BIRLA INSTITUTE OF TECHNOLOGY AND SCIENCE, Pilani Pilani Campus AUGS/ AGSR Division SECOND SEMESTER 2020-2021 Course Handout (Part I) 1801/2021 In adaition to part-| (General Handout for all courses appended to the timetable) this portion glves further specific detalls regarding the course Course No, ECON F342 Course Title ‘APPLIED ECONOMETRICS. Instructorsn-Charge NLV. MURALIDHAR RAO Instructors) Tutorial Practical mstructors : NW M Rao 1. Course Description: This course provides an intraduction to advanced estimation and econometric techniques of analysis, wth particular emphasis on how these techniques can be used for the empirical testing of economic theories and/or policy prescriptions. Topics to be studied include spectcation, estimation, and inference in the context of models that include then evtend beyond the standard linear multiple regression frameworks. utile regression analysis; analysis of generalized linear and nonlinear models; instrumental variables; maximum likelhood, generalized method of moments (GMM), and two step estimation methods; simuitanéous equation models; time series processes, Identtication and estimation of time series models; techniques for assessing model ft; forecasting; time series analysis and models of expectations; univariate time series analysis, stationary vs. non-stationary series; ARIMA, GARCH, VAR, co-integration, granger causalty, eror corection and limited dependent variable models; autoregressive distributed lagged variable models multivariate time series analysis; dynamic models; analysis of panel data, talanced and unbalanced panel data, mixed, fed and randam effect models. 2. Scope and objective of the course: This is a course in applied econometrics, emphasizing the implemertation of econometric techniques to analyze concrete economic problems, using data and econometric software. Though not a theoretical course, we wil introduce some basic theory and concepts to Imativate an appropriate use of econometric methods. ‘Specific Objectives: ‘© To explain the theory behind estimating econometric methods and provide an analytical and quantitative background in the fundamentals of econometric analysis. ‘© To give students opportunities to use econometric models and methods in analysis and problem solving. Students ‘will earn how to choose the adequate method, discuss its identifying assumptions, correctly interpret its results and to translate them into economically meaningful answers ‘The course uses the fundamental concepts of econometric methods and applies them to datata buld, estimate and interpret their own econometric models for concrete economic and financial problems 2. Text Book 78): recut Ecoameis-A Mos oproacy J Wodsie,S* Eston (SBN No, 783151677), Sah West Cergape ean Roterences Ramu Rnaratan red Econometis wth Appatore, Fit ion, SW Cengage Lean, bon Eston 2008 anes Ssk su at son, toate exoromars, Second Eaton, Paon Aso ese}, 207 Greene, Wi, Eeononette Anal, th Eon Pree Hal 201 Jack Jon en Jt Dado, Econonet Mths, Forth Eton MeGraw 187. Inigo, boacn cd sao, Econometr Mod,Tehnue, and appears, Stand Eten, Perc Ml, 1686 G8 ats, Inotucton to Ecormet,Sexord Eton, Mkt 1662 Sage tal, The TenyandPracteofEcoomen, Stand Eton, Wie, 1884 Danes: N. Gujrat Senger, Bese Eeoametits, Pou Emon, Tata Neral Pblting Canary Unt, 2007 es. Prajekand DL Rube eoronere Model ardecrami urea, Ta can, Mere Ne Yar, 181 Fo, H Soa S08 Eononares, rng, Dai, Secrd Ea, 199 Bat. Ht, Eeononet, ey, Ne Yor, 198 Fo. AS eidarge, econo Ten ey, New Yar, 1984 Bua, “Eeormeteeepleators nha, ted by k Lista, Ooo, New Dt, 1987 BRARARARASE Saw res #P© ‘Save the World od Please Do Not Print Unless NecessaryBIRLA INSTITUTE OF TECHNOLOGY AND SCIENCE, Pilani Pilani Camp us AUGS/ AGSR Division SECOND SEMESTER 2020-2021 Course Handout (Part I) Learning Outcome (6) ode | saning one . feterence Mote | eaning ovjectves | Lecture Session i | sucesst omit (Book) this part, student will be able to: spp enonecs 1 | Aiea xononeis | ection Soe aa Cvrge cnt 24 [Revencimporar | snp cnamutplevegesons crapers [cn 1,2,3 | Urdosans anderesss ne Concepts 1,2, and 3 (kim) (skim) ‘core underlying econometric model Dummy variables; Heteroskedasticity ch.4.7,¢ | nea (skim) Other Important Concepts will be reviewed from time to time. Analysis with Cross Section Data 57 | specteatonnt03#0 |p tonatom ooo choad | demoaeanudestrang t Issues specification, Class ‘modeling nonlinear regressions, Speciation and Data Problems Notes ‘misspecification and data issues sce htmcua chass : Glass Exrises & Discussion cies Regression Analysis with Time Series Data Base Tine Sefes | Tine sotes Data ar Tine Ses Potom ts connate Fegessen cdes | Rayesson aa draytorome sores, Fite Sane Peper OLS on cnto Factor Fom, Danny Vail ard Index Numbers ‘Serial Correlation and Ter rd Seasonty retacscdastety Tine Stes Furr ksuesin eg | sanrrty an Weal Dependent Tne als Sate gy Pest Te oss iy Pret Tne Sees cam | ty snssine oyrancaly Cong ee dawoyeosve agetedmovrg aver RIA mee oa HonestesttyAsungtonte Tine ausae ARIA) moss 2 sore Ms asain Seal Conaahon ar Seton | secon nd Hasta n vet? Tie sre, Tesigana Gnesi, OLS. |ch12 Te Sores aurels Tne srs weiss | Satanay ve tenaatoray see, | 1221 ARMA, GARCH, VAR, Cosmegraton, | 18S Granger causalty; Error Correction Models Save Paper, °° “Save the World. Please Do Not Print Unless NecessaryBIRLA INSTITUTE OF TECHNOLOGY AND SCIENCE, Pilani Pilani Campus AUGS/ AGSR Di SECOND SEMESTER 2020-2021 Course Handout (Part I) oe see t biseussk class n Chass Exercise & Discussion rae Advanced Time Series | irfinteDitiouted Lag Models, Testing Unit Understands the distoutediag syog | Concents Roots, Spurious Regessions, VAR, Co- | 4, 4g | motels; VAR and citer, integration, Granger causality, Eror ror conection madels Correction Modes, Forecasting a Class Exercise & Discussion lass Notes ther Topics: Poaling Crass Seetion | Panel Data Methods Diference-in- Construct, estimate and and Time Series Data__| Diferences estmatr, Fist Diference understands econometric models 28-20 Estimator, Fixed effects and random effects | ch 13.and_ | with pane data methods estimators; Iaividual Etects and Fired | 14 Efects Models; Balanced and Untetance Panel Data; ise & Discuss Chass ” Chass Exercise & Discussion Glass smate and Test 008 Instrumertal Variables | Endogenous regressos,simutanety, and Pe eiabloe wade 3234 | (V)Estmaton and Two. | instrumental Vales; Two Stage Least Jonas | Mstunerta art Siage Least Squares | Squares age least squares; ise & Discuss Chass % Chass Exercise & Discussion Glass Simutaneous Equations | Smutaneous Equations Models, Problems Confienty ciscuss the protlem of seas | Models of identcaion and estimation, | o, 4g | idetcaton, simutanety bas; Simutaneity Bias, Simutaneaus Equations ‘and simultaneous equation models Mosel wth Tine Series and Pane! Data related time series ara pane data Limited Dependent Construct, estimate and test Binary dependent ane Linear Probability 2 goo | Vaiable Models Toad Sessa aise Coutand | cn 17 [eterametic models wth ted tee oe pendent variables; logt and prob models Conclusion Overall Review of the Course - 6._Evaluation Scheme: EC No. | Evaluation Component Duration ‘Weightage | Date & Time Nature of pone * ‘Component 7 [ie Semester Test nin H lased 600K 2 | Moral Turia: THURSDAY-9 hr | Closed Book/ Open Glass Tests /QuizzesiCiass | 15min each 25 | Téatat THURSDAY S| Close Paxtipation 3 _[Cowse enprical Projet ——_[- 70__| Tobe announcedinihe cass | Closed Book 4 [Comprehensive Examination | 1207 35_ [106 FN Parly Open Book 7. Chamber Consultation hours: Wednesday 4.00-5.00 pm ‘Save Paper. °° “Save the World. Please Do Not Print Unless NecessaryBIRLA INSTITUTE OF TECHNOLOGY AND SCIENCE, Pilani Pilani Campus AUGS/ AGSR Division SECOND SEMESTER 2020-2021 Course Handout (Part I) &. Notices: Notices would be sent to students through course mail id. It will be also communicated through student group coordinator. 9. Make-up: Make-up may be given only on genuine grounds. Prior permission has to be obtained, 10. Other Course Policy Issues: E-mail address tor this course related information: numappliedeconometrics@mail com Course Class Coverage and details of specifi topics trom the chapter will be announced in the lass from time to tim. ‘Assignmert/Problem Sheets and Reacing Assignments willbe assigned periodical. For Reading Assignments, studerts are expected to consi the books or spectc course handout notes as advised inthe classroom ‘©The Empirical Project is @ group project in which students form teams of three @) members and work on a practical empiical topic using ‘modem econometric techniques. Further infomation and material onthe empirical project will be made avaiable a the course proceeds ‘Youare expected colt and analyze a deta set using the econometric methods. ‘No makeup examination will be given for class tests and quizzes. Class Participation is a must. Students are expected to attend ciass and to arrive on time and prepared. You should read the sections in the textoook we are going to coverin class prior tofallowing the lecture ‘© there are problems of any nature that concern the class of which | am unaware of and which need to be addressed, please fee free to ofscuss this wth me at any time. The main objectve isto foster an environment where people who are interested inthe subject ‘matter have the opportunty to asus their questons in a positve learning environment. ‘The Instructor in charge reserves the right to make adjustments to this syllabus. Any change will be notified at least one week In advance. But itis your responsibility to stay Informed if you do not attend all the classes. INSTRUCTORN-CHARGE ECON F342 Please Do Not Print Unless Necessary