M.A. ECONOMICS (SEMESTER-WISE) - Dr BR Ambedkar University

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DR. BHIM RAO AMBEDKAR UNIVERSITY, AGRA .M.A. ECONOMICSSEMESTER WISE - DETAILED SYLLABUSSECOND SEMESTEROPTIONAL PAPER – 204 (D)ECONOMETRICSUNIT 1: Basic EconometricsNature, meaning and scope of econometrics; Simple and general linear regression model — Assumptions,Estimation (through OLS approach) and properties of estimators; Gauss-Markov theorem; Concepts andderivation of R2 and adjusted R2; Concept and analysis of variance Approach and its application inregression analysis; Estimation of non-linear equations — parabolic, exponential, geometric, hyperbolic,modified exponential; Gomertz and logistic functions.UNIT 2: Problems in Regression AnalysisNature, test, consequences and remedial steps of problems of hetero-scedasticity; Multi-collinearity andauto-correlation; Problems of specification error; Errors of measurement.Regressions with Qualitative Independent VariablesDummy variable technique — Testing structural stability of regression models comparing to regressions,interaction effects, seasonal analysis, piecewise linear regression, use of dummy variables, regressionwith dummy dependent variables; The LPM, Logit, Probit and Tobit models — Applications.UNIT 3: Dynamic Econometric ModelAutoregressive and distributed lag models — Koyak model, Partial adjustment model, adaptiveexpectations; Instrumental variables; Problem of auto-correlation — Application; Almon approach todistributed-lag models; Error correlation mechanism, Causality test, Granger test and Sim’s test.Page 40
DR. BHIM RAO AMBEDKAR UNIVERSITY, AGRA .Simultaneous Equation ModelsIntroduction and examples; The simultaneous equation bias and inconsistency of OLS estimators; Theidentification problem; Rules of identification — order and rank conditions; Methods of estimatingsimultaneous equation system; Recursive methods and OLS; Indirect least squares (ILS); 2SLS, 3SLS andML methods — Applications.UNIT 4: Time Series AnalysisStationarity, unit roots, co-integration-spurious regression, Dickey-Fuller test, Engle-Granger test,Random walk model, Forecasting with ARIMA modeling; Box-Jenkins methodology; Vector autoregression;Problems with VAR modelling — Applications; Time varying parameters and Kalman filter.UNIT 5: Panel Data TechniquesPanel data techniques — Random coefficients model; Fix effects model; Random effect model.Multivariate AnalysisMultivariate probability distribution, marginal and conditional probability distribution, multivariatenormal distribution and its properties; Hotelling T-scale; Discriminant analysis.Recommended Books• Amemiya, T., Advanced Econometrics, Harvard University Press, Cambridge, Mass.• Baltagi, B.H., Econometrics, Springer, New York.• Dongherty, C., Introduction to Econometrics, Oxford University Press, New York.• Goldberger, A.S., Introductory Econometrics, Harvard University Press, Cambridge, Mass.• Gujarati, D.N., Basic Econometrics, McGraw Hill, New Delhi.• Hill R. C., E.G. William and G.G. Judge, Undergraduate Econometrics, Wiley, New York.• Kennedy. P., A Guide to Econometrics , MIT Press, New York.• Kmenta, J., Elements of Econometrics , University of Michigan Press, New York.• Koutsoyiannis, A., Theory of Econometrics , The Macmillan Press Ltd., London.• Krishna, K.L., Econometric Applications in India, Oxford University Press, New Delhi.• Maddala, G.S., Econometrics Methods and Application, Aldershot U.K.• Theil, H., Introduction to Econometrics, Prentice Hall of India, New Delhi.Page 41
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M.A. ECONOMICS (SEMESTER-WISE) - Dr BR Ambedkar University

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