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HS 512 Advanced Econometrics

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HS 512 Advanced Econometrics

Uploaded by

samar
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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INDIAN INSTITUTE OF TECHNOLOGY ROORKEE

NAME OF DEPTT./CENTRE: Humanities and Social Sciences


1. Subject Code: HSN 512 Course Title: Advanced Econometrics
2. Contact Hours: L: 3 T: 1 P: 0
3. Examination Duration (Hrs): Theory 3 Practical 0

4. Relative Weightage: CWS 25 PRS 0 MTE 25 ETE 50 PRE 0

5. Credits: 4 6. Semester: III 7.Subject Area: PCC

8. Pre-requisite: HSN 509

9. Objective
To build upon the basic econometric course and emphasize on the advanced topics related to
methodological issues in econometrics with statistical software applications.

10. Details of Course


S. No. Contents Contact
hours
1 Qualitative and Limited Dependent Models: Linear probability 7
model(LPM)- estimation and limitations, Logit and Probit models,
Censored and truncated regression, MLE estimation-Tobit model,
Applications
2 Simultaneous Equation Systems: Structural and reduced form models, 11
simultaneous equation bias, identification problem and estimation
methods- 2SLS, 3SLS and LIML; SUR procedure; Problem of
Endogeneity- causes and solution; Instrumental Variables estimation;
GMM- estimation and testing for overidentification
3 Dynamic Econometric Models- Autoregressive and Distributed lag 8
(ADL) relationships- specification and problems in OLS estimation,
Koyck’s and Almon’s approach to DLM, partial adjustment and adaptive
expectations method, Exogeneity tests, Wu-Hausman test
4 Time Series Analysis: stationary and nonstationary time series, unit root 9
tests; Concept of cointegration, two-variable model – Engle-Granger
method and ECM; system of equations – vector autoregression (VAR),
Johansen procedure, VECM, Granger causality
5 Analysis of Panel Data: Balanced vs. unbalanced panel, Fixed effects 7
model, random effects model, fixed vs. random effects- Wu Hausman test,
Dynamic panel models
Total 42

11. Suggested Books


S. No. Name of Books/Author/Publisher Year of Publication/
Reprint
1 Econometric Analysis, Greene, W.H., 7 th Ed., Pearson 2012
rd
2 Guide to Modern Econometrics, Verbeek, M., 3 Ed., 2008
Wiley
3 Microeconometrics using Stata, Cameron and Trivedi, 2010
Stata Press, Revised Ed.
4 Econometric analysis of Panel Data, Baltagi, Wiley, 5th Ed. 2013
5 Applied Econometric Time Series, Walter Enders, Wiley, 3 2013
Ed.

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