Course Outline- Applied Econometrics

School of Social Sciences & Humanities (S 3 H),

National University of Sciences & Technology , Islamabad

Credit Units:

3 Units

Pre-Requisite:

Econometrics- I & II

Instructor:

Tanweer Ul Islam, PhD

Office: Room # 206, First Floor, NBS Faculty Block
Phone: +92-51-90853269; Email:

Office Hours:

tanweer@s3h.nust.edu.pk

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Course Description
Economic decision making and the development of economic theory rely heavily on input from
empirical analysis. Conversely, applied econometric research is guided by the relevant economic
theory and needs of the user of the analyses. This course is primarily concerned with the
application of econometrics and is designed to cater for students with potentially different
academic backgrounds.
General principles or guidelines for undertaking applied work will be discussed. In particular, we
stress careful data analysis, the need to evaluate estimated models and the importance of the links
between econometric models and the underlying substantive knowledge or theory associated
with the particular application. A major feature of the course is the computer-based exercises
which will enable students to obtain considerable practical experience in analyzing real
economic data and a variety of econometric problems.
Objectives
Provide students with experience in analyzing cross sectional and time series data.
Make students aware of some of the pitfalls and problems that arise in applied work.
Make students aware of guidelines for using econometric models and tools effectively.
Assist students to become better at evaluating the econometric research of others.

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Text Books:
Asteriou, D., & Hall, S. G. (2007). Applied Econometrics. New York: PALGRAVE
MACMILLAN.

Wooldrige, J. M. (2009). Introductory Econometrics- A Modern Approach (3rd ed.).

South-Western Cengage Learning.

COURSE CONTENTS:
All the course contents will be taught with focus on lab work.
Revision of Multiple Linear Regression Models
Dummy Variable Regression Models
o Dummy Variable as an Alternative to Chow Test
o Interaction Dummy Variables
o Seasonal Dummy Variables
o Piece-Wise Regression
Qualitative Response Models
o Linear Probability Model;
o Logit Model & Probit Model
Estimating the Simultaneous Equation Model
o Identification in Two-Equation System
o Estimation by 2SLS
Panel Data Regression Models
o The Fixed-Effect Models & The Random-Effect Models
o The Hausman Test
Introduction to Time Series
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(week 1)
(week 2 & 3)

(week 4)

(week 5 & 6)

(week 7 & 8)

(week 9-12)

Stochastic processes
Stationary & Non-Stationary processes
Purely random processes
Random walk models
Deterministic and stochastic trends
Unit root tests
Transforming Non-Stationary Time Series
Integrated variables
Co-Integration
Testing for Co-Integration
EngleGranger (EG) or Augmented EngleGranger (AEG) Test
Co-Integrating Regression DurbinWatson (CRDW) Test
Co-Integration and Error Correction Mechanism (ECM)
AR, MA, And ARMA Modeling of Time Series Data
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o The BoxJenkins (BJ) Methodology

o The Granger-Causality
Dynamic Econometric Models
o Estimation of Distributed Lag Models
o The Kyock Approach to Distributed Lag Models
o Estimation of Autoregressive Models
o The Method of Instrumental Variables
Revision

(week 13-15)

(week 16)

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