Lecture 9

16 Outubro 2019, 10:30 • Paulo Parente

Topics on Functional Form,

•   Quadratic Models
•   Interaction Terms
•   Tests of functional form
  •   Ramsey's RESET Test
  •   Nonnested Tests

    Multiple Regression Analysis with Qualitative Information: Dummy variables.

•   Introduction
•   Program Evaluation

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Lecture 8

15 Outubro 2019, 10:30 • Paulo Parente

Multiple Regression Analysis- Asymptotic Properties:

• Consistency - Introduction
• Consistency of the OLS estimator
• Inconsistency when we ignore one regressor.
• Asymptotic Normality-Introduction
• Asymptotic Normality of the OLS estimator
• Lagrange Multiplier statistic

Topics on Functional Form:

• Functional Form - The meaning of the term linear

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P04 - MLRM; Inference

10 Outubro 2019, 08:00 • Luís Silveira Santos

Exercise 2, 4, 5 (Wooldridge - Chapter 4)

Exercise 8 (Wooldridge - Chapter 2)

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Lecture 7

9 Outubro 2019, 10:30 • Paulo Parente

 

Multiple Regression Analysis: Inference.

• Testing a Linear Combination
• Multiple Linear Restrictions
• Testing Exclusion Restrictions
• The F statistic
• Overall Significance

Multiple Regression Analysis: Asymptotic Properties.

• Consistency - Introduction

    Homework:

  ∙  Exercise 8 of Wooldridge (2013), Chapter 2
  ∙  Exercises 2, 4, 5, 8, C6 of Wooldridge (2013), Chapter 4.

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Lecture 6

8 Outubro 2019, 10:30 • Paulo Parente

    Multiple Regression Analysis: Inference.

•    The t Test
•   Hypothesis testing - one-sided alternatives
•   Hypothesis testing - two-sided alternatives
•   Confidence Intervals
•   Testing a Linear Combination
•   Multiple Linear Restrictions
• Testing Exclusion Restrictions
• The F statistic

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