T22 - Serial correlation

5 Dezembro 2018, 09:30 • Isabel Proença

Serial correlation: Definition. Consequences in estimation and inference with OLS. Testing for serial correlation of order 1 with strictly exogenous regressors.   Testing for serial correlation:  the Breusch-Godfrey test. Examples. Serial correlation and heteroscedasticity.

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T21 - Highly persistent time series in regression

4 Dezembro 2018, 10:30 • Isabel Proença

Highly persistent time series: the random walk with drift. Transformation of highly persistent time series.   Highly persistent time series in regression analysis. Examples. Dynamically complete models.

 

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P08 - Advanced topics in Time Series

29 Novembro 2018, 08:00 • Luís Silveira Santos

Exercise C11, chapter 10, Wooldridge

Exercise 1, 2 and 3 (topics), exercise sheet of chapter 9

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T20 - Asymptotic Properties of OLS and R.W.

28 Novembro 2018, 09:30 • Isabel Proença

Asymptotic properties of OLS: Assumptions TS1' to TS.5'. Highly persistent time series: the random walk.

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T19 - Stationary and weakly dependent TS

27 Novembro 2018, 10:30 • Isabel Proença

Further topics in using OLS with time series data: Introduction; Stationary Time Series; Weakly dependent Time Series; The MA(1) and AR(1) processes. Examples. 

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