Lecture 7

29 Outubro 2019, 18:00 • 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 4, Exercises 1(a),1(b)
   

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Lecture 6

22 Outubro 2019, 18:00 • Paulo Parente

Specification Analysis

•   Functional Form - The RESET test
•   Testing for Structural Change

Exercise sheet 3: Exercises 1,2,3

Asymptotic Theory

•   Modes of convergence
•   Consistency
•   Asymptotic normality

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Lecture 5

15 Outubro 2019, 18:00 • Paulo Parente

Exercise Sheet 2. Exercises 1e),f), 3), 4), 5,a),b),c),d).

Specification Analysis

• Omitted (Exclusion of Relevant) Variables
• Wrongly Included Variables

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Lecture 4

8 Outubro 2019, 18:00 • Paulo Parente

Inference and Prediction in the Linear Regression Model

Hypothesis testing in the Classical Regression Model
Single restriction hypothesis
Multiple restrictions
The F-statistic
Prediction
Random Regressors under the normality assumption

Exercise Sheet 2. Exercise 1a), b)(i)(ii), c), d)

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Lecture 3

1 Outubro 2019, 18:00 • Paulo Parente

Exercise Sheet 1: Exercises 2,3,4,5,6,7

Inference and Prediction in the Linear Regression Model

  ∙  Measures of goodness of fit
  ∙  Multivariate normal
  ∙  Hypothesis testing in the Classical Regression Model
      -  Estimation of the variance of the OLS estimator

 

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