Sumários

Lecture 12

13 Dezembro 2021, 10:30 • Paulo Parente

Serial Correlation and Heteroskedasticity in Time Series Regressions,

  • Serially Correlated Errors: Consequences
  • Testing for Serial Correlation
  • Generalised Least squares (GLS) with strictly exogenous
  • regressors
  • Serial Correlation-Robust Standard Errors
  • Heteroskedasticity in Time Series Regressions
  • Autoregressive Conditional Heteroskedasticity
  • GLS with heteroskedasticity and serial correlation.

Lecture 11

6 Dezembro 2021, 10:30 • Paulo Parente

Exercise sheet for chapter 11

Lecture 10

29 Novembro 2021, 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

Lecture 9

22 Novembro 2021, 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

Lecture 8

15 Novembro 2021, 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