Sumários

Lecture 21

20 Novembro 2023, 13:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise Sheet 6: Exercises 2c and 3


Instrumental Variables Estimation 
  • Correlation between error terms and regressors 
  • Instrumental Variable

Lecture 20

14 Novembro 2023, 11:00 • PAULO MIGUEL DIAS COSTA PARENTE

Generalised Regression Model and Heteroskedasticity
  • Conditional Heteroskedasticity
Exercise Sheet 6: Exercises 1,2(a),(b)

Lecture 19

13 Novembro 2023, 13:00 • PAULO MIGUEL DIAS COSTA PARENTE

Generalised Regression Model and Heteroskedasticity
  • The Generalised Least Squares (GLS) Estimator
  • Feasible GLS (FGLS)
  • Conditional Heteroskedasticity

Lecture 18

7 Novembro 2023, 11:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise Sheet 5: Exercises 1c,d,e,2


Generalised Regression Model and Heteroskedasticity
  • The Generalised Regression Model
  • Ordinary Least Squares Estimator
  • The Generalised Least Squares (GLS) Estimator

Lecture 17

6 Novembro 2023, 13:00 • PAULO MIGUEL DIAS COSTA PARENTE

Asymptotic Theory 

  • Consistent estimation of the OLS variance covariance matrix 
  • Hypothesis Testing
Exercise Sheet 5: Exercises 1(a),(b)