BIRLA INSTITUTE OF TECHNOLOGY AND SCIENCE, Pilani

Pilani Campus
INSTRUCTION DIVISION
SECOND SEMESTER 2017-2018
Course Handout (Part II)

08/01/2018
In addition to part-I (General Handout for all courses appended to the timetable) this portion gives further specific details
regarding the course

Course No. : ECON F342

Course Title : APPLIED ECONOMETRICS
Instructor-in-Charge : N.V. MURALIDHAR RAO

1. Course Description:
This course provides an introduction to advanced estimation and econometric techniques of analysis, with 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
specification, estimation, and inference in the context of models that include then extend beyond the standard linear multiple
regression frameworks.
Multiple regression analysis; analysis of generalized linear and nonlinear models; instrumental variables; maximum likelihood,
generalized method of moments (GMM), and two step estimation methods; simultaneous equation models; time series processes;
identification and estimation of time series models; techniques for assessing model fit; forecasting; time series analysis and models of
expectations; univariate time series analysis, stationary vs. non-stationary series; ARIMA, GARCH, VAR, co-integration, granger
causality, error correction and limited dependent variable models; auto regressive distributed lagged variable models multivariate time
series analysis; dynamic models; analysis of panel data, balanced and unbalanced panel data, mixed, fixed and random effect
models.

2. Scope and objective of the course:

This is a course in applied econometrics, emphasizing the implementation of econometric techniques to analyze concrete economic
problems, using data and econometric software. Though not a theoretical course, we will introduce some basic theory and concepts to
motivate 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 learn 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 data to build, estimate and interpret their own
econometric models for concrete economic and financial problems.
3. Text Book (TB):
Introductory Econometrics- A Modern Approach by J Wooldridge, 5th Edition (ISBN No. 9788131516737), South Western Cengage
Learning
References:
R1. Ramu Ramanathan, Introductory Econometrics with Applications, Fifth Edition, S-W Cengage Learning, Indian Edition 2008
R2. James H. Stock and Mark W. Watson, Introduction to Econometrics, Second Edition, Pearson Addison-Wesley, 2007
R3. Greene, W., Econometric Analysis, 7th Edition, Prentice Hall, 2011
R4. Jack Johnston and John Dinardo, Econometric Methods, Fourth Edition, McGraw-Hill, 1997.
R5. Intriligator, Bodkin and Hsiao, Econometric Models, Techniques, and Applications, Second Edition, Prentice Hall, 1996.
R6. G.S. Maddala, Introduction to Econometrics, Second Edition, MacMillan, 1992
R7. Judge et al., The Theory and Practice of Econometrics, Second Edition, Wiley, 1994
R8. Damodar. N. Gujarati and Sangeetha, Basic Econometrics, Fourth Edition, Tata McGraw-Hill Publishing Company Limited, 2007
R9. R. S. Pindyck and D.L. Rubinfeld , Econometric Models and Economic Forecasts, Third Edition, McGraw-Hill: New York, 1991
R10. H. Baltagi Badi, Econometrics, Springer, Delhi, Second Edition, 1999
R11. H. Theil, Econometrics, Wiley, New York, 1968.
R12. A. S. Goldberger, Econometric Theory, Wiley, New York, 1964.
R13. “Econometric Applications in India”, Edited by K L Krishna, Oxford, New Delhi, 1997.

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 BIRLA INSTITUTE OF TECHNOLOGY AND SCIENCE, Pilani
Pilani Campus
INSTRUCTION DIVISION
SECOND SEMESTER 2017-2018
Course Handout (Part II)

4. Course Plan:
Learning Outcome (s)
Lecture Reference
Learning Objectives Topics to be covered on successful completion of this
No. (Book)
module, student will be able to:
Introduction to Applied
Econometrics Introduction:
1
Overview of the Scope and Coverage Ch.1
course.
Review of Econometric Methods:
Simple Regression Ch. 1, 2, 3 Understands and expresses the
Model : Estimation and Simple Regression Model; The General and 4 core underlying econometric model
Analysis Linear Model Ch. 5, 6, 7, principals; Derive estimators for
Multiple Regression Violating the Assumptions of the GLM, and 8 linear and multiple regression and
Model : Estimation and Alternate Functional Forms; Multiple Important show their properties; Derive
2-6
Inference Regression: Motivation, Mechanics and Concepts appropriate tests for the underlying
Multiple Regression: Interpretation; Omitted Variable Bias, will be assumptions of the general linear
Further Issues Multicollinearity, Dummy Variables; reviewed model and demonstrate how to
Heteroscedasticity; Autocorrelation from time correct for violations of these
to time. assumptions;
Analysis with Cross Section and Time Series Data:
Specification and Data Modeling Nonlinear Regression Functions, Ch. 9 and Demonstrate an understanding of
7-9 Issues Functional form Misspecification, Class modeling nonlinear regressions,
Specification and Data Problems Notes misspecification and data issues
Class
10 Class Exercises & Discussion
Notes
Regression Analysis Issues in Using Cross Section and Time Perform basic econometric
with Time Series Data Series Data analysis for time series data;
Serial Correlation and Heteroscedasticity Identify and estimate
with Time Series Regressions; Testing and autoregressive integrated moving
Corrections; average (ARIMA) models and
Functional Form, Dummy Variables, Ch. 10, 11 obtain forecasts of economic
11-17 Univariate Time Series Analysis, and 12 variables.
Multivariate Time Series, Serial Correlation
Testing
Stationary vs. Non-stationary Series,
ARIMA, GARCH, VAR, Co-integration,
Granger causality
Error Correction Models
Advanced Time Series Infinite Distributed Lag Models, Testing Unit Understands the distributed lag
Concepts Roots, Spurious Regressions, VAR, Co- models; VAR and cointegration,
18 -21 Ch. 18
integration, Granger causality error correction models
Error Correction Models, Forecasting
Class
22 Class Exercises & Discussion
Notes
Other Topics:
Pooling Cross Section Panel Data Methods Construct, estimate and
and Time Series Data Individual Effects and Fixed Effects Models Ch 13 and understands econometric models
23-25
Balanced and Unbalance Panel Data 14 with panel data methods
The Correlated Random Effects Approach
Class
26 Class Exercises & Discussion
Notes

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 BIRLA INSTITUTE OF TECHNOLOGY AND SCIENCE, Pilani
Pilani Campus
INSTRUCTION DIVISION
SECOND SEMESTER 2017-2018
Course Handout (Part II)

Instrumental Variables The IV with a Single Regressor Estimate and test models using
(IV) Estimation and The General IV Regression Model; Two instrumental variables and two
27-29 Two Stage Least Stage Least Squares, 2SLS to Time series Ch.15 stage least squares;
Squares and to Pooled Cross Sections and Panel
Data
Class
30 Class Exercises & Discussion
Notes
Simultaneous Simultaneous Equations Models, Problems Confidently discuss the problem of
Equations Models of identification and estimation, identification, simultaneity bias;
31-34 Ch .16
Simultaneity Bias, Simultaneous Equations and simultaneous equation models
Models with Time Series and Panel Data related time series and panel data
Class
35 Class Exercises & Discussion
Notes
Limited Dependent Binary dependent and Linear Probability Construct, estimate and test
Variable Models Model; econometric models with limited
36-39 Ch. 17
Probit and Logit Models; Count and Censor dependent variables; logit and
Data probit models
40 Conclusion Overall Review of the Course -

5. Evaluation Scheme:
Nature of
EC No. Evaluation Component Duration Weightage Date & Time
Component
1 Mid Semester Test 90 min 30 5/3 9:00 - 10:30 AM Closed Book
2 Class Tests /Quizzes/Class
15 min each 12 To be announced in the class Closed Book
Participation & Presentations
3 Course Empirical Project - 08 To be announced in the class Closed Book
4 Tutorials / Problem Sheets 15 Thursday – 9.00-9.50am Open/Closed Book
5 Comprehensive Examination 180 min 35 1/5 FN Partly Open Book

6. Chamber Consultation hours: Tuesday 4.00-5.00 pm

7. Notices: Notices would be displayed on DEPARTMENT OF ECONOMICS & FINANCE Notice Board
8. Make-up: Make-up may be given only on genuine grounds. Prior permission has to be obtained.
9. Other Course Policy Issues:
 E-mail address for this course related information: [email protected].
 Course Class Coverage and details of specific topics from the chapter will be announced in the class from time to time.
 Assignment/Problem Sheets and Reading Assignments will be assigned periodically. For Reading Assignments, students are expected to
consult the books or specific course handout notes as advised in the classroom.
 The Empirical Project is a group project in which students form teams of three (3) members and work on a practical empirical topic using
modern econometric techniques. Further information and material on the empirical project will be made available as the course proceeds.
You are expected to collect and analyze a data 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 class and to arrive on time and prepared. You should read the sections in the textbook we are going
to cover in class prior to following the lecture.
 If there are problems of any nature that concern the class of which I am unaware of and which need to be addressed, please feel free
to discuss this with me at any time. The main objective is to foster an environment where people who are interested in the subject
matter have the opportunity to discuss their questions in a positive 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 it is your responsibility to stay informed if you do not attend all the classes.

INSTRUCTOR-IN-CHARGE
ECON F342
_

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