| Tamil Nadu Public Service Commission (TNPSC)
Syllabus
Post Graduate Degree Standard
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Econometrics - (Code - 149)Unit - I : IntroductionDefinition - Scope and Goals of Econometrics –– Methodology of Econometric Research. Unit - II : Single Equation Regression Models |
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Simple And Multiple Linear Regression Models, Assumptions – Derivation of OLS estimators – Properties – Test of goodness of fit (R2 & 2) – Test of significance – Confidence intervals – Testing the overall significance of a regression – Analysis of Variance – Applications in demand and production analysis with time series, cross section, pooled and panel data. Unit - III : Violation Of Ols AssumptionsAutocorrelation, Multicollinearity and Hetroscedasticity – Definition – Source - Consequences – Detection – Solution. Unit - IV : Dummy VariableDummy variable – Definition - Uses – Dummy variable trap – Estimation - Inference – Applications. Unit - V : Distributed Lag ModelDefinition - Koyck model - Partial adjustment model - Adaptive expectation model – Estimation – Inference - Applications. Unit - VI : Limited Dependent Variable ModelsLogit - Probit - Tobit models – Estimation – Inference. Unit - VII : Simultaneous Equation ModelsSimultaneous equation bias- Structural, reduced form and recursive models – Identification – ILS, Instrumental variable and Two SLS methods of estimation. Unit - VIII : Time Series EconometricsStationary and non stationary time series – Purely random process – MA process – AR process – ARMA Process - ARIMA – Estimation of AR, MA, ARMA, and ARIMA models. Unit - IX : Vector Auto RegressionVAR - Unit root tests – D.F. test – Co-integration – Error correction models Box Jenkins approach - Forecasting using BJ method Unit - X : Econometric ApplicationsAgriculture – Industry – Monetary Economics – Financial markets |
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