# Econometric Modelling

IIT Kharagpur, , Prof. Rudra P. Pradhan

IIT Kharagpur, , Prof. Rudra P. Pradhan

The objective of this course is to present a comprehensive tools and techniques for managerial decision making including problem of cost estimation, market size determination, sales projection, stock price prediction, etc.

It has two parts. First part deals with regression-based modeling, which captures the behavior of variable through a structural model based on theory.

The second part deals with time series modeling, which concentrates on the dynamic characteristics of economic and financial data. The tentative subject outline is described below.

Contents

What is Econometrics? Difference between Econometrics, Mathematics and Statistics, Basics of Model Building, Basics of Business Forecasting, Univariate Statistics, Bivariate Statistics, Probability and Hypothesis Testing.

Bivariate Econometric Modelling, Trivariate Econometric Modelling, Multivariate Econometric Modelling, Multicolinearity, Serial Correlation, Heteroskedasticity, DG Test, Dummy Variable Econometric Modelling.

Panel Data Modelling, Lag Modelling, Identification Problem, Structural Equation Modelling, Basics of Time Series, Box- Jenkins Methods, Error Measurements, Univariate Time Series Modelling.

Unit Root Test, Cointegration Test, Causality Test, VECM, ARM, MAM, ARIMA, ARCH, GARCH, EGARCH, TGARCH.

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Econometric Modelling by Dr. Rudra P. Pradhan, Department of Management, IIT Kharagpur. For more details on NPTEL visit httpnptel.iitm.ac.in

Sam

Sep 12, 2018

Excellent course helped me understand topic that i couldn't while attendinfg my college.

Dembe

March 29, 2019

Great course. Thank you very much.