Sumários

Lecture 21

20 Novembro 2023, 18:00 • Paulo Parente

Multivariate Time Series Models 

  • Stationary multivariate time series 
  • Vector autoregressive models 
  • Estimation and testing of VAR models 
  • Impulse response functions 
  • Granger Causality. 
  • Structural VAR

Lecture 20

13 Novembro 2023, 20:00 • Paulo Parente

  • Panel Data Models 
  • Estimation of the Fixed Effects Model 
    • The "Within" estimator and the least squares dummy variable estimator 
    • First Differences
  •  Estimation of Random Effects Model 
    • Generalized Least Squares and Feasible GLS. 
    • "Between" estimator. 
  • Hausman Test

Lecture 19

13 Novembro 2023, 18:00 • Paulo Parente

Univariate time series modelling
  • Forecasts
Exercise Sheet 5: Exercise 1(a),2(a), 3.

Lecture 18

6 Novembro 2023, 20:00 • Paulo Parente

Exercise Sheet 10: Exercise 4


Panel Data Models 
  • Advantages and Limitations of Panel Data 
  • Pooled Regression 
  • Fixed Effects vs. Random Effects 
  • Estimation of the Fixed Effects Model 
    • The "Within" estimator and the least squares dummy variable estimator

Lecture 17

6 Novembro 2023, 18:00 • Paulo Parente

Univariate time series modelling 

  • ARMA processes 
  • Box Jenkins Methodology