Sumários
P12 - Serial Correlation in Time Series Regressions
14 Maio 2021, 12:30 • Luís Silveira Santos
Exercise 3, 4 and 5 (Exercise Sheet Chapter 10);
Exercise 2, 3, 4, 5 and 6 (Wooldridge, Introductory Econometrics, 6th ed., Chapter 12).
P11 - Further Issues in Using OLS with Time Series Data and Serial Correlation in Time Series Regressions
7 Maio 2021, 12:30 • Luís Silveira Santos
Exercise 5, 9, 10, 13 and 14 (Exercise Sheet Chapter 9);
Exercise 1 and 2 (Exercise Sheet Chapter 10).
TC24
4 Maio 2021, 13:30 • Artur Silva Lopes
HAC standard errors.
Heteroskedasticity in time series models.
ARCH models for the regression errors.
Simultaneous serial correlation and heteroskedasticity problems.