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Guidelines For Econometrics

The document outlines guidelines for a discipline-specific core course in Econometrics, detailing the required textbooks and their respective pages for various units. It covers topics such as model building, multicollinearity, generalized least squares, autocorrelation, and heteroscedastic disturbances. Each unit specifies the relevant readings from the recommended books to aid in understanding these econometric concepts.

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harshet pushoula
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91 views2 pages

Guidelines For Econometrics

The document outlines guidelines for a discipline-specific core course in Econometrics, detailing the required textbooks and their respective pages for various units. It covers topics such as model building, multicollinearity, generalized least squares, autocorrelation, and heteroscedastic disturbances. Each unit specifies the relevant readings from the recommended books to aid in understanding these econometric concepts.

Uploaded by

harshet pushoula
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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GUIDELINES FOR DISCIPLINE SPECIFIC CORE COURSE –18:

ECONOMETRICS

Books To Be Followed:

1. Gujarati, D., Porter, D. and Guneshker, S. (2012). Basic Econometrics, 5th Ed.,
McGraw Hill Companies.
2. Johnston, J. (1972). Econometric Methods, 2nd Ed., McGraw Hill International.
3. Koutsoyiannis, A. (2004). Theory of Econometrics, 2 Ed., Palgrave Macmillan
Limited.
4. Madnani, G.M.K.(2008). Introduction to Econometrics Principles and Applications,
8th Ed., Oxford &IBH Publishing Co. Pvt. Ltd.
5. Montgomery, D. and Johnson, I. (1976) Forecasting and Time Series Analysis,
McGraw Hill Book Company.

UNIT I
Introduction
Objective behind building econometric models, Nature and scope of econometrics, model
building, role of econometrics. General linear model (GLM). Estimation under linear restrictions.

BOOK 1: Pages 1 - 8.
BOOK 2: Pages 121 – 132( Before article 5-3 ), 135 - 138, 155 – 159.
BOOK 4: Pages 199-200, 202 - 205 (Only Examples and illustrations)

UNIT II
Multicollinearity
Introduction and concepts, detection of multicollinearity, consequences, remedies
Multicollinearity, tests and solutions of multicollinearity.

BOOK 1: Pages 340 – 342, 346 – 353, 356 - 364 (Do 4 detection and 4 remedial measures
only).
BOOK 2: Pages 160 – 163.
BOOK 3: Pages 238 – 240, 242 – 246.

UNIT III
Generalized least squares and Autocorrelation
Generalized least squares estimation, Aitken estimators. Autocorrelation: concept,
consequences of autocorrelated disturbances, detection and solution of autocorrelation.

BOOK 2: Pages 208 – 213, 246 – 249, 250 -251


BOOK 1: Pages 436 – 442, 453 – 460 ( Graphical Method of detection, Run test, Von
Neumann
Ratio, Durbin Watson test)
BOOK 3: Pages 217 – 219( only first order autoregressive scheme)

UNIT IV
Heteroscedastic disturbances
Heteroscedastic disturbances: Concepts and efficiency of Aitken estimator with OLS estimator
under heteroscedasticity. Consequences of heteroscedasticity. Tests and solutions of
heteroscedasticity. Qualitative Forecasting Methods.

BOOK 1: Pages 386 – 389, 397 – 405, 413 – 414.


BOOK 2: Pages 214 – 217.
BOOK 3: Pages 184 – 185.
BOOK 5: Pages 1 – 3, 48 – 53, 56 – 59 (Exponential smoothing for a constant process
and for a
linear trend process).

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