Econometrics (2 º Sem 2019/2020)

The videos of today's lecture correspond to the videos Further_Issues_TS_part2.zip (Further_Issues_TS_part2.mp4) which are available here.

The video files are in mp4 format and are zipped and therefore students will need to unzip it 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 files of the videos are also available in the software Microsoft TEAMS.

The slides of the lecture correspond to the file Further_Issues_TS_part2.mp4 which 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:

Further Issues in Using OLS with Time Series Data. Wooldridge (2013), Chapter 11

Part 2

- Examples of weakly dependent time series
    - moving average process of order one
    - autoregressive process of order one
- Assumptions for consistency and asymptotic normality of OLS

 The students should read the following pages of Wooldridge (2013)’s book: 383 to 391.

The Homework for this week is the following: Exercises 1, 2, 3,5, C4, C11  (Wooldridge,2003 , Chapter 10)

The videos of today's lecture correspond to the videos Basic_Time_Series_part3.zip (Basic_Time_Series_part3.mp4) and Further_Issues_TS_part1.zip (Further_Issues_TS_part1.mp4) which are available here.

The video files are in mp4 format and are zipped and therefore students will need to unzip it 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 files of the videos are also available in the software Microsoft TEAMS.

The slides of the lecture correspond to the file Basic_Time_Series_part3.pdf  and Further_Issues_TS_part1.mp4 which 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:

Basic Regression Analysis with Time Series Data. Wooldridge (2013),Chapter 10

Part 3

- Trending Time Series
 -Seasonality

Further Issues in Using OLS with Time Series Data. Wooldridge (2013), Chapter 11
Part 1
- Covariance Stationary Process
- Weakly Dependent Time Series

 The students should read the following pages of Wooldridge (2013)’s book: 363 to 373 and 380 to 382.

The solutions to exercises C3 and C4 of chapter 8 of Wooldridge (2013)’s book were posted here.
I remind you that the homework for this week was the following:  exercises  1, 2, 3, C3, and C4  of Chapter 8 of Wooldridge (2013)'s book.
 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 video of today's lecture corresponds to the video Basic_Time_Series_part2.zip (Basic_Time_Series_part2.mp4) which is available here.

The video file is in mp4 format and is zipped and therefore students will need to unzip it 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 Basic_Time_Series_part2.pdf which 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:

Basic Regression Analysis with Time Series Data. Wooldridge (2013),Chapter 10

Part 2

- Assumptions for Unbiasedness
 - Variances of OLS Estimators
 - Inference on the long-run propensity

 The students should read the following pages of Wooldridge (2013)’s book: 349 to 363.

The videos of today's lecture correspond to the videos heteroskedasticity_part3p.zip (heteroskedasticity_part2p.mp4) and Basic_Time_Series_part1p.zip (Basic_Time_Series_part1p.mp4) which are available here.

The video files are in mp4 format and are 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 files of the videos are also available in the software Microsoft TEAMS.

The slides of the lecture correspond to the files heteroskedasticity_part3.pdf and Basic_Time_Series_part1.pdf which 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: Heteroskedasticity. Wooldridge (2013), Chapter 8.

Part 3

 - Prediction and Prediction Intervals with Heteroskedasticity

Basic Regression Analysis with Time Series Data. Wooldridge (2013),Chapter 10

Part 1

- Time Series vs. Cross Sectional
- Finite Distributed Lag Models

 The students should read the following pages of Wooldridge (2013)’s book: 292 to 294 and 344 to 349 .

The Homework for this week is the following: Exercises 1, 2, 3, C3, C4 (Wooldridge,2003 , Chapter 8)

The video of today's lecture corresponds to the video heteroskedasticity_part2.zip (heteroskedasticity_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 heteroskedasticity_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: Heteroskedasticity. Wooldridge (2013), Chapter 8.

 Part 2

 - Testing for Heteroskedasticity (The Breusch-Pagan Test, The White Test)
 - Weighted Least Squares, Generalized Least Squares, Feasible GLS

 The students should read the following pages of Wooldridge (2013)’s book: 275 to 292.

The Homework for this week is the following: Exercises 1, 2, 4, 5, 8, C6 (Wooldridge,2003 , Chapter 7)

The solutions to exercises 2, 4 and C6 of chapter 7 of Wooldridge (2013)’s book were posted here.
I remind you that the homework for this week was the following:  exercises  1, 2, 4, 5, 8 and C6  of Chapter 7 of Wooldridge (2013)'s book.
 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 6 of chapter 4 and  C1(i) of chapter 9 of Wooldridge (2013)’s book were posted here.
I remind you that the homework for this week was 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 9.
 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 video of today's lecture corresponds to the video heteroskedasticity_part1.zip (heteroskedasticity_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 heteroskedasticity_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: Heteroskedasticity. Wooldridge (2013), Chapter 8.

Part 1

- What is Heteroskedasticity? Why Worry About Heteroskedasticity?
- Variance of the OLS estimator with Heteroskedasticity
- Robust Standard Errors
 -Heteroskedastic-robust Wald statistic and a Robust Lagrange Multiplier Statistic

 The students should read the following pages of Wooldridge (2013)’s book: 268 to 275.