IIT Madras – Humanities and Social Sciences

Department of Humanities & Social Sciences

Indian Institute of Technology Madras

Econometrics (new course)

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This course is intended to provide an introduction to the theory and application of econometric analysis. It introduces the linear regression models and discusses estimation and testing under ideal assumption. The course will help students analyze implications of violation of assumptions, and also provides alternative regression techniques.Simple linear regression model and conditional mean functions – Ordinary Least Squares (OLS) and its properties – Multiple Regressions – Interpreting Multiple Regression Coefficients – Hypothesis Testing & Confidence Interval – Interpretation of coefficient under common transformations – Dummy (Indicator) Variables and interactions Heteroskedasticity, Multicollinearity Autocorrelation – Multiple Regression Analysis with Qualitative Information Specification and Data Problems – Introduction to Time Series Analysis

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