Sumários

Lecture 13

14 Dezembro 2021, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise Sheet 8. Exercises 3(d)

Lecture 12

7 Dezembro 2021, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Maximum Likelihood Estimation
  • Estimators of the information matrix
  • Regressors
  • Hypothesis testing.
Exercise Sheet 8. Exercises 1,2, 3(a) to (c)

Lecture 11

30 Novembro 2021, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise sheet 7.

    Maximum Likelihood Estimation

  ∙  Likelihood function and the ML principle;
  ∙  Properties of ML estimators;

Lecture 10

23 Novembro 2021, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise sheet 6: Exercise 2

Instrumental Variables Estimation
  • Correlation between error terms and regressors
  • Instrumental Variables
  • Generalised IV estimator
  • Two-Stage Least Squares Estimation (2SLS)
  • Specification testing

Lecture 9

16 Novembro 2021, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Generalised Regression Model and Heteroskedasticity

  ∙  The Generalised Least Squares (GLS) Estimator
  ∙  Feasible GLS (FGLS)
  ∙  Conditional Heteroskedasticity

Exercise sheet 6: Exercise 1