SVKM’s NMIMS ASMSOC – Course Outline

Course Code 742EC0C006

Course Title Applied Econometrics
Course Dr. Boishampayan Chatterjee
Instructor/s
Course Credit 2
Program and B.Sc. Finance Semester - VI
Semester
Pre-Requisite None
Learning  Analysis and interpretation of data which is used in decision making
Objectives  Demonstrate the ability to develop models/frameworks to reflect
critically on specific business context

Learning CLO1: Understanding key statistical concepts used in quantitative

Outcomes modelling of business data analysis
CLO2: Understanding multiple regression concept and technique for cross
section and time series data
CLO3: Interpreting and analyzing regression results for business decision
problems
CLO4: Understanding model selection criteria
Course
Description In today’s global and business environment, anyone can access vast amount
of statistical information. The most successful decision makers should
understand the information and know how to use it effectively.
Econometrics teaches us to use statistical tools and techniques to derive,
analyze and infer on results that may be obtained through carefully
modeling the huge amount of information stored in data. Data analysis for
business decision purpose requires understanding of Econometrics. This
course will lay the foundation of data analysis and econometric modeling
that would help students to use quantitative techniques in business decision
problems.

Students taking this course will be skilled in using quantitative modelling of

business data. They will acquire the skill to use statistical software for
conducting regression analysis and predictive modelling, and interpret the
results to draw inference regarding various business decision problems.

Evaluation Specific Marks AOL Intended CLOs to be

Pattern Assessment Instrum Assessed
Methods / ents
Task
CLO CLO CLO CL
1* 2* 3 O4
Midterm 15 √ √ √ √
Project 10 √ √
End Term 25
 Course Session Plan

Session Topics / Module Chapters (Mention Page

Regression analysis with cross section
1 data
Linear regression model: Estimation and
Interpretation of results
Numbers) / Articles / Cases /
Material and Activities
Gujarati, D. (2014). Econometrics
by example. Palgrave Macmillan.
Chapter 1

Learning Outcome: Students will learn

the regression estimation procedure and
interpret regression results
2 Regression with Qualitative
explanatory variables (Dummy Gujarati, D. (2014). Econometrics
variable); Interpretation of Dummy by example. Palgrave Macmillan.
Variables in regression, Interaction Chapters 3
Dummies

Learning Outcome: Students will learn

the regression estimation procedure and
interpret regression results using
Dummy variables

3 Choice of Functional Form : Log Linear Gujarati, D. (2014). Econometrics

,Log-Log and Lin-Log regression by example. Palgrave Macmillan.
models Chapters 2

Learning Outcome: Students will learn

to interpret regression results from
different regression model
specifications
4 Specification Tests in TBA
Econometrics(BOXCOX
transformation)

Learning Outcome: Students will learn

regression model selection criteria
5 Specification Tests in TBA
Econometrics(BOXCOX
transformation)
Learning Outcome: Students will
learn regression model selection
criteria
6 Regression with qualitative Gujarati, D. (2014). Econometrics
dependent variable: Linear by example. Palgrave Macmillan.
Probability Model (LPM); Chapters 8
Learning Outcome: Students will learn
the regression estimation procedure and
interpret regression results with
qualitative dependent variable
7 Logit Model Gujarati, D. (2014). Econometrics
by example. Palgrave Macmillan.
Learning Outcome: Students will learn Chapters 8
the regression estimation procedure and
interpret regression results with
qualitative dependent variable

8 Pitfalls of Regression Gujarati, D. (2014). Econometrics

Consequence, Detection and Remedies: by example. Palgrave Macmillan.
Heteroskedasticity Chapters 5

Learning Outcome: Students will learn

to detect problems in regression
estimation and understand the remedies

9 Pitfalls of Regression Gujarati, D. (2014). Econometrics

Consequence, Detection and Remedies: by example. Palgrave Macmillan.
Multicollinearity Chapters 4
Learning Outcome: Students will learn
to detect problems in regression
estimation and understand the remedies

10 Pitfalls of Regression Gujarati, D. (2014). Econometrics

Consequence, Detection and Remedies: by example. Palgrave Macmillan.
Autocorrelation Chapters 6
Learning Outcome: Students will learn
to detect problems in regression
estimation and understand the remedies

11 Poisson regression model (PRM) Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
the regression estimation procedure and Chapters 12
interpret regression results with count
data

12 Poisson regression model (PRM) Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
the regression estimation procedure and Chapters 12
interpret regression results with count
data

13 Regression analysis with time Series Gujarati, D. (2014). Econometrics

data by example. Palgrave Macmillan.
Chapters 13
Introduction to time series data, Trend
Analysis,
Learning Outcome: Students will learn
some basic features of time series data

14 Stationary and Non-Stationary time series Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
 some basic features of time series data Chapters 13

15 Stationary and Non-Stationary time Gujarati, D. (2014). Econometrics

series, Tests of stationarity by example. Palgrave Macmillan.
Learning Outcome: Students will learn Chapters 13
some basic features of time series data

16 Tests of stationarity ;Random Walk Gujarati, D. (2014). Econometrics

Models by example. Palgrave Macmillan.
Learning Outcome: Students will learn Chapters 13
some basic features of time series data
and develop regression model

17 Cointegration and Error Correction Gujarati, D. (2014). Econometrics

Mechanism by example. Palgrave Macmillan.
Learning Outcome: Students will learn Chapters 14
the regression estimation procedure and
interpret regression results with
cointegrating time series data

18 Cointegration and Error Correction Gujarati, D. (2014). Econometrics

Mechanism by example. Palgrave Macmillan.
Learning Outcome: Students will learn Chapters 14
the regression estimation procedure and
interpret regression results with
cointegrating time series data

19 ARCH Model Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
the regression estimation procedure and Chapters 15
interpret regression results that
measures volatility in time series data

20 GARCH Model Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
the regression estimation procedure and Chapters 15
interpret regression results that
measures volatility in time series data

21 GARCH Model Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
the regression estimation procedure and Chapters 15
interpret regression results that
measures volatility in time series data

22 AR and MA models Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
the regression estimation procedure of Chapters 16
Autoregressive and Moving Average
models in time series
 23 ARIMA model
Learning Outcome: Students will learn
the regression estimation procedure of
ARIMA model and forecasting using
ARIMA model
Gujarati, D. (2014). Econometrics
by example. Palgrave Macmillan.
Chapters 16

24 ARIMA model Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
the regression estimation procedure of Chapters 16
ARIMA model and forecasting using
ARIMA model

25 Vector auto regression (VAR); Gujarati, D. (2014). Econometrics

Vector Error Correction Model by example. Palgrave Macmillan.
Learning Outcome: Students will learn Chapters 16
the regression estimation procedure of
vector auto regression

26 Granger- Causality test Gujarati, D. (2014). Econometrics

Learning Outcome: Students will learn by example. Palgrave Macmillan.
the concept of testing causality using Chapters 16
VAR

27 Project presentation
28 Project presentation
29 Project presentation
30 Project presentation
Software Requirement: MS Excel with Real Stat Add in

Reading Prescribed Text Books:

List and Gujarati, D. (2014). Econometrics by example. Palgrave Macmillan.
References
References:
Gujarati, D. N. (2009). Basic econometrics. Tata McGraw-Hill Education

Introductory Econometrics: A Modern Approach by Jeffrey M. Wooldridge

6th Edition

Prepared by Faculty Approved by Program Approved by Associate Deans

Members Chairperson
Boishampayan Chatterjee

Approved by I/C Dean –

ASM SOC