Sumários
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)
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)
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
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
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