Sumários
Lecture 23
25 Novembro 2024, 13:00 • Paulo 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 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 Parente
Generalised Regression Model and Heteroskedasticity
- Conditional Heteroskedasticity
Exercise Sheet 6: Exercises 1 and 2a
Lecture 20
12 Novembro 2024, 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