Sumários

T20 - Time Series (Unit root processes and their transformations; Sequential exogeneity and dynamic completeness)

10 Maio 2022, 13:30 • Luís Silveira Santos

9. Further Issues in Using OLS with Time Series Data. [Wooldridge (2016), Chapter 11]:

9.6. Random Walks;

9.7. Transforming Persistent Series;

9.8. Dynamically Complete Models and the Absence of Serial Correlation

T19 - Time Series (Consistency and Asymptotic Normality of the OLS estimator; ARDL model)

9 Maio 2022, 13:30 • Luís Silveira Santos

9. Further Issues in Using OLS with Time Series Data. [Wooldridge (2016), Chapter 11, Stock and Watson (2011, section 14.4) and Verbeek (2017, section 9.1.)]:

9.4. Assumptions for consistency and asymptotic normality of OLS;

9.5. Autoregressive distributed Lag model

P11 - Time Series (Trends, Seasonality, Properties of the OLS estimator, Stationarity, Weak Dependence, ARMA processes)

6 Maio 2022, 10:30 • Luís Silveira Santos

Exercise C11 (Wooldridge, Introductory Econometrics, 6th ed., Chapter 10);

Exercise 2, 4, 6, 7 and 8 (Exercise Sheet Chapter 9).

T18 - Time Series (Stationarity and Weak Dependence)

3 Maio 2022, 13:30 • Luís Silveira Santos

9. Further Issues in Using OLS with Time Series Data. [Wooldridge (2016), Chapter 11]:

9.1. Covariance Stationary Process;

9.2. Weakly Dependent Time Series;

9.3. Examples for weakly dependent time series;

9.3.1. Moving average process of order one;

9.3.2. Autoregressive process of order one

T17 - Time Series (Trends and Seasonality)

2 Maio 2022, 13:30 • Luís Silveira Santos

8. Basic Regression Analysis with Time Series Data. [Wooldridge (2016), Chapter 10]:

8.6. Trending Time Series;

8.7. Seasonality