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

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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

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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)

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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

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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

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