Sumários
Lecture 24
25 Novembro 2025, 12:30 • Paulo Parente
Generalized Method of Moments and Instrumental Variables Estimation
- Testing Subsets of Orthogonality Conditions
Exercise Sheet 7: Exercises 1 and 2
Lecture 23
24 Novembro 2025, 13:00 • Paulo Parente
Generalized Method of Moments and Instrumental Variables Estimation
- Instrumental Variables
- Generalized Method of Moments (GMM)
- Two-Stage Least Squares Estimation (2SLS)
- Asymptotic Distribution of the GMM Estimator
- Hypothesis Testing
- Testing Overidentifying Restrictions
- Testing Subsets of Orthogonality Conditions
Lecture 22
18 Novembro 2025, 12:30 • Paulo Parente
Exercise Sheet 6: Exercise 2
Generalized Method of Moments and Instrumental Variables Estimation
- Correlation between error terms and regressors
Lecture 21
17 Novembro 2025, 13:00 • Paulo Parente
Generalised Regression Model and Heteroskedasticity
- Conditional Heteroskedasticity
Exercise Sheet 6: Exercise 1
Lecture 20
11 Novembro 2025, 12:30 • Paulo Parente
Generalised Regression Model and Heteroskedasticity
- The Generalised Regression Model
- Ordinary Least Squares Estimator
- The Generalised Least Squares (GLS) Estimator
- Feasible GLS (FGLS)
- Conditional Heteroskedasticity