Structural Breaks and Threshold Models (R Practice)

17 Março 2026, 13:30 • Paulo Manuel Marques Rodrigues

• Implementation of break tests in R.
• Estimation of TAR and SETAR models.
• Model comparison: linear vs nonlinear.
• Interpretation of regimes and thresholds.
• Applied exercises with real or simulated data.

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Structural Breaks, TAR and SETAR (Theory)

10 Março 2026, 13:30 • Paulo Manuel Marques Rodrigues

• Structural Break: causes and consequences.
• Chow test and unknown break tests.
• Threshold models: Threshold Autoregressive Model and Self-Exciting Threshold Autoregressive Model.
• Nonlinear dynamics and regime switching intuition.
• Exercises on identifying breaks. 

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Diagnostic Testing in Dynamic Models

3 Março 2026, 13:30 • Paulo Manuel Marques Rodrigues

• Residual diagnostics: autocorrelation, heteroskedasticity, normality.
• Tests: Ljung–Box, Breusch–Godfrey, ARCH tests.
• Model misspecification and lag selection.
• Stability and parameter constancy.
• Emphasis on model validation workflow.

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Predetermined Regressors and Cointegration

24 Fevereiro 2026, 13:30 • Paulo Manuel Marques Rodrigues

• Strict exogeneity vs predetermined variables.
• Dynamic regression models.
• Cointegration: intuition and economic meaning.
• Engle–Granger approach and error correction representation.
• Exercises: testing for cointegration and interpreting results.

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Nonstationarity

10 Fevereiro 2026, 13:30 • Paulo Manuel Marques Rodrigues

• Unit roots and stochastic trends.
• Difference-stationary vs trend-stationary processes.
• Spurious regression problem.
• Introduction to Augmented Dickey-Fuller Test.
• Practical exercises: testing and differencing in R.

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