June – October, 2015  

NISM Bhavan, Navi Mumbai

A 14 weeks programme on ‘14 Weeks Programme on Econometrics’ was conducted at NISM Bhavan, Navi Mumbai during June-October, 2015 for the officers of SEBI. The programme was attended by two batches of SEBI officers (15 x 2= 30) working in Research Department (DEPA) and other departments of SEBI. The objective of the course was to impart training in statistics and econometrics for carrying out robust quantitative analysis. The course was designed in two modules, one focused on cross sectional analysis and the other on time-series analysis.

Cross Sectional Analysismodule was taken by Prof. Subrata Sarkar from IGIDR. It covered topics such as the Classical Linear Regression Model, Inference and Hypothesis Testing, Prediction and Confidence Intervals, Problems in Econometric Estimation and Possible Solutions, Introduction to SAS, Dummy Variables, Functional Forms and Model Choice, Discrete And Qualitative Response Model, Estimating A Group of Equations, Panel Data Model, etc.

Time Series Analysismodule was taken by Prof. R. Krishnan from IGIDR. It covered topics such as Univariate processes, permanent and transitory components, trend-cycles decomposition, modeling volatility, spectral analysis, Vector processes, Cointegration, etc.

Further, one full day hands-on session was organised on ‘R’ statistical software for each batch.
The valedictory address delivered by Shri Prashant Saran, WTM, SEBI and Shri Sandip Ghose, Director, NISM.