Sumários
Lecture 9
16 Novembro 2020, 10:30 • Paulo Parente
Basic Regression Analysis with Time Series Data. Wooldridge (2013), Chapter 10
Part 2
∙ Trending Time Series
∙ Seasonality
Further Issues in Using OLS with Time Series Data. Wooldridge (2013), Chapter 11
Part 1
∙ Covariance Stationary Process
∙ Weakly Dependent Time Series
∙ Examples of weakly dependent time series
- moving average process of order one
- autoregressive process of order one
Doubts clearing session.
Lecture 8
9 Novembro 2020, 10:30 • Paulo Parente
Basic Regression Analysis with Time Series Data. Wooldridge (2013), Chapter 10
Part 1
∙ Time Series vs. Cross Sectional
∙ Finite Distributed Lag Models
∙ Assumptions for Unbiasedness
∙ Variances of OLS Estimators
∙ Inference on the long-run propensity
Doubts clearing session.
Lecture 7
2 Novembro 2020, 10:30 • Paulo Parente
Multiple Regression Analysis: Heteroskedasticity. Wooldridge (2013), Chapter 8 (Heteroskedasticity_part2.mp4).
Part 2
∙ Testing for Heteroskedasticity (The Breusch-Pagan Test, The White Test)
∙ Weighted Least Squares, Generalized Least Squares, Feasible GLS
∙ Prediction and Prediction Intervals with Heteroskedasticity
Doubts clearing session.