Sumários
Lecture 11
30 Novembro 2020, 10:30 • Paulo Parente
Serial Correlation and Heteroskedasticity in Time Series Regressions, Wooldridge (2013), Chapter 12
Part 1
∙ Serially Correlated Errors: Consequences
∙ Testing for Serial Correlation
∙ Generalised Least squares (GLS) with strictly exogenous regressors
Doubts clearing session.
Lecture 10
23 Novembro 2020, 10:30 • Paulo Parente
Further Issues in Using OLS with Time Series Data. Wooldridge (2013), Chapter 11
Part 2
∙ Assumptions for consistency and asymptotic normality of OLS
∙ Autoregressive distributed Lag model [Stock and Watson (2011, section 14.4) and Verbeek (2017, section 9.1.)]
∙ Random Walks
∙ Transforming Persistent Series
∙ Dynamically Complete Models and the Absence of Serial Correlation
Doubts clearing session.