Sumários

lecture

25 Março 2025, 13:30 • Adriana Cornea-madeira

We discussed several versions of tests for heteroskedasticity, with examples, as well as about weighted least squares.

Tutorial - Week 8

20 Março 2025, 17:00 • Gabriel Zsurkis

Exercises 1, 2, 4 and C2 -- Wooldridge, Introductory Econometrics, Chapter 7.

lecture

20 Março 2025, 13:30 • Adriana Cornea-madeira

We discussed the consequences of having heteroskedastic errors on the OLS estimators and their variances. We looked at the White's standard errors, and how to calculate the robust to heteroskedasticity t-statistic, Wald statistic and LM statistic. We discussed two tests for testing for homoskedasticity (Breusch- Pagan and White).

lecture

18 Março 2025, 13:30 • Adriana Cornea-madeira

We discussed about linear models (in the parameters) with quadratic and interaction terms. We the focused on different types of tests for functional form (such as RESET, Mizon and Richard's test and Davidson and MacKinnon test). We the moved to discuss the problem of heteroskedasticity.

Tutorial - Week 7

13 Março 2025, 17:00 • Gabriel Zsurkis

Exercises 1 and 4 -- Wooldridge, Introductory Econometrics, Chapter 6.

Illustrations in STATA:

LM test from Lecture 5;
How to create dummy variables, the dummy variable trap, interpretation when there are interactions with dummies, and changing the base group...