UNIVERSITY OF DELHI
DELHI SCHOOL OF ECONOMICS
DEPARTMENT OF ECONOMICS
Minutes of Meeting
Subject : B.A. (Hons) Economics– (CBCS) Fifth Semester (2017) DSEC
Course : ii) Applied Econometrics
Date of Meeting : 8th May, 2017
Venue : Department of Economics, Delhi School of Economics,
University of Delhi
Chair : Prof. Pami Dua
Attended by:
Sr. No. Name of the Teacher College
1 Padma Suresh Sri Venkateshwara College
2 Arun Kumar Kaushal Shaheed Bhagat Singh
3 Vandana Tulsyan Dyal Singh
4 Neelam singh Lady Shri Ram College
5 Madhvi Moni Hans Raj College
6 Deepika Goel Aryabhatta College
7 Shilpa Chaudhary Janki Deve Memorial College
8 Dushyant Chawla Shyam Lal College (Evening)
9 Shweta Nanda Atma Ram Sanathan Dharam
10 Indu Choudhary Kalindi College
11 Poonam Kalra St. Stephen’s College
1. It was decided that for the academic session 2016-17, the main textbook would continue
to be Basic Econometrics by Gujarati, Porter and Gunasekar(2012) supplemented by
Wooldridge(2014) for selected topics. For applications using software, Econometrics by
Example by Gujarati (2014) would be the recommended text.
2. It was also decided that in Section II.1 i.e. The Matrix Approach to Linear Regression
Model, the entire Appendix C in Gujarati and Porter (2012), 5th edition (International)
would be included in the reading list.
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3. Teachers are advised to use the following textbook for reference in the Applied
Econometrics course in the BA(Hons) Semester batch of 2016-17:
Asteriou, D and Hall, Stephen G, Applied Econometrics, 3rd Edition, 2015,
Palgrave Macmillan.
4. The Applied Econometrics course must orient students to do a research project and get
hands on experience with appropriate software (GRETL/EViews/ R/Stata/EXCEL). This
would form part of the Internal Assessment.
5. It is to be noted that the topics on Dummy Variable and Specification error, which were
deemphasized in the course on Introductory Econometrics in the fourth semester, would
be covered in detail in this paper. However it was suggested that these topics may be
shifted back to that course for the next round of fourth semester.
The details of the Syllabus, Topic-wise Reading list, recommended text books and
Student Assessment summary are attached.
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SYLLABUS
I. Stages in Empirical Econometric Research
II. The Linear Regression Model: Estimation, Specification and Diagnostic Testing
i. The Matrix Approach to Linear Regression Model: The k- variable regression
model, Assumptions of the Classical Linear Regression Model, OLS
estimation, Variance-Covariance Matrix, Coefficient of Determination R2.
ii. Review of Functional forms and Qualitative explanatory variable regression
models
iii. Regression Diagnostics
a. Detection of and remedial measures for Multicollinearity,
Autocorrelation and Heteroscedasticity.
b. Model Selection and Diagnostic Testing
1. Tests of Specification errors: Detecting the presence of unnecessary
variables, omitted variables and incorrect functional form ( Ramsey
RESET and Lagrange Multiplier Test for Adding Variables)
2. Errors of measurement: Consequences and remedial measures
3. Model Selection Criteria: R2 and Adjusted R2 criteria, Akaike’s
Information Criterion and Schwarz’s Information Criterion.
4. Additional topics in modelling (Outliers, Leverage, Influence;
Recursive least Squares; Chow’s Prediction Failure Test; Missing
Data)
5. Non-normal errors and stochastic regressors
III. Advanced Topics in Regression Analysis
i. Dynamic Econometric Models
a. Distributed Lag Models: Nature of lagged phenomena, Estimation using
Koyck transformation (The Adaptive Expectations and Partial Adjustment
Models)
b. Estimation of Autoregressive Models
ii. Instrumental Variable Estimation
a. Omitted variables in a simple regression model
b. Measurement errors
IV. Panel Data Models and Estimation techniques
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The Pooled OLS Regression Model, the Fixed Effect Least Squares Dummy Variable
Model, the Fixed Effect within Group Estimator, the Random Effects Model.
V. Introduction to Econometric Software (GRETL/ EViews/ R /Stata/ EXCEL: ANY
ONE)
i. Generation of data sets and data transformation; data analysis (Graphs and
Plots, Summary Statistics, Correlation Matrix etc.)
ii. Running an OLS regression; Testing for Linear Restrictions and Parameter
Stability.
iii. Regression Diagnostics: Collinearity, Autocorrelation, Heteroscedasticity,
Normality of residuals
iv. Estimation of Other Linear Models: Weighted Least squares, Cochran-Orcutt/
Hildreth-Lu/ Prais-Winsten etc.
v. Model Selection Criteria (AIC, SIC) and Tests (Adding and Omitting
Variables, Non Linearities: Squares, Cubes and Logs, Ramsey’s RESET
test)
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Topic-wise reading list
REFERENCES FROM
S.No. TOPIC RECOMMENDED TEXT
BOOKS
I. Stages in Empirical Econometric Chapter 1, Introduction, Section 1.3:
Research ‘Methodology of Econometrics’ in
Gujarati, Porter and Gunasekar,
Basic Econometrics, 5th ed.
II.i. The Matrix Approach to Linear Appendix-C: ‘The Matrix Approach
Regression Model to Linear Regression Model’ in
Gujarati and Porter, Basic
Econometrics, International 5th ed.
II.ii. Review of Functional forms and Chapter 2 ‘Functional Forms of
Qualitative explanatory variable Regression Models’
regression models Chapter 3 ‘Qualitative Explanatory
Variables Regression Models in
Gujarati, Econometrics by Example.
Chapter 6: ‘Dummy Variable
Regression Models’ in Essentials of
Econometrics, Gujarati and Porter,
4th edition (excluding 6.7).
Chapter 5: ‘Dummy Variables’ in
Introduction to Econometrics,
Christopher Dougherty, 4th edition.
II.iii.a Regression Diagnostics: Detection of, Chapter 4 ‘Regression Diagnostic I:
and remedial measures for Multicollinearity’,
Multicollinearity, Chapter 5 ‘Regression Diagnostic II:
Autocorrelation Heteroscedasticity Heteroscedasticity’
Chapter 6 ‘Regression Diagnostic
III: Autocorrelation in Gujarati,
Econometrics By Example
II.iii.b Regression Diagnostics: Model Selection Chapter 13 ‘Econometric Modeling:
Model Specification and Diagnostic
Testing’, Section13.1-13.5 and 13.9-
13.12 in Gujarati, Porter and
Gunasekar, Basic Econometrics.
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III.a. Advanced Topics in Regression Analysis: Chapter 17 ‘Dynamic Econometric
Dynamic Econometric Models Models: Autoregressive and
Distributed-Lag Models’ in Gujarati,
Porter and Gunasekar, Basic
Econometrics.(except 17.9 and 17.13)
III.b. Advanced Topics in Regression Analysis: Chapter 15 ‘Instrumental Variable
Instrumental Variable Estimation, Estimation and Two Stage Least
Simultaneous Equations Model Squares’, Section 15.1, 15.2 and 15.4
in Wooldridge, Introductory
Econometrics.
Chapter 18 ‘Simultaneous Equation
Models’ in Gujarati, Porter and
Gunasekar, Basic Econometrics.
IV. Panel Data Models and Estimation Chapter 16 ‘Panel Data Regression
Techniques Models’ in Gujarati, Porter and
Gunasekar, Basic Econometrics
V. Introduction to Econometric Software Chapter 19 ‘Carrying Out an
Empirical Project’, in Wooldridge,
Econometrics.
Relevant Instruction Manual for the
Software
Recommended textbooks
1. D. N. Gujarati, D.C. Porter and Sangeetha Gunasekar, Basic Econometrics, 5th edition,
McGraw Hill, 2012 Indian edition.
2. D. N. Gujarati and D.C. Porter, Basic Econometrics, 5th edition, McGraw Hill, 2012
International edition. (This text book is required only for Topic II i. - The Matrix
Approach to Linear Regression Model. Readers can also refer to Gujarati and Sangeetha,
Basic Econometrics, 4th edition, McGraw Hill, 2009 Indian reprint. Relevant sections to
be studied are same in both text books).
3. Damodar Gujarati, Econometrics by Example, 2nd edition, Palgrave Macmillan, 2014.
4. Jeffrey M. Wooldridge, Introduction to Econometrics: A Modern Approach, 5th Edition,
Cengage Learning, 2014.
5. D. N. Gujarati and D.C.Porter, Essentials of Econometrics, 4th Edition, McGraw Hill
International Edition, 2010.
6. Christopher Dougherty, Introduction to Econometrics, 4th edition, OUP, Indian edition,
2011.
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Student Assessment Summary
Students will have to pass the end-semester exam and the total of the internal assessment and
end-semester exam as per university rules to clear the paper.
The end-semester final examination will be of 75 marks. The question paper will consist of seven
questions of 15 marks each from Topics I, II, III and IV only. Students will have to answer any
five questions.
The software skills of the students will be tested by the teachers during internal assessment and
not in the end-semester final exam. The paper setting committee should take a note of this.
Internal assessment will be of 25 marks, divided further as follows:
1. Attendance: 5 marks
2. Class Test/ Assignment: 10 marks
3. Empirical project using the econometric software learnt: 10 marks. (Projects can be done
in groups of 2 or 3)
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