T22 - Examples

12 Dezembro 2017, 10:30 • Isabel Proença

Serial correlation and Heteroscedasticity in time series. Empirical example: testing for serial correlation and dynamically complete models.

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P10 - Advanced topics in Time Series

7 Dezembro 2017, 08:00 • Luís Silveira Santos

Exercise 1, 2, 3 and 4 - Exercise list P10

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T21 - serial correlation

6 Dezembro 2017, 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.

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T19 - transformation of highly persistent time series

5 Dezembro 2017, 10:30 • Isabel Proença

Transformation of highly persistent time series.   Highly persistent time series in regression analysis. Examples. Dynamically complete models.

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P09 - Basic regression analysis with Time Series data

30 Novembro 2017, 08:00 • Luís Silveira Santos

Exercises 1, 2, 3, 5, C4 and C11 - Chapter 10 (W)

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