P08 - MLRM; Chow test, Heteroskedasticity

14 Novembro 2019, 08:00 • Luís Silveira Santos

Exercise C6 (Wooldridge - Chapter 7)

Exercise 1, 2, 3, C3 and C4 (Wooldridge - Chapter 8)

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Lecture 15

13 Novembro 2019, 10:30 • Paulo Parente

Basic Regression Analysis with Time Series Data. Wooldridge (2013), Chapter 10

•   Assumptions for Unbiasedness
•   Variances of OLS Estimators
•   Inference on the long-run propensity

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Lecture 14

12 Novembro 2019, 10:30 • Paulo Parente

Homework:
Chapter 8 of Wooldridge (2013):
Exercises: 1, 2, 3, C3, C4   

 

Multiple Regression Analysis: Heteroskedasticity.

•   Weighted Least Squares, Generalized Least Squares, Feasible GLS

Basic Regression Analysis with Time Series Data.

•   Time Series vs. Cross Sectional
•   Finite Distributed Lag Models

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P07 - MLRM; Dummy variables

7 Novembro 2019, 08:00 • Luís Silveira Santos

Exercise 1, 2, 4, 5 and 8 (Wooldridge - Chapter 7)

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Lecture 13

6 Novembro 2019, 10:30 • Paulo Parente

    Multiple Regression Analysis: Heteroskedasticity.

•   Variance of the OLS estimator with Heteroskedasticity
•   Robust Standard Errors
•   Heteroskedastic-robust Wald statistic and A Robust Lagrange Multiplier Statistic
•   Testing for Heteroskedasticity (The Breusch-Pagan Test, The White Test)

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