Glossary of Introductory Econometrics terms meanings

Adjusted R-Squared meaning Alternative Hypothesis meaning AR(1) Serial Correlation meaning Asymptotic Bias meaning Asymptotic Confidence Interval meaning Asymptotic Normality meaning Asymptotic Properties meaning Asymptotic Standard Error meaning Asymptotic t Statistics meaning Asymptotic Variance meaning Asymptotically Efficient meaning Asymptotically Uncorrelated meaning Attenuation Bias meaning Augmented Dickey-Fuller Test meaning Autocorrelation meaning Autoregressive Conditional Heteroskedasticity (ARCH) meaning Autoregressive Process of Order One [AR(1)] meaning Auxiliary Regression meaning Average Partial Effect meaning Average Treatment Effect meaning Balanced Panel meaning Base Group meaning Base Period meaning Base Value meaning Benchmark Group meaning Best Linear Unbiased Estimator (BLUE) meaning Beta Coefficients meaning Biased Towards Zero meaning Binary Response Models meaning Binary Variable meaning Bootstrap meaning Bootstrap Standard Error meaning Breusch-Godfrey Test meaning Breusch-Pagan Test meaning Causal Effect meaning Censored Normal Regression Model meaning Censored Regression Model meaning Ceteris Paribus meaning Chow Statistic meaning Classical Errors-in-Variables (CEV) meaning Classical Linear Model meaning Classical Linear Model (CLM) Assumptions meaning Cluster Effect meaning Cluster Sample meaning Cochrane-Orcutt (CO) Estimation meaning Coefficient of Determination meaning Cointegration meaning Composite Error Term meaning Conditional Forecast meaning Conditional Median meaning Confidence Interval (CI) meaning Consistency meaning Constant Elasticity Model meaning Contemporaneously Exogenous meaning Contemporaneously Homoskedastic meaning Control Group meaning Control Variable meaning Corner Solution Response meaning Count Variable meaning Covariance Stationary meaning Critical Value meaning Cross-Sectional Data Set meaning Data Frequency meaning Data Mining meaning Davidson-MacKinnon Test meaning Degrees of Freedom meaning Degrees of Freedom (df ) meaning Denominator Degrees of Freedom meaning Dependent Variable meaning Deseasonalizing meaning Detrending meaning Dickey-Fuller (DF) Test meaning Dickey-Fuller Distribution meaning Difference in Slopes meaning Difference-in-Differences Estimator meaning Difference-Stationary Process meaning Disturbance meaning Downward Bias meaning Dummy Variable meaning Dummy Variable Regression meaning Dummy Variable Trap meaning Duration Analysis meaning Durbin-Watson (DW) Statistic meaning Dynamically Complete Model meaning Econometric Model meaning Economic Model meaning Economic Significance meaning Elasticity meaning Empirical Analysis meaning Endogenous Explanatory Variable meaning Endogenous Explanatory Variables meaning Endogenous Sample Selection meaning Endogenous Variables meaning Engle-Granger meaning Engle-Granger Two-Step Procedure meaning Error Correction Model meaning Error Term meaning Error Term (Disturbance meaning Error Variance meaning Errors-in-Variables meaning Event Study meaning Excluding a Relevant Variable meaning Exclusion Restrictions meaning Exogenous Explanatory Variable meaning Exogenous Sample Selection meaning Exogenous Variable meaning Experimental Data meaning Experimental Group meaning Explained Sum of Squares (SSE) meaning Explained Variable meaning Explanatory Variable meaning Exponential Smoothing meaning Exponential Trend meaning F Statistic meaning Feasible GLS (FGLS meaning Feasible GLS (FGLS) Estimator meaning Finite Distributed Lag (FDL) Model meaning First Difference meaning First Order Autocorrelation meaning First Order Conditions meaning First-Differenced (FD) Equation meaning First-Differenced (FD) Estimator meaning Fitted Values meaning Fixed Effect meaning Fixed Effects Estimator meaning Fixed Effects Model meaning Fixed Effects Transformation meaning Forecast Error meaning Forecast Interval meaning Functional Form Misspecification meaning Gauss-Markov Assumptions meaning Gauss-Markov Theorem meaning Generalized Least Squares (GLS) Estimator meaning Geometric (or Koyck) Distributed Lag meaning Granger Causality meaning Growth Rate meaning Heckit Method meaning Heterogeneity Bias meaning Heteroskedasticity meaning Heteroskedasticity of Unknown Form meaning Heteroskedasticity-Robust F Statistic meaning Heteroskedasticity-Robust LM Statistic meaning Heteroskedasticity-Robust Standard Error meaning Heteroskedasticity-Robust t Statistic meaning Highly Persistent meaning Homoskedasticity meaning Identification meaning Identified Equation meaning Idiosyncratic Error meaning Impact Multiplier meaning Impact Propensity meaning Incidental Truncation meaning Inclusion of an Irrelevant Variable meaning Inconsistency meaning Independent Variable meaning Independently Pooled Cross Section meaning Index Number meaning Infinite Distributed Lag (IDL) Model meaning Influential Observations meaning Information Set meaning In-Sample Criteria meaning Instrument Exogeneity meaning Instrument Relevance meaning Instrumental Variable (IV) meaning Instrumental Variables (IV) Estimator meaning Integrated of Order One [I(1)] meaning Integrated of Order Zero [I(0)] meaning Interaction Effect meaning Interaction Term meaning Intercept meaning Intercept Parameter meaning Intercept Shift meaning Internet meaning Inverse Mills Ratio meaning Joint Hypotheses Test meaning Jointly Insignificant meaning Jointly Statistically Significant meaning Just Identified Equation meaning Lag Distribution meaning Lagged Dependent Variable meaning Lagged Endogenous Variable meaning Lagrange Multiplier (LM) Statistic meaning Large Sample Properties meaning Latent Variable Model meaning Leads and Lags Estimator meaning Least Absolute Deviations (LAD) meaning Likelihood Ratio Statistic meaning Limited Dependent Variable (LDV) meaning Linear Probability Model (LPM) meaning Linear Time Trend meaning Logit Model meaning Log-Likelihood Function meaning Longitudinal Data meaning Long-Run Elasticity meaning Long-Run Multiplier meaning Long-Run Propensity (LRP) meaning Loss Function meaning Martingale meaning Martingale Difference Sequence meaning Matched Pair Sample meaning Maximum Likelihood Estimation (MLE) meaning Mean Absolute Error (MAE) meaning Mean Independent meaning Measurement Error meaning Micronumerosity meaning Minimum Variance Unbiased Estimators meaning Missing Data meaning Misspecification Analysis meaning Moving Average Process of Order One [MA(1)] meaning Multicollinearity meaning Multiple Hypotheses Test meaning Multiple Linear Regression (MLR) Model meaning Multiple Regression Analysis meaning Multiple Restrictions meaning Multiple-Step-Ahead Forecast meaning Multiplicative Measurement Error meaning Natural Experiment meaning Nonexperimental Data meaning Nonnested Models meaning Nonrandom Sample meaning Nonstationary Process meaning Normality Assumption meaning n-R-Squared Statistic meaning Null Hypothesis meaning Numerator Degrees of Freedom meaning Observational Data meaning OLS Intercept Estimate meaning OLS Regression Line meaning OLS Slope Estimate meaning Omitted Variable Bias meaning Omitted Variables meaning One-Sided Alternative meaning One-Step-Ahead Forecast meaning One-Tailed Test meaning Online Databases meaning Online Search Services meaning Order Condition meaning Ordinal Variable meaning Ordinary Least Squares (OLS) meaning Outliers meaning Out-of-Sample Criteria meaning Over Controlling meaning Overall Significance of the Regression meaning Overdispersion meaning Overidentified Equation meaning Overidentifying Restrictions meaning Overspecifying a Model meaning Panel Data meaning Partial Effect meaning Partial Effect at the Average (PEA) meaning Percent Correctly Predicted meaning Perfect Collinearity meaning Plug-In Solution to the Omitted meaning Point Forecast meaning Poisson Distribution meaning Poisson Regression Model meaning Policy Analysis meaning Pooled Cross Section meaning Population Model meaning Population Regression Function (PRF) meaning Population R-Squared meaning Practical Significance meaning Prais-Winsten (PW) Estimation meaning Predetermined Variable meaning Predicted Variable meaning Prediction meaning Prediction Error meaning Prediction Interval meaning Predictor Variable meaning Probit Model meaning Program Evaluation meaning Proxy Variable meaning Pseudo R-Squared meaning p-Value meaning Quadratic Functions meaning Quasi-Demeaned Data meaning Quasi-Differenced Data meaning Quasi-Experiment meaning Quasi-Likelihood Ratio Statistic meaning Quasi-Maximum Likelihood Estimation (QMLE) meaning Random Coefficient (Slope) Model meaning Random Effects Estimator meaning Random Effects Model meaning Random Sampling meaning Random Walk meaning Random Walk with Drift meaning Rank Condition meaning Rational Distributed Lag (RDL) Model meaning Reduced Form Equation meaning Reduced Form Error meaning Reduced Form Parameters meaning Regressand meaning Regression Specification Error Test (RESET) meaning Regression through the Origin meaning Regressor meaning Rejection Rule meaning Resampling Method meaning Residual meaning Residual Analysis meaning Residual Sum of Squares meaning Residual Sum of Squares (SSR) meaning Response Probability meaning Response Variable meaning Restricted Model meaning Retrospective Data meaning Root Mean Squared Error (RMSE) meaning R-squared meaning R-Squared Form of the F Statistic meaning Sample Regression Function (SRF) meaning Score Statistic meaning Seasonal Dummy Variables meaning Seasonality meaning Seasonally Adjusted meaning Selected Sample meaning Self-Selection meaning Semi-elasticity meaning Sensitivity Analysis meaning Sequentially Exogenous meaning Serial Correlation meaning Serial Correlation-Robust Standard Error meaning Serially Uncorrelated meaning Short-Run Elasticity meaning Significance Level meaning Simple Linear Regression Model meaning Simultaneity meaning Simultaneity Bias meaning Simultaneous Equations Model (SEM) meaning Slope Parameter meaning Smearing Estimate meaning Spreadsheet meaning Spurious Regression Problem meaning Stable AR(1) Process meaning Standard Error of the Regression (SER) meaning Standardized Coefficients meaning Static Model meaning Stationary Process meaning Statistically Insignificant meaning Statistically Significant meaning Stochastic Process meaning Stratified Sampling meaning Strict Exogeneity meaning Strictly Exogenous meaning Strongly Dependent meaning Structural Equation meaning Structural Error meaning Structural Parameters meaning Studentized Residuals meaning Sum of Squared Residuals (SSR) meaning t Ratio meaning t Statistic meaning Text (ASCII) File meaning Text Editor meaning Time Series Data meaning Time Series Process meaning Time Trend meaning Time-Demeaned Data meaning Tobit Model meaning Top Coding meaning Total Sum of Squares (SST) meaning Treatment Group meaning Trend-Stationary Process meaning True Model meaning Truncated Normal Regression Model meaning Truncated Regression Model meaning Two Stage Least Squares (2SLS) Estimator meaning Two-Sided Alternative meaning Two-Tailed Test meaning Unbalanced Panel meaning Uncentered R-Squared meaning Unconditional Forecast meaning Underspecifying a Model meaning Unidentified Equation meaning Unit Root Process meaning Unobserved Effect meaning Unobserved Effects Model meaning Unobserved Heterogeneity meaning Unrestricted Model meaning Upward Bias meaning Variance Inflation Factor (VIF) meaning Variance of the Prediction Error meaning Vector Autoregressive (VAR) Model meaning Wald Statistic meaning Weak Instruments meaning Weakly Dependent meaning Weighted Least Squares (WLS) Estimator meaning White Test meaning Within Estimator meaning Within Transformation meaning Year Dummy Variables meaning Zero Conditional Mean Assumption meaning

Glossary of Introductory Econometrics terms meanings

The following texts are the property of their respective authors and we thank them for giving us the opportunity to share for free to students, teachers and users of the Web their texts will used only for illustrative educational and scientific purposes only.

All the information in our site are given for nonprofit educational purposes

The information of medicine and health contained in the site are of a general nature and purpose which is purely informative and for this reason may not replace in any case, the council of a doctor or a qualified entity legally to the profession.

Glossary of Introductory Econometrics terms meanings

www.riassuntini.com