Sumários

6 Abril 2022, 18:00 • Artur Silva Lopes

Trends in economic time series: TSP vs. DSP.

Beveridge-Nelson decomposition.

Correction of exercises.

30 Março 2022, 18:00 • Artur Silva Lopes

ADL/ECM modeling: empirical example.

Motivations for unit root tests: stationary vs. non-stationary AR(1) processes; I(0) vs I(1).

Note: there was a significant break in the number of students attending possibly due to the ceremony of the official opening of the academic year.

23 Março 2022, 18:00 • Artur Silva Lopes

Systematic dynamics: conclusion.

Linear transformations of linear models.

The ADL(1,1) and the ECM. Generalization to the ADL(r,s).

16 Março 2022, 18:00 • Artur Silva Lopes

Tests for serial correlation - conclusion.

Correction of exercises.

Dynamic models: introduction; systematic dynamics.

Note: few students had solved the exercises.

9 Março 2022, 18:00 • Artur Silva Lopes

Serial correlation: consequences for OLS (cases of strict exogeneity and of dynamic models); COMFAC analysis and GTS. Tests for serial corelation.