Sumários

Lecture 19

10 Novembro 2025, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise sheet 5: Exercises 3b,c and d.


Multivariate Time Series Models
  • Stationary multivariate time series
  • Vector autoregressive models

Lecture 18

3 Novembro 2025, 20:00 • PAULO MIGUEL DIAS COSTA PARENTE

Panel Data Models
  • Estimation of Random Effects Model
    • Generalized Least Squares and Feasible GLS.
    • Between" estimator.

Lecture 17

3 Novembro 2025, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Univariate time series modelling

  • Box Jenkins Methodology
  • Forecasts
Exercise sheet 5: Exercises 1a, 2a, 3,a,b (incomplete)

Lecture 16

27 Outubro 2025, 20:00 • PAULO MIGUEL DIAS COSTA PARENTE

Panel Data Models

  • Fixed Effects vs. Random Effects
  • Estimation of the Fixed Effects Model
    • The "Within" estimator and the least squares dummy variable estimator
    • First Differences

Lecture 15

27 Outubro 2025, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Univariate time series modelling
  • ARMA processes