Shalabh
shalab@iitk.ac.in
shalabh1@yahoo.com
Department of Mathematics & Statistics
Indian Institute of Technology Kanpur, Kanpur - 208016 (India)

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MTH 676A : Econometric Theory

Course contents:

Brief review of topics in Multiple Linear Regression Analysis; Forecasting, Econometric tests on Heteroscedasticity and Autocorrelation; Restricted Regression; Errors in Variables; Functional Form and Structural Change; Stochastic Regression; Instrumental Variable (IV) Estimation; Large Sample Properties of Least Square and IV estimators; Panel Data Models; Systems of Regression Equations- Seemingly Unrelated Regression  Equations (SURE) & Multivariate Multiple Linear Regression; Simultaneous Equation Models- Structural and Reduced forms, Rank and Order conditions for Identifiability, Indirect Least Squares, 2-stage Least Squares and Limited Information Maximum  Likelihood methods of estimation, k-class estimators and Full Information Maximum  Likelihood Estimation; Models with lagged variables- Autoregressive Distributed Lag (ARDL) Models and Vector Autoregressive (VAR) Models

Books:

1. Greene, William: Econometric Analysis, Prentice Hall, Sixth Condition, 2008.

2.  Judge, G.G. Griffiths, R.C. Hill, T. Lee and H. Lutkepohl: The Theory and Practice of Econometrics, John Wiley, 1985.

3.  Maddala, G.S.: Introduction to Econometrics, Third edition, John Wiley, 2002.

4.  Johnston, J and DiNardo,J.: Econometric Methods, Fourth edition, McGraw Hill, 1997.

5.  Gujrati, Damodar : Basic Econometrics, Mcgraw Hill 2003

6.  Woolridge, J.M.: Introductory Econometrics- A Modern Approach, South-Western College, Publications, 2002.

7.  Baltagi, Badi H: Econometrics, Second edition, Springer-Verlag, 1999.

8.  Theil, Henry: Principles of Econometrics, John Wiley, 1971.

9.  Ullah, A. and H.D. Vinod: Recent Advances in Regression Models, Marcel Dekker, 1981.

Grading scheme: Quiz- 30%, Mid-semester examination- 30%, End semester examination- 40%

Assignments:

Assignment 1

Assignment 2

Assignment 3

Assignment 4 : 

Assignment 5

Assignment 6

Assignment 7

Lecture notes for your help (If you find any typo, please let me know)

Lecture Notes 1 : Introduction to Econometrics

Lecture Notes 2 : Simple Linear Regression Analysis

Lecture Notes 3 : Multiple Linear Regression Model

Lecture Notes 4 : Prediction in Linear Regression Models

Lecture Notes 5 : Generalized and Weighted Least Squares Estimation

Lecture Notes 6  : Regression Analysis Under Linear Restrictions

Lecture Notes 7  : Multicollinearity

Lecture Notes 8  : Heteroskedasticity

Lecture Notes 9  : Autocorrelation

Lecture Notes 10  : Dummy Variable Models

Lecture Notes 11  :  Specification Error Analysis

Lecture Notes 12  : Tests for Structural Change and Stability

Lecture Notes 13  : Asymptotic Theory and Stochastic Regressors

Lecture Notes 14  : Stein-Rule Estimation

Lecture Notes 15  :  Instrumental Variables Estimation

Lecture Notes 16  : Measurement Error Models

Lecture Notes 17  : Simultaneous Equations Models

Lecture Notes 18  : Seemingly Unrelated Regression Equations Models