The objective of this course is to help students understand standard econometric tools and how they can be used in empirical research and practical applications. The course will emphasize a number of important issues in Financial Econometrics and Macroeconometrics with the applications in RATS and STATA. The examples from Macroeconometrics include: the nature of Indian business cycle variables; the decomposition of a series into its temporary and permanent components; estimation of the demand for money; the estimation of structural VARs and estimation of cointegration. The examples from Financial Econometrics include: ARCH–GARCH models of volatility; tests of the term structure of interest rates; purchasing power parity; covered interest parity; and an examination of nonlinearities in financial data. At the end of this course students will obtain a thorough and complete understanding of major issues of time series analysis and will be able to conduct their own research. The prerequisite for this course is Mathematics of economics, Statistics for economics, and Econometrics I.
Prerequisite: ECO 5401 (Econometrics I)