Econometrics (2 º Sem 2019/2020)

The video of today's lecture corresponds to the video dummy_var_part2.zip (dummy_var_part2.mp4) which is available here.

The video file is in mp4 format and is zipped and therefore students will need to unzip them to a suitable folder.  If you do not have the software Winzip to unzip the file, I suggest that you use the software 7-zip which is freeware.

Notice that the unzipped file of the video is also available in the software Microsoft TEAMS.

The slides of the lecture correspond to the file dummy_var_part2.pdf which is available here.

Notice: At the scheduled time of the lecture (15h00) the module coordinator (Paulo Parente) is going to be available in the chat room of the MS TEAMS software to clear up doubts and answer any questions regarding the lectures. These sessions assume that the students have previously watched the videos of the lectures and that they read the relevant pages of the book.  After answering all the questions of the students, the module coordinator will end the online session.  The module coordinator is also going to be available to clear up the doubts of the students in relation to the theoretical concepts via email (pparente@iseg.ulisboa.pt). Students who wish to schedule additional sessions through the Microsoft TEAMS software should contact the module coordinator.

The topics in today's lecture are the following:

Multiple Regression Analysis with Qualitative Information: Dummy variables. Wooldridge (2013), Chapter 7
    (Part 2).

 ∙  Other Interactions with Dummies
  ∙  Testing for Differences Across Groups
  ∙  Linear Probability Model

 The students should read the following pages of Wooldridge (2013)’s book: 240 to 253.

The Homework for this week is the following: Exercises  6, 10 of Wooldridge (2013), Chapter 4, exercise 6 of Wooldridge (2013), Chapter  6 and exercise C1(i) of Wooldridge (2013) Chapter Ch9.

The solutions to exercises 8 of chapter 4, C8 of chapter 6 and 1 of Chapter 5 of Wooldridge (2013)’s book were posted here.
I remind you that the homework for this week was the following:  exercises 8 and C6 of chapter 4, C8 of chapter 6 and 1 of Chapter 5 of Wooldridge (2013). If you would like to receive feedback on your answer to  any other exercise, please scan it (or take a photo of it) and send the file to Luís Santos (lsantos@iseg.ulisboa.pt).

The solutions to exercises 2 and 5 of Chapter 4 Wooldridge (2013)’s book were posted here.
I remind you that the homework for this week was the following: Exercises 2, 4 and 5 (Wooldridge, 2013, Chapter 4). If you would like to receive feedback on your answer to  exercise 4, please scan it (or take a photo of it) and send the file to Luís Santos (lsantos@iseg.ulisboa.pt).

The video of today's lecture corresponds to the video dummy_var_part1.zip (dummy_var_part1.mp4) which is available here.

The video file is in mp4 format and is zipped and therefore students will need to unzip them to a suitable folder.  If you do not have the software Winzip to unzip the file, I suggest that you use the software 7-zip which is freeware.

Notice that the unzipped file of the video is also available in the software Microsoft TEAMS.

The slides of the lecture correspond to the file dummy_var_part1.pdf which is available here.

Notice: At the scheduled time of the lecture (15h00) the module coordinator (Paulo Parente) is going to be available in the chat room of the MS TEAMS software to clear up doubts and answer any questions regarding the lectures. These sessions assume that the students have previously watched the videos of the lectures and that they read the relevant pages of the book.  After answering all the questions of the students, the module coordinator will end the online session.  The module coordinator is also going to be available to clear up the doubts of the students in relation to the theoretical concepts via email (pparente@iseg.ulisboa.pt). Students who wish to schedule additional sessions through the Microsoft TEAMS software should contact the module coordinator.

The topics in today's lecture are the following:

Multiple Regression Analysis with Qualitative Information: Dummy variables. Wooldridge (2013), Chapter 7
    (Part 1).
  ∙  Introduction
  ∙  Program Evaluation
  ∙  Perfect Multicollinearity and the Dummy variable trap
  ∙  Dummies for Multiple Categories
  ∙  Interactions between dummy variables  

 The students should read the following pages of Wooldridge (2013)’s book: 227 to 241.

The video of today's lecture corresponds to the video Functional_Form.zip (Functional_Form.mp4) which is available here.

The video file is in mp4 format and is zipped and therefore students will need to unzip them to a suitable folder.  If you do not have the software Winzip to unzip the file, I suggest that you use the software 7-zip which is freeware.

Notice that the unzipped file of the video is also available in the software Microsoft TEAMS.

The slides of the lecture correspond to the file Functional_formb.pdf which is available here.

Notice: At the scheduled time of the lecture (15h00) the module coordinator (Paulo Parente) is going to be available in the chat room of the MS TEAMS software to clear up doubts and answer any questions regarding the lectures. These sessions assume that the students have previously watched the videos of the lectures and that they read the relevant pages of the book.  After answering all the questions of the students, the module coordinator will end the online session.  The module coordinator is also going to be available to clear up the doubts of the students in relation to the theoretical concepts via email (pparente@iseg.ulisboa.pt). Students who wish to schedule additional sessions through the Microsoft TEAMS software should contact the module coordinator.

The topics in today's lecture are the following:

    Topics on Functional Form, Wooldridge (2013), Chapter 6 (section 6.2) and Chapter 9 (section 9.1)

  ∙  Functional Form - The meaning of the term linear
  ∙  Quadratic Models
  ∙  Interaction Terms
  ∙  Tests of functional form
      -  Ramsey's RESET Test
      -  Nonnested Tests

 The students should read the following pages of Wooldridge (2013)’s book: 194 to to 200 and 304 to 308.

The homework of this week is the following: Exercises 8, C6 (Wooldridge, Chapter 4), C8 (Wooldridge, Chapter 6), 1  (Wooldridge, Chapter  5)

The video of today's lecture corresponds to the video asymptotics.zip (asymptoticsv1.mp4) from minute 22:54 until the end. This video was posted in Aquila on Monday (16/03/2020) and is available here.

The video file is in mp4 format and is zipped and therefore students will need to unzip them to a suitable folder.  If you do not have the software Winzip to unzip the file, I suggest that you use the software 7-zip which is freeware.

Notice that the unzipped file of the video is also available in the software Microsoft TEAMS.

The slides of the lecture correspond to the file asymptoticsb.pdf   from slide 21 until the end. These slides are available here.

Notice: At the scheduled time of the lecture (15h00) the module coordinator (Paulo Parente) is going to be available in the chat room of the MS TEAMS software to clear up doubts and answer any questions regarding the lectures. These sessions assume that the students have previously watched the videos of the lectures and that they read the relevant pages of the book.  After answering all the questions of the students, the module coordinator will end the online session.  The module coordinator is also going to be available to clear up the doubts of the students in relation to the theoretical concepts via email (pparente@iseg.ulisboa.pt). Students who wish to schedule additional sessions through the Microsoft TEAMS software should contact the module coordinator.

The topics in today's lecture are the following:

Multiple Regression Analysis: Asymptotic Properties. Wooldridge (2013), Chapter 5

               -  Consistency of the OLS estimator

                -  Inconsistency when we ignore one regressor.

                -  Asymptotic Normality-Introduction

                -  Asymptotic Normality of the OLS estimator

                -  Lagrange Multiplier statistic

 The students should read the following pages of Wooldridge (2013)’s book: 168 to to 181.

(Originally published on 16/03/2020)

The videos for today's lecture are now available here.

The video files are in mp4 format and are zipped and therefore students will need to unzip them to a suitable folder. The unzipped files are also available via the software Microsoft TEAMS.

 The slides featured in the videos are available here.

The topics in today's lecture are the following:

  Multiple Regression Analysis: Inference. Wooldridge (2013), Chapter 4 and Chapter 6 (section 6.4)

 ·       Prediction for the conditional mean of y in the multiple regression model

·       Prediction for y in the multiple regression model

·       Predicting y in a log model

(This corresponds to the video predictions.zip and slides predictionsb.pdf)

Multiple Regression Analysis: Asymptotic Properties. Wooldridge (2013), Chapter 5

 -  Consistency - Introduction

(This corresponds to the video asymptotics.zip until minute 22:54 and slides 1 to 20 of the file asymptoticsb.pdf)

The students should read the following pages of Wooldridge (2013)’s book: 207 to 210, 212 to 215, 763 to 766

The module coordinator (Professor Paulo Parente) will clear up the doubts of the students in relation to the theoretical concepts via email (pparente@iseg.ulisboa.pt).

Students who wish to schedule clear up sessions through the software  Microsoft TEAMS should contact the module coordinator via email.

The Homework for this week is the following: Exercises 2, 4 and 5 (Wooldridge, 2013, Chapter 4).

Considering the restrictions to the normal functioning of the lectures and tutorials and the suppression of the interim evaluations, the assessment of the students in the module of Econometrics in the normal season is going to be made by final exam with the duration of two hours. This exam covers all topics detailed in the programme of the module.
Students are responsible for printing the statistical tables available in Aquila and for taking them to the examination. It is not permitted to write any notes in the statistical tables. In addition to the statistical tables, two sheets (4 sides A4) of notes made exclusively by the student may be consulted in this exam.  Note that no formula sheets are provided.

Starting next week and until further notice the teaching of the module Econometrics is going to be organized as follows:

1.  We are going to post on the webpage of the module videos on the topics that students should study each week. We are also going to indicate the corresponding pages of the book that students should be read. Although we will try to post the videos on the webpage of the module on the days of the lectures, there may be some delays.

2. The slides featured in the videos are going to be made available on the webpage of the module and contain the solutions of the exercises that appear in the slides on each chapter.

3. The module coordinator ( Paulo Parente) is going to answer any questions that the  students might have on the theoretical concepts via email (pparente@iseg.ulisboa.pt ). In case many students show interest, he is available to schedule sessions to clear up doubts via the software  TEAMS from Microsoft.

4. The exercises that the students must solve each week will be indicated in the website of the module. The solutions of some exercises are going to be made available. The students should try to solve the exercises on their own. If you would like to receive feedback on your answers to the exercises, please scan them and send the files to Luís Silva (lsantos@iseg.ulisboa.pt).