P05 - Functional form and the RESET test

26 Outubro 2017, 08:00 • Luís Silveira Santos

Exercise 1, 3, 4, 6, C2 and C3 - Chapter 6 (W)

Exercise C1 - Chapter 9 (W)

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T11 - Heteroscedasticity

25 Outubro 2017, 09:30 • Isabel Proença

Heteroscedasticity: motivation; definition and consequences for OLS. Heteroscedasticity-robust inference after OLS estimation of the coefficients. Testing for heteroscedasticity: introduction; the Breusch-Pagan test.

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P04 - Inference (cont.)

19 Outubro 2017, 08:00 • Luís Silveira Santos

Exercise 5, 8, 10 and C9 - Chapter 4 (W)

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T10 - Dummies

18 Outubro 2017, 09:30 • Isabel Proença

Interactions involving dummies. Testing for differences in the regression functions across groups. Examples.

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T09 - Reset and Dummies

17 Outubro 2017, 10:30 • Isabel Proença

Testing functional form misspecification: The RESET test. Examples.

Describing qualitative information. A single dummy independent variable: definition of dummy variable; including a dummy v. in the linear regression model; dummy variable trap; interpretation of the coefficient of the dummy variable; changing the group base; statistical significance; Interpretation of coefficients of the dummy independent variable when the dependent variable appear in logarithmic form: exact percentage vs. logarithmic approximation (example W7.5).

Using dummies for multiple categories: comparisons against the base group; comparisons between any two groups in the regression equation. Incorporating ordinal information using dummy variables.

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