Sumários
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
- 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...
lecture
13 Março 2025, 13:30 • Adriana Cornea-madeira
We introduced the Chow test to test for differences between groups. We also discussed the linear probability model (advantages and disadvantages). We then started to discuss about model linear in parameters and/or variables, how to estimate them. We ended with the interpretation related to variables that enter both linearly and quadratically in the model (linear in parameters).
lecture
11 Março 2025, 13:30 • Adriana Cornea-madeira
We discussed about including interaction terms in the multiple linear regression model, in particular interaction of two dummy variables and interaction of a dummy variable with a continuous random variable.