Introductory Econometrics

Introductory Econometrics (ECO-353B)

Syllabus: Econometrics

Unit – I

Nature and Scope of Econometrics and CLRM: 

• Nature and Concept of Econometrics
• Definition and Scope of Econometrics 
• Methodology of Econometrics
• Difference Between an Economic Model and an Econometric Model
• The Concept of Stochastic Relation
• The Role of Random Disturbances
• Types of Data in Econometrics
• Classical Linear Regression Model (CLRM)

• Simple Linear Regression 
• Multiple Linear Regression
• Classical Assumptions

Numerical Problems

• Identification of Linear and Nonlinear Regression Models (Linearity in Parameters)

Unit – II

Estimation of Classical Linear Regression Model: 

• Estimation using Ordinary Least Squares (OLS)
• Derivation of OLS estimators in: 
• Derivation in the Simple Linear Regression Model (SLRM)
• Derivation in the Multiple Linear Regression Model (Two Regressors)
• Correlation in Econometrics: Simple, Partial, and Multiple Correlation
• Economic Interpretation of Estimated Coefficients
• Properties of OLS Estimators (BLUE): Gauss–Markov Theorem
• Gauss–Markov Theorem 
• Qualitative (Dummy) Independent Variables: Dummy Variables
• Intercept Dummy 
• Slope Dummy (Interpretation) 

Numerical Problems

• OLS Estimation & R-Squared
• Interpretation of Slope Dummy and t-test
• Regression coefficients and regression line, t-test, R-squared
• 
  

Unit – III

Statistical Inference: 

• Use of z, t, Chi-Squared, and F Distributions in Regression
• Standard Normal Distribution 
• Chi-square (χ²) Distribution 
• t Distribution 
• F Distribution 
• Hypothesis Testing and Related Concepts
• Null Hypothesis (H₀) 
• Alternative Hypothesis (H₁) 
• Type I Error 
• Type II Error 
• Power of a Test 
• p-value 
• Confidence Intervals, Significance Levels, and p-Values
• Single Parameter Tests: 
• t-test 
• Chi-square (χ²) test 
• Joint Hypothesis Testing: 
• F-test 
• Goodness of Fit in Regression: R-Squared, Adjusted R-Squared, and F-Statistic
• R² (Coefficient of Determination) 
• Adjusted R² 
• F-statistic 
• ANOVA in Regression (Analysis of Variance)

Tables

• t-table
• F-Distribution Table

Numerical Problems

• Economic Interpretation and t-test
• Economic Interpretation and t-test 2
• Economic Interpretation, t-test and R-squared
• Economic Interpretation, t-test and F-test
• Interpretation, F-test, and t-test
• Economic Interpretation, Prediction and R-Squared
• F-statistic
• t-test, F-test, Adjusted R-square and Prediction
• Interpretation, R-squared, Adjusted R-squared and F-test
• Interpretation, F-test and One-tailed test
• Joint Significance Test (F-test) / Nested Model Comparison and Adjusted R-squared
• ANOVA Table, F-test and R-Squared
• F-test, t-test and Interpretation
• Economic Interpretation, t-test, ANOVA table, F-test and R-Squared
• Interpretation, t-test, R-squared, ANOVA, and Goodness of Fit
• Interpretation, t-test and Confidence Intervals
• Prediction, Standard Error of Prediction and Confidence Intervals
• Regression line, RSS, R-squared, t-test and Confidence Intervals

Unit – IV

Violations of Classical Assumptions: 

• Multicollinearity - Consequences, Detection and Remedies
• Heteroskedasticity - Consequences, Detection and Remedies
• Autocorrelation - Consequences, Detection and Remedies

Numerical Problems

• Lagrange Multiplier (LM) Test Statistic
• LM Test - White Test