Sumários

Exam solving session

27 Maio 2022, 10:30 • Luís Silveira Santos

Exam solving session (regular assessment period exam, January 2022)

P13 - Time Series (Serial Correlation: tests and corrections; ARCH specification: model, tests and estimation)

20 Maio 2022, 10:30 • Luís Silveira Santos

Exercise 1, 2, 3, 4 and 5 (Exercise Sheet Chapter 10);
Exercise 2, 3, 4, 5 and 6 (Wooldridge, Introductory Econometrics, 6th ed., Chapter 12)

T22 - Time Series (Serial Correlation: tests and corrections; ARCH specification: model, tests and estimation)

17 Maio 2022, 13:30 • Luís Silveira Santos

10. Serial Correlation and Heteroskedasticity in Time Series Regressions, [Wooldridge (2016), Chapter 12]: 

10.4. Serial Correlation-Robust Standard Errors; 
10.5. Heteroskedasticity in Time Series Regressions; 
10.5.1. Autoregressive Conditional Heteroskedasticity; 
10.6. GLS with heteroskedasticity and serial correlation.

T21 - Time Series (Serial Correlation: tests and corrections)

16 Maio 2022, 13:30 • Luís Silveira Santos

10. Serial Correlation and Heteroskedasticity in Time Series Regressions, [Wooldridge (2016), Chapter 12]: 

10.1. Serially Correlated Errors: Consequences; 
10.2. Testing for Serial Correlation;
10.3. Generalised Least squares (GLS) with strictly exogenous regressors

P12 - Time Series (Dynamic Completeness and Nonstationarity)

13 Maio 2022, 10:30 • Luís Silveira Santos

Exercise 1, 5, 9, 10, 11, 12, 13 and 14 (Exercise Sheet Chapter 9)