-log, log-lin, lin-log and reciprocal
models; The choice of functional forms.
Multiple Regression Estimation and interpretation of partial regression Gujarati: Ch 7 & 8
Analysis – coefficients; Standardized coefficients; R2 and Adjusted R2;
Estimation and Comparing two R2 values; estimation of C-D production
Inference function; Polynomial regression model;
Hypothesis testing of individual coefficients; Testing of
overall significance; Relationship between R2 and F; testing
equality of two regression coefficients; testing linear equality
restrictions; Predictions. Analysis of Variance (ANOVA)
Dummy variable The nature of dummy variables; caution in using dummy Gujarati: Ch 9
regressions variables; regression with a dummy explanatory variables;
regression with a mixture of quantitative and qualitative
regressors.
Violations of the Nature of multicollinearity; causes of multicollinearity; Gujarati: Ch 10
OLS assumptions - consequences of multicollinearity; Detection of
Multicollinearity multicollinearity; Remedial measures;
Violations of the Nature of heteroscedasticity; Causes of heteroscedasticity; Gujarati: Ch 11
OLS assumptions - Consequences of heteroscedasticity; Detection of
Heteroscedasticity heteroscedasticity – informal methods, formal methods –
Goldfeld-Quand test, BPG test, and White test; Remedial
measures – GLS method, White’s heteroscedasticity
consistent standard errors; plausible assumptions about the
nature of heteroscedasticity.
Violations of the Nature of Autocorrelation; Causes of Autocorrelation; Gujarati: Ch 12
OLS assumptions - Consequences of Autocorrelation; Detection of
Autocorrelation Autocorrelation – Durbin Warson d test and its limitations;
The BG test; Remedial measures; Model misspecification
vs. pure autocorrelation; Correcting for autocorrelation.
Violations of the Model selection criteria; Types of specification errors; Gujarati: Ch 13
OLS assumptions – Consequences of specification errors; Tests of specification
Model errors; Errors of measurements
Misspecification

Note: You are expected to have ideas about all the topics. Also, you are expected to practice the solved
problems in the text and relevant exercises.

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