Course No:           Act 671

Course Name:      Econometrics - 1

Course Description:      

a) Basic concepts of Econometrics. General linear Statistical models. Least Squares Maximum Likelihood method of estimation. Point and interval estimation. Statistical properties of estimation. Prediction and Degree of explanation. Restricted Maximum Likelihood Estimation.

b) Non linear Regression Model: Nonlinear least squares and non linear maximum likelihood estimation. Functional Form; Box-cox transformation. Estimation of Cobb-Douglas and CES production function. Newton-Raphson Algorithm.

c) Statistical Model Selection: Model specification. Some variable selection rules; R2, CP, AIC, SC, and unconditional mean squared error criteria.

d) Dummy Variables and varying parameters models: Use of dummy variables in   estimation, testing for a change in the location vector.

Course Review:

This course is the backbone for financial modeling. It covers the basic concepts of econometrics, non-linear regression models, statistical model selection and Dummy Variables and varying parameters and various models are also studied as part of the course.