Sumários
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4 Novembro 2021, 14:30 • Rita Sousa
SUMMARY
The Ordinary Least Squares Method (OLS) is the most popular method to estimate the parameters of linear models. When the models are non-linear in parameters, alternative estimation methods are needed. The most commonly used are: Non-Linear Least Squares (NLLS), Generalized Method of Moments (GMM) and Maximum Likelihood Estimation (MLE) method. On this class we focus on alternative estimation techniques for estimating equations that are nonlinear in the parameters.
STUDENTS AUTONOMOUS WORK
Students must read CLASS MATERIALS.
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28 Outubro 2021, 16:00 • Rita Sousa
SUMMARY
After these two lectures students should be able to analyze the consequences of errors' Autocorrelation for the OLS estimators. They should know how to interpret the Durbin-Watson and Breusch-Godfrey tests and to implement the Cochrane-Orcutt and Newey-West procedures.
STUDENTS AUTONOMOUS WORK
Students must read CLASS MATERIALS and the following information:
|
SUBJECT |
BOOK/CHAPTER |
|
Autocorrelation |
Wooldridge, J. (2008), chapters 10 and 11 |
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28 Outubro 2021, 14:30 • Rita Sousa
SUMMARY
After these two lectures students should be able to analyze the consequences of errors' Autocorrelation for the OLS estimators. They should know how to interpret the Durbin-Watson and Breusch-Godfrey tests and to implement the Cochrane-Orcutt and Newey-West procedures.
STUDENTS AUTONOMOUS WORK
Students must read CLASS MATERIALS and the following information:
|
SUBJECT |
BOOK/CHAPTER |
|
Autocorrelation |
Wooldridge, J. (2008), chapters 10 and 11 |
.
14 Outubro 2021, 16:00 • Rita Sousa
SUMMARY
After these two lectures students should be able to analyze the consequences of errors' Heteroskedasticity for the OLS estimators. They should also know how to interpret the White test and to implement the White asymptotic correction procedure.
STUDENTS AUTONOMOUS WORK
Students must read CLASS MATERIALS and the following information:
|
SUBJECT |
BOOK/CHAPTER |
|
Heteroskedasticity |
Wooldridge, J. (2008), chapter 8 |
.
14 Outubro 2021, 14:30 • Rita Sousa
SUMMARY
After these two lectures students should be able to analyze the consequences of errors' Heteroskedasticity for the OLS estimators. They should also know how to interpret the White test and to implement the White asymptotic correction procedure.
STUDENTS AUTONOMOUS WORK
Students must read CLASS MATERIALS and the following information:
|
SUBJECT |
BOOK/CHAPTER |
|
Heteroskedasticity |
Wooldridge, J. (2008), chapter 8 |