domingo, 25 de setembro de 2011

Econometria - Material muito bom.

Prof. Adriano Marcos Rodrigues Figueiredo

Material utilizado na UNIVERSIDADE FEDERAL DE MATO GROSSO - FACULDADE DE ECONOMIA. No final desta postagem estarei colocando o Sumário para todos se situarem.

Clique aqui para baixar

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SUMARIO

1. Introducao....................................................................................................... 3

2. Pressuposicoes do Modelo de Regressao Linear Classico ........................... 4

2.1. Pressuposicao 1: A relacao entre Y e X e linear.......................................... 6

2.2. Pressuposicao 2: O erro aleatorio tem media zero ..................................... 9

2.3. Pressuposicao 3: O erro aleatorio tem variancia constante (presenca de

homocedasticidade) .............................................................................................9

2.4. Pressuposicao 4: Os erros aleatorios sao independentes (ou nao

autocorrelacionados) ................................................................................... 10

2.5. Pressuposicao 5: As variaveis explicativas sao nao aleatorias (sao fixas) ...................................................................................................................... 11

2.6. Pressuposicao 6: O erro tem distribuicao normal, com media zero e variancia

constante: ..................................................................................................... 11

2.7. Pressuposicao 7: Ausencia de relacao linear exata entre as variaveis

explicativas (nao multicolinearidade) ............................................................ 12

3 Estimacao .................................................................................................. 13

Anexo 1: Estimacao utilizando matrizes no Excel: ........................................ 19

Anexo 2: Exercicios: ...................................................................................... 20

4 Violacoes nas Pressuposicoes Classicas do Modelo de Regressao Linear ........................................................................................................................ 24

4.1. Pressuposicao 1: A relacao entre Y e X e linear..................................... 24

4.2. Pressuposicao 2: O erro aleatorio tem media zero ................................. 31

4.3. Pressuposicao 3: O erro aleatorio tem variancia constante (presenca de

homocedasticidade) ....................................................................................... 37

4.4. Pressuposicao 4: Os erros aleatorios sao independentes (ou nao

autocorrelacionados) ...................................................................................... 53

4.5. Pressuposicao 5: As variaveis explicativas sao nao aleatorias (sao fixas) ........................................................................................................................ 65

4.6. Pressuposicao 6: O erro tem distribuicao normal, com media zero e variancia

constante: ........................................................................................................ 65

4.7. Pressuposicao 7: Ausencia de relacao linear exata entre as variaveis

explicativas (nao multicolinearidade) ................................................................ 68

4.8. Resumo ...................................................................................................... 72

5 Referencias Bibliograficas .............................................................................. 73

6. Programas Recomendados .......................................................................... 73


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