SH601: Econometrics

Course Code: SH601

Course Title: Econometrics

Level: Bachelor's / Master's

Instructor: Mr. Rahul

Intensive 6-week course

Course Details:

Comprehensive understanding of econometric methods

Foundational concepts: GLM, OLS

Advanced topics: heteroscedastic disturbances, multicollinearity, ridge regression, simultaneous equations models

Hands-on experience with estimation and prediction methods

Exploration of autocorrelation, instrumental variable estimation, lagged variables, distributed lag models

Advanced estimation methods: GLS, 2SLS, 3SLS, Full Information Maximum Likelihood 

Class Recordings are available till July'2025

Week 1: Introduction and Basics

Lecture 1: Introduction to Econometrics

Lecture 2: The General Linear Model (GLM)

Lecture 3: Ordinary Least Squares (OLS) Estimation

Lecture 4: Generalized Least Squares (GLS) Estimation

Lecture 5: OLS and GLS Prediction

Lecture 6: Heteroscedastic Disturbances

Lecture 7: Pure and Mixed Estimation 

Week 2: Advanced Concepts

Lecture 8: Autocorrelation

Lecture 9: Theil BLUS Procedure

Lecture 10: Multicollinearity Problem

Lecture 11: Ridge Regression

Lecture 12: Linear Regression vs. Stochastic Regression

Lecture 13: Instrumental Variable Estimation

Lecture 14: Review and Practice 

Week 3: Advanced Models and Techniques

Lecture 15: Autoregressive Linear Regression

Lecture 16: Lagged Variables and Distributed Lag Models

Lecture 17: Koyck’s Geometric Lag Model

Lecture 18: Simultaneous Linear Equations Model

Lecture 19: Rank and Order Conditions

Lecture 20: Recursive Systems and 2SLS Estimators

Lecture 21: Review and Practice 

Week 4: Advanced Estimation Methods

Lecture 22: Limited Information Estimators

Lecture 23: k-class Estimators

Lecture 24: 3SLS Estimator

Lecture 25: Full Information Maximum Likelihood Method

Lecture 26: Prediction in Simultaneous Equations Models

Lecture 27: Simultaneous Confidence Intervals

Lecture 28: Final Review and Assessment 

Week 5: Assessment

Monday: Test 1

Wednesday: Test 2

Friday: Test 3

Sunday: Discussion

Week 6: Assessment

Monday: Test 4

Wednesday: Test 5

Friday: Test 6

Sunday: Discussion