An in-depth analysis of the autoregressive process in time series modeling.
A method of numerical data analysis summarizing relationships among variables in a data set.
A detailed exploration of linear regression, its methodologies, and its application in econometrics.
A statistical test for heteroscedasticity in regression models, checking if the size of random errors increases proportionally to changes in exogenous variables.
Stationary normally distributed stochastic process.
An exploration of causality, focusing on Granger causality within econometrics
Understanding the concept of the bias of an estimator in economics and statistics
A comprehensive analysis of the ARIMA (p, d, q) model in time series forecasting and its applications in economics.
An estimate of the growth rate of a variable obtained from the ordinary least squares regression of the natural logarithm of the variable on a constant and on a linear time trend.
A flexible tool for numerical data analysis without a specific functional form.
Detailed exploration of R-squared, also known as the coefficient of determination
A comprehensive overview of the two-tailed test in the context of statistical hypothesis testing.
Explanation and implications of omitted variable bias in linear regression analysis.
A line on a scatter diagram representing the optimal relationship between two variables.
Definition and explanation of the Autocorrelation Function (ACF)
A detailed examination of the partial autocorrelation function (PACF), explaining its meaning and significance in time series analysis.
An estimator that converges in probability to the true value of the estimated parameter.
A comprehensive exploration of counterfactual analysis within the field of economics, detailing its applications and significance in econometrics, macroeconomics, and microeconomics.
A comprehensive overview of the Generalized Least Squares (GLS) estimator, its historical context, major analytical frameworks, and related terms.
A method used to transform an infinite geometric lag model into a finite model with a lagged dependent variable.
A regression model used to estimate unknown parameters from a censored sample.
A key concept in statistical inference defining the range where a test statistic is likely to fall if the null hypothesis is true
An exploration of the Aitken estimator, commonly known as the generalized least squares estimator, and its applications within various economic frameworks.
A comprehensive explanation of the Almon distributed lag model in econometrics.
A statistical technique to decompose total population variance into parts to test significance of differences among groups.
A statistical test used to determine the presence of unit root in time series data, thus helping in analysis of data stationarity.
A metric evaluating the correlation between a variable and its lagged values in time series analysis.
Covariance between a random variable and its lagged values in time series analysis
An approach in empirical econometrics where model evaluation and selection is performed by a computerized algorithm.
An approach to estimation and inference in econometrics using probability distributions to express uncertainty about parameters.
Definition and meaning of the Best Linear Unbiased Estimator (BLUE) in statistics and econometrics.
A computer-intensive technique of re-sampling the data to obtain the sampling distribution of a statistic
An overview and analysis of the Box–Cox transformation, its definition, application, and relevance in economics.
A statistical test for unit root or stationarity in panel data.
A test in the context of linear regression models for examining homoscedasticity against specific forms of heteroscedasticity.
A statistical test used to determine whether the coefficients in two linear regressions on different data samples are equal.
A two-step estimation technique used in linear regression models to address first-order serial correlation in the errors.
The proportion of sample variation in the dependent variable explained by the regression in a linear model.
Understanding the concept of cointegration in time series analysis, particularly in relation to non-stationary variables that share a common stochastic trend.
Understanding the concept of contemporaneous correlation and its significance in economics.
An overview of the concept of convergence in probability within the field of econometrics and statistics.
An explanation of the measure of the degree of linear relationship between two random variables.
Detailed analysis and definition of the covariance matrix in economics and statistics
A detailed exploration of the Cowles Foundation, its history, contributions to econometrics and general equilibrium theory, and its influence on Nobel-winning economists.
Extraction of useful information from large data sets, employing automated techniques to find patterns and anomalies.
Elimination of small-scale variation, or noise, from data to reveal important patterns.
Explaining the role and significance of a dependent variable in econometric models
An overview of descriptive statistics, summarizing measures that describe various characteristics of a data set.
Detrending: Definition, Methods, and Analytical Frameworks in Economics
A statistical test for detecting the presence of first-order serial correlation in the error terms of a linear regression model.
Durbin’s test: Evaluating first-order serial correlation in the presence of a lagged dependent variable
A detailed examination of econometric models, their definitions, historical context, analytical frameworks, and related terms.
An exploration of econometrics, its development, theoretical frameworks, and application in economics.
Simultaneous causality between the dependent variable and an endogenous variable, rendering ordinary least squares estimation biased and inconsistent
A variable whose value is determined by the equilibrium of a system, contrasted with an exogenous variable which is externally imposed.
Definition and explanation of the error term in the context of regression analysis in economics
The bias of an estimator caused by measurement errors in the data.
A rule for using observed sample data to calculate the unobserved value of a population parameter.
A variable not related to other economic variables in the system under consideration by causal links but determined by factors outside the system.
A forecast technique based on the weighted average of past values with exponentially declining weights.
Definition and Meaning of FGLS in Econometrics
An overview and discussion of fixed effects in panel data regression models.
A comprehensive examination of frequency tables used for summarizing data.
A comprehensive look at the Full Information Maximum Likelihood (FIML) estimation method in economics.
A comprehensive overview of the Gauss–Markov Theorem, emphasizing its statistical and econometric significance.
A set of linear equality restrictions on the coefficients of a linear regression model.
An in-depth exploration of the General Linear Model (GLM) in economics and statistics.
A method used in econometrics to estimate parameters in statistical models.
A test for heteroscedasticity applicable when observations can be ordered according to non-decreasing variance.
The observation by economist C. Goodhart that when a metric is used as a target for policy, it ceases to be a good measure.
Understanding the concept of Granger causality and its implications in econometrics and forecasting.
Model specification test to compare estimators for consistency and efficiency.
Exploring the concept of heteroscedasticity in statistical and econometric models, including its definition, implications, detection tests, and methods for managing it.
An examination of hypothesis testing, a foundational algorithm in statistical inference used for evaluating theoretical claims.
A method for estimating the structural parameters of a simultaneous equations model by using ordinary least squares on the reduced form.
A method for model selection that incorporates likelihood function and penalizes the complexity of the model. Notable examples are Akaike Information Criterion (AIC) and Bayes-Schwarz Information Criterion (BIC).
An overview of the concept of instrumental variables in econometrics, used to address endogeneity problems in regression analysis.
Understanding inverse correlation and its implications in economics
A test of overidentifying restrictions in the generalized method of moments (GMM) model
A comprehensive overview of Johansen's Approach in econometrics for estimating vector error correction models (VECM) with multiple cointegrating vectors.
Understanding the role and application of kernels in econometric analysis
Non-parametric regression method using kernel functions to predict dependent variable values.
A measure of the 'humpedness' of a probability distribution compared to a normal distribution.
Detailed definition and exploration of the Lagrange Multiplier (LM) test in econometrics and statistical hypothesis testing.
A method of estimation in econometric models minimizing the sum of squared differences.
A statistical test for evaluating restrictions on parameters in maximum likelihood estimation
A dependent variable that takes values only from a restricted set.
An overview of Limited Information Maximum Likelihood (LIML) estimation used in linear simultaneous equations models.
An overview of the linear probability model used in econometrics and its applications, strengths, and limitations.
Definition and meaning of the location-scale family of distributions, exploring its foundational concepts and applications in various economic frameworks.
A statistical model used for predicting the probability of a binary outcome.
The branch of econometrics that has developed tools specifically designed to analyze macroeconomic data.
A stochastic process where the expected future value of a variable, given the current information, is equal to its current value.
An overview of Maximum Likelihood Estimator (MLE), a method used to estimate unknown parameters of a distribution by maximizing the likelihood function of the sample.
Microeconometrics: Analytical Tools for Individual-Level Economic Data
Moment Generating Function (mgf) is utilized to calculate moments of the distribution of a random variable X.
Definition and exploration of the Monte Carlo method in economics
A detailed exploration of the moving average process MA(q), a key concept in time series analysis
An examination of multicollinearity within multiple regression analysis, its impacts, and possible remedies.
