A10

25 Março 2019, 10:00 • João Nicolau

       3.6 ARMA

       3.7 A Remark on ACF and PACF of ARMA models

       3.8 Nonstationary Processes

          3.8.1 Random Walk

          3.8.2 Random Walk with Drift

          3.8.3 Trend Stationary Processes

          3.8.4 Differences Between Trend Stationary and Unit Root Processes

       3.9 Estimation

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A9

21 Março 2019, 10:00 • João Nicolau

       3.4 Moving Average Processes

          3.4.1 MA(1)

          3.4.2 MA(q)

          3.4.3 MA(∞)

       3.5 Autoregressive Processes

          3.5.1 AR(1)

          3.5.2 AR(2)

          3.5.3 AR(p)

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A8

18 Março 2019, 10:00 • João Nicolau

    3 ARMA Processes

       3.1 Review

       3.2 Expectations, Stationarity and Weak Dependence

          3.2.1 Autocovariance and Autocorrelation

          3.2.2 Partial Autocorrelation

          3.2.3 Weak Dependence

       3.3 Filters

          3.3.1 Lag Operator

          3.3.2 Products of Filters

          3.3.3 Inverses

          3.3.4 Inverting Lag Polynomials

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A7

14 Março 2019, 10:00 • JOÃO ANTÓNIO MENDES DA CRUZ

Resolução dos exercícios 8, 9, 11, 12 e 13 do capítulo 2.

 

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A6

11 Março 2019, 10:00 • João Nicolau

          2.5.1 Asymptotic Distribution of the GMM Estimator

          2.5.2 Hypothesis Testing

       2.6 Testing Overidentifying Restrictions

          2.6.1 Testing all Orthogonality Conditions

          2.6.2 Testing Subsets of Orthogonality Conditions

          2.6.3 Regressor Endogeneity Test

       2.7 Implications of Conditional Homoskedasticity

          2.7.1 Efficient GMM Becomes 2SLS

          2.7.2 Alternative Derivations of 2SLS 

    

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