Lecture 12

3 Dezembro 2019, 18:00 • Paulo Parente

Exercise sheet 7: Exercises 2(b),(c) and (d).

Generalized Method of Moments

•   Method of moments estimation;
•   Generalized method of Moments (GMM);
•   Optimal GMM;
•   Inference

                          -  Tests for overidentifying moment conditions
                          -  Tests for parametric restrictions
                          -  Tests for additional moment conditions.

 

Exercise Sheet 8: Exercise 1(a)

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Lecture 11

26 Novembro 2019, 18:00 • Paulo Parente

Exercise Sheet 6: Exercises 2 and 3

Maximum Likelihood Estimation

•  Likelihood function and the ML principle;
•  Properties of ML estimators;
•  Estimators of the information matrix
•  Regressors
•  Hypothesis testing.

Exercise Sheet 7: Exercise 1 and 2(a)

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Lecture 10

19 Novembro 2019, 18:00 • Paulo Parente

Instrumental Variables Estimation

•  Generalised IV estimator
•  Two-Stage Least Squares Estimation (2SLS)
•  Specification testing

Exercise sheet sheet 6: Exercise 1

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Lecture 9

12 Novembro 2019, 18:00 • Paulo Parente

Generalised Regression Model and Heteroskedasticity

  ∙  Conditional Heteroskedasticity

Exercise Sheet 5, Exercise 1 and 2

Instrumental Variables Estimation

  ∙  Correlation between error terms and regressors
  ∙  Instrumental Variables

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Lecture 8

5 Novembro 2019, 18:00 • Paulo Parente

Exercise Sheet 4: Exercises 1c) 1d) and 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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