Sumários
Lecture 11
24 Novembro 2020, 18:00 • Paulo Parente
Exercise Sheet 6: Exercise 1
Instrumental Variables Estimation
∙ Correlation between error terms and regressors
∙ Instrumental Variables
Lecture 10
17 Novembro 2020, 18:00 • Paulo Parente
Exercise sheet 5: 1(c),(d),(e) ,2.
Generalised Regression Model and Heteroskedasticity
∙ The Generalised Regression Model
∙ Ordinary Least Squares Estimator
∙ The Generalised Least Squares (GLS) Estimator
∙ Feasible GLS (FGLS)
∙ Conditional Heteroskedasticity
Lecture 9
13 Novembro 2020, 10:30 • Paulo Parente
Asymptotic Theory
∙ Asymptotic normality
∙ Asymptotic theory for vectors and matrices
∙ Asymptotic properties of the least squares estimator
∙ Consistent estimation of the OLS variance covariance matrix
∙ Hypothesis Testing
Exercise sheet 5: Exercise 1(a),(b)
Lecture 8
10 Novembro 2020, 18:00 • Paulo Parente
Specification Analysis
∙ Functional Form - The RESET test
∙ Testing for Structural Change
Exercise Sheet 4: Exercises 1, 2, 3, 4
Asymptotic Theory
∙ Modes of convergence
∙ Consistency
∙ Asymptotic normality
Lecture 7
3 Novembro 2020, 18:00 • Paulo Parente
Exercise Sheet 3: Exercises 3 and 4
Specification Analysis
∙ Omitted (Exclusion of Relevant) Variables
∙ Wrongly Included Variables
∙ Linear Regression Models with Logarithmic Transformations