Sumários

L8

7 Abril 2021, 18:00 • Artur Silva Lopes

The Beveridge-Nelson decomposition.
Brief introduction to Wiener processes. Spurious regressions.
The DF test for the simplest case.

L7

31 Março 2021, 18:00 • Artur Silva Lopes

Motivations for unit root tests: stationary vs. non-stationary AR(1); integrated processes; TSP vs. DSP.

L6

24 Março 2021, 18:00 • Artur Silva Lopes

The error correction model.
Generalization: ADL(r,s) and ECM.
Empirical example.
Correction of exercises.

L5

17 Março 2021, 18:00 • Artur Silva Lopes

Serial correlation: empirical example.
Dynamic models: systematic dynamics; linear transformations; the ADL(1,1) model and the ECM.

L4

10 Março 2021, 18:00 • Artur Silva Lopes

Implications of serial correlation: the cases of strict exogeneity and of dynamic models.

Tests for serial correlation.