ACT-671

ECONOMETRICS - I

(2+1)

a) Basic concepts of Econometrics. General linear Statistical models. Least Squares Maximum Likelihood method of estimation. Point and interval estimation. Statistical properties of estimation. Prediction and Degree of explanation. Restricted Maximum Likelihood Estimation. b) Non linear Regression Model: Nonlinear least squares and non linear maximum likelihood estimation. Functional Form; Box-cox transformation. Estimation of Cobb-Douglas and CES production function. NewtonRaphson Algorithm. c) Statistical Model Selection: Model specification. Some variable selection rules; R2, CP, AIC, SC, and unconditional mean squared error criteria.

d) Dummy Variables and varying parameters models: Use of dummy variables in estimation, testing for a change in the location vector. BOOKS RECOMMENDED: 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. Campbell, J. Lo, A. and Mackinlay, A.C. (1997) The Econometrics of Financial Markets, Princeton University Press. Damodar N. Gujrati (2003) Basic Econometrics. McGraw-Hill. Gujarati, D .N. and Porter, D.O. (2009), Basic Econometrics (5th Edition). New York, NY: McGraw-Hill Greene, W.H. (2003) Econometrics Analysis. (5 th Edition), Pearson Education, Inc. Griffiths, R.W., Hill, R.C., and Judge, G.G. (1993) Learning and Practicing Econometrics, Wiley. Hill, R. C; Griffiths, R.W., Hill, R.C., and Lim, G. C. (2012) Principles of Econometrics, Wiley. Enders, W., (2010) Applied Econometric Time Series, (3rd Edition), Wiley, New York Theil, H. (1971) Principles of Econometrics. John Wiley & Sons. Hill, R.C. Learning SAS: A Computer Handbook for Econometrics, (1993), Wiley. Johnston, J. (2003) Econometrics. McGraw-Hill. Judge, G., R. Griffiths, W. Hill, H. Lutkepohl, and T. Lee, (1988) Introduction to the Theory and Practice of Econometrics, Wiley.. Maddala, G.C. (2002) Introduction to Econometrics, (3rd Edition), Wiley. Wang, P. (2003) Financial Econometrics Methods and models, Routledge, London. Pindyck, R.S. and Rubinfeld, D.L. (1998) Econometric Models and Economic Forecasts. McGraw-Hill. (4th Edition) Seddighi, H.R., Lawler, K.A. and Katos, A.V. (2000) Econometrics: A Practical Approach, Routledge, London. Hamitton, J. (1994) Time Series Analysis, Princeton University Press, New Jersey. Goldberger, A. (1991) A course in Econometrics, Harvard University Press. Ruud, P.A. (2000) An Introduction to Classical Econometric Theory, Oxford University Press.