Sumários

Lecture 24

26 Novembro 2024, 12:30 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise Sheet 7: Exercises 1 and 2

Lecture 23

25 Novembro 2024, 13:00 • PAULO MIGUEL DIAS COSTA PARENTE

Generalized Method of Moments and Instrumental Variables Estimation
  • 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

19 Novembro 2024, 12:30 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise Sheet 6: Exercises 2b,c.


Generalized Method of Moments and Instrumental Variables Estimation
  • Correlation between error terms and regressors
  • Instrumental Variables
  • Generalized Method of Moments (GMM)

Lecture 21

18 Novembro 2024, 13:00 • PAULO MIGUEL DIAS COSTA PARENTE

Generalised Regression Model and Heteroskedasticity
  • Conditional Heteroskedasticity
Exercise Sheet 6: Exercises 1 and 2a

Lecture 20

12 Novembro 2024, 12:30 • PAULO MIGUEL DIAS COSTA 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