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3 views

Course Outline

Uploaded by

Bhavya Batra
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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Indian Institute of Foreign Trade

Course Outline

Basic Econometrics

Type of course: Core


Course schedule: Monsoon Semester 2024
Number of lecture hours: 50 (approximately)
Number of Tutorials: 15 (approximately)

Course Coordinators:
Prof. Neha Jain [NJ]
Prof. Mohd. Rafi [MR]

The Course on Basic Econometrics is divided into two parts: Part I-Basic concepts in Statistics
and Mathematics. Part II: Introduction to Econometrics. This course is designed to introduce you
to the tools of econometrics. The first part will review the core concepts in mathematics such as
matrix algebra, and statistics theory broadly including random variables, distributions, and
expectations.

The second part of the course will acclimatize you to the methods in econometrics. The
Econometrics component will focus on techniques pertaining to cross-section, panel, and time
series data. Further, a compulsory computer-based evaluation will help in understanding the
implementation of the models in real-life applications.
Apart from the sessions mentioned, one session each week will be scheduled separately for
tutorials.
Workshop on STATA software would be scheduled along with classes during the Semester.

Textbooks
● Introductory Econometrics: A Modern Approach by Jeffrey Wooldridge, Seventh Edition,
South-Western College Publications (WLD)
● Basic Econometrics by Damodar N. Gujarati and Dawn C. Porter, Fifth Edition, Mc-Graw
Hill Education Ltd. (GP)
● Appendix: Damodar N. Gujarati and Dawn C. Porter, and Greene

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Session Plan (Tentative):

Part I: Basic concepts in Statistics and Mathematics


• Statistics {NJ}
a. Random Variables and Probability Distributions
b. A brief introduction to a discrete probability distribution
c. A brief introduction to continuous Distribution
d. Relations between various Distributions
e. Expectations in Bivariate Distributions, Multivariate Distributions
f. Statistical inference – Estimation, Properties of estimators, Point and Interval
estimation, Methods of estimation
g. Hypothesis testing

• Matrix algebra {NJ}


a. Preliminaries
b. Properties of Determinants
c. The Inverse Matrix
d. Rank of the Matrix
e. Eigen Values and Eigen Vectors
f. Quadratic Forms and Positive Definite
Matrices
g. Matrix differentiation

Part II: Introduction to Econometrics

• The Nature of Econometrics and Economic Data {MR}

• Linear Regression Models {MR}


I. Ordinary Least Squares
a. Multiple Regression Analysis: Estimation
b. Testing of Hypothesis
c. Inference
d. OLS Asymptotics
II. Violations of CLRM and other issues with OLS
a. Heteroskedasticity
b. Multicollinearity
c. Autocorrelation
III. Major Issues in Estimating OLS Regression
a. Functional Form Misspecification

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b. Endogeneity: Using Proxy Variables for Unobserved Explanatory
Variables
c. Properties of OLS under Measurement Error
d. Non-Normality of Residuals
IV. Dummy Variable Regression
a. Single Dummy Independent
b. Using Dummy Variables for Multiple Categories
c. Interactions Involving Dummy Variables
d. A Binary Dependent Variable: The Linear Probability Model

• Simultaneous Equation Models {MR}

• Introduction to Panel Data Regression Model {NJ}

• Maximum Likelihood Estimation {NJ}

• Autoregression and Autoregressive Distributed Lag Model {NJ}

• Introduction to Time series {NJ}

Implementation of the Models using STATA (Tutorials)


Evaluation:

Sl. Component Tentative Schedule Weightage (%)


No.
1. Mid -Term End-October, 2024 40
2. End Term End-Dec, 2024 60

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