Sumários
Lecture 12
7 Dezembro 2021, 18:00 • Paulo 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 Parente
Exercise sheet 7.
Maximum Likelihood Estimation
∙ Likelihood function and the ML principle;
∙ Properties of ML estimators;
∙ Likelihood function and the ML principle;
∙ Properties of ML estimators;
Lecture 10
23 Novembro 2021, 18:00 • Paulo 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 Parente
Generalised Regression Model and Heteroskedasticity
∙ The Generalised Least Squares (GLS) Estimator
∙ Feasible GLS (FGLS)
∙ Conditional Heteroskedasticity
Exercise sheet 6: Exercise 1