Rohit Aggarwal

December 31, 2006

My journey to learn Econometrics

Filed under: Econometrics,Research — Rohit Aggarwal @ 6:13 pm

I took my first course in Econometrics in Fall 2005 from Gautam Tripathi. At that point I had taken only one course in statistics and was never exposed to econometric modelling before. Gautam’s class was challenging for me not because I was unable to understand the stat part but because I was not able to visualize the real world significance. I was not able to grasp the intuition behind the different estimation methods, their assumptions, their application etc. I think, it would have helped if I could have spent time reading econometric books, but I had too many other things going on. So when I was done with my comprehensives, I decided to read some econometrics.

Phase 1: I first started with “Basic Econometrics by Gujarati”. It is an undergrad level book but it explain many things in plain English and this helps to generate some intuition. Besides Gujarati, I also read some parts of “Introductory Econometrics by Wooldridge”.

Phase 2: After finishing Gujarati cover to cover, I started reading “Econometric Analysis by Greene”. This book has a lot of explanation in maths. I forgot, before reading this book I spent some time in understanding vector calculus. I was delighted that the explanation in math was not haunting me anymore and I was also able to correlate math and plain English part. I read about 80% of this book and moved on to “Econometric Analysis of Cross Section and Panel Data”. I didn’t want to move on inbetween but I had to show my advisor some output and the rest of Greene was the part that I wouldn’t require for sometime. I read about 60% of Wooldridge diligently and skimmed about another 20% and I hate to say, but didn’t even touch the rest 20%. Besides these 2 books, I also read some part of “Estimation and Inference in Econometrics by Davidson and MacKinnon”. I also did back excercises (data modeling and interpretation one, and not theoretical) from Greene and Wooldridge. This helped me a lot to understand the subject better.

I have also taken 2 courses this fall- Applied Multivariate and Nonparameteric Econometrics to broaden my toolkit.

But now I am facing other problem. Many times when I read papers I question the econometric analysis done by authors. I can think of two reasons behind this-  my understanding of subject is still not good enough or authors sometimes are sloppy. Well before jumping to the second reason, I would like to work on the first reason and hence, the phase 3.

Phase 3: I wanted to finish the things from Greene and Wooldridge. If I get the chance then may be from Davidson & MacKinnon also. From time to time I will also like to read things from “Handbook of Econometrics” particularly its panel data part.

Right now, I have started reading HLM from “Multilevel and Longitudinal Modeling using Stata”. I know this book should be used as a helpbook to use Stata rather than understanding the basic concept. But since our field is the application of econometric and not econometric itself, this is my pretext to straightaway learn the application. Not a good thing, but I guess, this would be the best usage of my time. Sharpening the axe is a good thing, but ultimate aim is to cut trees or write papers in my case.

After finishing this book, I plan to read “An Introduction to Survival Analysis using Stata”. Again not a perfect learning approach but a more pragmatic one, I guess.

It will be tough to even reach to Phase 3 because I am:

  • teaching Operations Management this Spring
  • taking two courses- Bayesian and Econometrics 3
  • reading the Stata book for HLM and Survival Analysis
  • planning to complete and send my WITS paper by mid January 07, and start working on another projects

The biggest of all, I and Sheena are expecting a baby so need to start spending time with her. I have not done this from last few years and need to make up now. 🙂

Rohit Aggarwal



  1. Hi Rohit

    Is it possible that I ask you few questions on econometrics and that you answer them for me.

    I have questions at the basic levels so should be easy for you

    Binam Raj

    Comment by Binam Raj — April 4, 2007 @ 6:59 pm | Reply

  2. Binam: I would try to answer your question(s). What is (are) your question(s)?


    Comment by Rohit Aggarwal — April 4, 2007 @ 7:15 pm | Reply

  3. Dear Sir,
    T would be very grateful if you could send me an econometrics hand outs on estimation of a model.
    Thank you.

    Comment by GYABAA FREEMAN — September 5, 2007 @ 9:26 pm | Reply

  4. Gyabaa:
    I am not sure what do you expect when you say – “an econometrics hand outs on estimation of a model”. Econometric modeling is a big stream, but I’ll try my best to help you. I would suggest to look at the site of Prof. Greene, author of Econometric Analysis. His site has all the slides he discusses in his classes- , (click on courses, choose the course that suits your need and further you will see the link- class notes).

    I hope this would suffice your need.
    Good Luck and let the force of econometric modeling be with you. :0)

    Comment by Rohit Aggarwal — September 5, 2007 @ 10:46 pm | Reply

  5. Dear Rohit,

    I am also a student stuggling with econometrics, and since I have only finance background, econometric looks very difficult for me. It would be great if you could advicee me on a particualr test that I have to carry out in my thesis.

    I wish to carry out a panel data (7 years for 14 banks) test of significance using a trauncated Tobit Regression (with 3 independent variables). Could you please guide me as to the steps that I should take in carrying it out. Currently I do have the Eviews software. You could also suggest me any materials that you think is suitable to enhance my reading in this area.



    Comment by Gurcharan — October 5, 2007 @ 7:10 am | Reply

  6. Gurcharan:

    Can you please explain more about your problem? An important part of econometric modeling is to deal with problems such as hetergeneity, endogeneity, multicollienearity, and autocorrelation (since this panel data). I will need information about IVs, depndent variable and the focus of your study before suggesting you anything.

    Check out the ppt link on my post- I find it useful for panel data.


    Comment by Rohit Aggarwal — October 5, 2007 @ 12:28 pm | Reply

  7. GS:
    I apologize for not getting back to you, but I got occupied.
    I am not sure about your inference: “Since I am using a 7 years data, this regression technique that I should apply is a panel truncated Tobit Regression model.” If you have 7 years of panel data then why it has to be analyzed by Tobit regression model. Following is an introductory passage from Greene, Chapter 22:

    The effect of truncation occurs when sample data are drawn from a subset of a larger population of interest. For example, studies of income based on incomes above or below some poverty line may be of limited usefulness for inference about the whole population. Truncation is essentially a characteristic of the distribution from which the sample data are drawn. Censoring is a more common problem in recent studies. To continue the example, suppose that instead of being unobserved, all incomes below the poverty line are reported as if they were at the poverty line. The censoring of a range of values of the variable of interest introduces a distortion into conventional statistical results that is similar to that of truncation. Unlike truncation, however, censoring is essentially a defect in the sample data. Presumably, if they were not censored, the data would be a representative sample from the population of interest.
    Your data does not seem to be censored or truncated and you do not need to use Tobit.

    My another observation is that if bank is giving more loans then wouldn’t it have moe NPAs, thus decreasing its efficiency. So you may also want to put square of competitive loan amount in the model. But I am not subject expert so can not say for sure.


    Comment by Rohit Aggarwal — October 15, 2007 @ 1:01 pm | Reply

  8. Sir

    I am pursuing my masters in economics but I have no background of econometrics.Although I know statistics and matrix but I am not able to understand econometrics.Please advise me how to learn econmetrics or give the name of a book for basics.

    Comment by NEEL — December 3, 2009 @ 4:15 am | Reply

  9. dear/Sir
    i am very intrested to know eonometrics but i donot now how i can go through so that i can master the course. Would u please tell me the way how to grasp the course may be important books that can help me to easily understand.

    thanks alot

    Comment by kokeb G.Giorgis — April 7, 2010 @ 12:47 pm | Reply

  10. I have to say that, i found economatric very challenge to say least. i have completed my first degree almost 10 years ago and i want go back and complete my master but i am so scare economatric and i do not know how to deal with it. I have 5 months since i am going to start my course i would like to start studying economatric so that, it will hopefully assist me in the future. Any advise of how deal with, would be highly appreciated.#

    Comment by abdi — August 7, 2010 @ 2:27 pm | Reply

  11. hey rohit, could u please suggest me a small and good book on understanding econometrics as a whole. A small book which is even easy in understanding.

    Comment by Rish Agarwal — April 20, 2011 @ 7:02 am | Reply

  12. hello
    Rohit it is nice an interesting to read your journi of studing econometrics in different phasis above.i have a subject of econometrics in my cource this year i found it boring,boring in sence that i never know how to start with basic understanding of this subject but hope now i will try ur method.
    hope u got a sweet baby God bless u an ur family
    fatima zuhra

    Comment by fatima zuhra — May 4, 2011 @ 10:42 am | Reply

  13. Hello,
    I am 16 years old. I am doing Economics in XIth (Commerce) and am really liking it. What do you have to do to learn Econometrics? Are there some courses that I have to take? Anand

    Comment by Anand Subramanian — September 9, 2011 @ 4:13 pm | Reply

  14. I am preparing for the Econometric Exam. I will try to follow your advice. I hope i will be able to understand and pass.:(

    Comment by Trang — October 20, 2011 @ 10:42 am | Reply

  15. Hello, your post is very helpful to me as I am trying to improve my econometrics skills. Could you let me know how long it took you to read (and finish) the books you cited. Thank you. Anh

    Comment by Anh — January 4, 2012 @ 9:56 am | Reply

    • Well, it is difficult to put time now. It has been a while since I worked through my way. My 2 cents, if I may, put your best effort and take small steps at a time, and before you realize you will be teaching this subject to others 🙂 Best, Rohit

      Comment by Rohit Aggarwal — January 4, 2012 @ 11:40 pm | Reply

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