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Course Co-ordinated by IIT Kharagpur
Coordinators
 
Dr. Rudra P. Pradhan
IIT Kharagpur

 

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The objective of this course is to present a comprehensive tools and techniques for managerial decision making including problem of cost estimation, market size determination, sales projection, stock price prediction, etc.

It has two parts. First part deals with regression-based modeling, which captures the behavior of variable through a structural model based on theory.

The second part deals with time series modeling, which concentrates on the dynamic characteristics of economic and financial data. The tentative subject outline is described below.

Contents

What is Econometrics? Difference between Econometrics, Mathematics and Statistics, Basics of Model Building, Basics of Business Forecasting, Univariate Statistics, Bivariate Statistics, Probability and Hypothesis Testing.

Bivariate Econometric Modelling, Trivariate Econometric Modelling, Multivariate Econometric Modelling, Multicolinearity, Serial Correlation, Heteroskedasticity, DG Test, Dummy Variable Econometric Modelling.

Panel Data Modelling, Lag Modelling, Identification Problem, Structural Equation Modelling, Basics of Time Series, Box- Jenkins Methods, Error Measurements, Univariate Time Series Modelling.

Unit Root Test, Cointegration Test, Causality Test, VECM, ARM, MAM, ARIMA, ARCH, GARCH, EGARCH, TGARCH.

 


Module

Learning Units

Hours Per Topic

Total Hours

1.Introduction

1. Historical perspective of Econometrics.

1

3

2. What is Econometrics.

3.  How is it different to Mathematics and Statistics.

1

4. Importance of Econometrics.

1

5. Linkage with Business Forecasting.

2. Basic Statistical
Concept

6. Univariate Statistics.

1

4

7. Bivariate Statistics.

1

8. Probability.

1

9. Hypothesis Testing

1

3. Foundation of Econometric Modelling

10. Basics of Econometric Modelling.

1

7

11. Bivariate Econometric Modelling.

2

12. Trivariate Econometric Modelling.

2

13. Multivariate Econometric Modelling.

2

4. Assessing the Assumptions of Econometric Modelling

14. Multicolinearity.

2

7

15. Serial Correlation.

2

16. Heteroskedasticity.

2

17. DG Test.

1

5. Extension of Econometric Modelling

18. Dummy Variable Econometric Modelling.

2

9

19. Panel Data Modelling.

2

20. Lag Modelling.

2

21. Identification Problem.

1

22. Structural Equation Modelling.

2

6. Time Series
Econometric Modelling

23. Basics of Time Series.

1

8

24. Box - Jenkins Methods.

25. Error Measurements.

1

26. Univariate Time Series Modelling.

27. Unit Root Test.

2

28. Cointegration Test.

2

29. Causality Test.

2

30. VECM.

7.Volatility Modelling

31. ARM and MAM.

1

3

32. ARIMA.

33. ARCH/ GARCH.

1

34. EGARCH/ TGARCH.

1

8. Conclusion

To be Announced

1

1

 

Total

 

42

Stat and Math courses in undergraduate (B Tech) program.

Preferred Background.

  1. Engineering graduate.

  2. Some probability and statistics.

  3. 2 years Work experience is recommended.


  1. Pindyck, R. S. and Daniel, L. R., "Econometric Models and Business Forecasts", McGraw Hill, New York.

  2. Brooks, C., "Introductory Econometrics for Finance", Addison Wesley Longman, New York.

  3. Campbell, J. Y., Andrew, W. L. and Mackinley, A. L., "The Econometrics of Financial Markets", Princeton University Press, Princeton.

  4. Granger, C. W., "Forecasting in Economics and Business", Academic Press, New York.

  5. Gujarati, D. N., "Basic Econometrics", McGraw Hill, New York.

  6. Douglas, C. Montgomery, Elizabeth A. Peck and G. Geoffrey Vining, "Introduction to Linear Regression Analysis", Wiley Publications, New York.

  7. Norman R. Draper and Harry Smith, "Applied Regression Analysis", Wiley Publications, New York.


  1. en.wikipedia.org/wiki/Econometric_model

  2. en.wikipedia.org/wiki/Econometrics


DMADV

  1. books.google.co.in

  2. books.google.co.in



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