Sumários
tutorial
24 Novembro 2025, 09:30 • Adriana Cornea-madeira
We solved some exercises from the homework and we went through a mock exam.
tutorial
10 Novembro 2025, 09:30 • Adriana Cornea-madeira
We went through the essential steps for the project, including the relevant R code. Moreover we solved most of the questions from homework 2.
lecture
3 Novembro 2025, 09:30 • Adriana Cornea-madeira
We discussed about model selection based on information criteria and regularization methods such as LASSO (using the information criteria to choose the tuning parameters). We also discussed about inference problems using the post LASSO OLS results and proposed the post double selection (debiased machine-learning) for doing correct inference on the parameter of interest. Moreover, we discussed about how to do iterative forecasts and direct forecasts. We then discussed about local projections and impulse response and inference for impulse responses. We then, discussed about tests for testing equal forecast accuracy (Diebold and Mariano, Giacomini and Rossi, West, Clark and West).
lecture
27 Outubro 2025, 09:30 • Adriana Cornea-madeira
We discussed about unit root testing, diagnostic residuals checks, and HAC.