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Home / Syllabus / Master of Commerce (M.Com.) / Business Economics / Semester 4 / Advanced Econometrics and Applications

Master of Commerce (M.Com.) Advanced Econometrics and Applications Syllabus - Mumbai University

Advanced Econometrics and Applications Syllabus.pdf
Elective course · Semester 4 · M.Com. Business Economics · 4 credits

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Syllabus for Advanced Econometrics and Applications

Elective course · Semester 4 · M.Com. Business Economics · 4 credits

Module I: Basic of Econometrics and Generalized Linear Models (2 Credits)

  • Unit 1 Review of Basic Econometrics
  • Overview of linear regression models: Assumptions and diagnostic testing
  • Handling of multicollinearity, heteroskedasticity and autocorrelation
  • Review of hypothesis testing and confidence intervals
  • Unit 2 Generalized Linear Models (GLMs)
  • Introduction to GLMs: Concepts and applications
  • Logistic regression, probit models, and their applications in economics, finance and commerce
  • Poisson regression models for count data

Module II: Time Series and Panel Data Econometric (2 Credits)

  • Unit 3 Time Series Econometrics
  • ARIMA models: Identification, estimation, and forecasting - Stationarity and unit root testing.
  • ARCH/GARCH models for volatility analysis.
  • Cointegration and error correction models.
  • Unit 4 Panel Data Econometrics
  • Introduction to panel data: Structure and benefits. - Fixed effects and random effects models
  • Dynamic panel data models: GMM estimators
  • Application to project based real-world case study in economics, finance and commerce Suggestive Reference:
  • 1 Gujarati, D. N., & Porter, D. C. (2009). Basic Econometrics.
  • 2 Enders, W. (2014). Applied Econometric Time Series (4th Edition).
  • 3 Wooldridge, J. M. (2016). Introductory Econometrics: A Modern Approach (6th Edition).
  • 4 Tsay, R. S. (2010). Analysis of Financial Time Series (3rd Edition).
  • 5 Greene, W. H. (2018). Econometric Analysis (8th Edition).
  • 6 Baltagi, B. H. (2021). Econometric Analysis of Panel Data (6th Edition).
  • Internal Examination
  • Internal: 50 marks for (4 credit)
  • 25marks for (2 credit)
  • 50 or 25 marks can be divided into following.
  • Quiz/ Assignment and paper presentation /Class Test / Project Presentation
  • Semester End Examination Question Paper Pattern
  • Max. Marks: 50 Max. Time: 2 Hours
  • All the questions are COMPULSORY Q.1 Attempt any 1 question: (a) (10) (b) (10) Q.2 Attempt any 1 question: (a) (10) (b) (10) Q.3 Attempt any 1 question: (a) (10) (b) (10) Q.4 Attempt any 1 question: (a) (10) (b) (10) Q.5 Write explanatory notes on any two: (05 Marks Each) (10) (a) (b) (c) (d)
  • Semester End Examination Question Paper Pattern
  • Max. Marks: 25 Max. Time: 1 hour
  • All the questions are COMPULSORY Q.1 Attempt any 1 question:
  • Q.1 Attempt any 1 question: (a) (10)
  • (b) (10)
  • Q.2 Attempt any 1 question: (a) (10)
  • (b) (10)
  • Q.5 Write explanatory notes on any two: (05 Marks) (05)
  • (a)
  • (b) Letter Grades and Grade Points:

Reproduced from the University of Mumbai syllabus for M.Com. (Business Economics) under NEP 2020, in force from the academic year 2023-24. Wording is as printed in that syllabus. Module numbering is as printed there too.

The complete syllabus

This subject is cut from the University circular for its specialisation. Open a document here if you want the whole thing rather than a single subject.

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