lecture

5 Dezembro 2023, 10:30 • Adriana Cornea-madeira

We discussed about persistent time series, integrated time series of different orders and dynamically complete time series models. We also discussed how to test for serial correlation and we introduced the (G)ARCH models.

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lecture

4 Dezembro 2023, 10:30 • Adriana Cornea-madeira

We discussed about covariance-stationary processes, weak dependent processes and examples of these (the autoregressive processes and moving average processes). We introduced the autoregressive distributed lag models.

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Lecture 10

29 Novembro 2023, 08:00 • Nuno Sobreira

1, 2, 3, C1, C3, C4 (Chapter 8)

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lecture

28 Novembro 2023, 10:30 • Adriana Cornea-madeira

We discussed how to do inference for the long-run propensity, as well the way how to deal with deterministic trends and seasonality.

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lecture

27 Novembro 2023, 10:30 • Adriana Cornea-madeira

We started to discuss time series model introducing the finite distributed lag model. We reviewed the assumptions needed for unbiasedness and consistency contrasting those to those for cross-sectional data. We discussed the variance of the OLS estimators.

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