Definition and meaning of nested models in econometrics
An estimator that addresses nonlinearities in the least squares estimation process by linearizing first-order conditions for the parameters.
An in-depth look at nonlinear regression, its meaning, definitions, and analytical frameworks.
An overview of the term 'normal equations' in the context of econometrics and least squares estimation.
A statistical test where the hypothesis is rejected only for sufficiently large or small values of the test statistic, when the direction of the effect is known beforehand.
The minimum number of times it is necessary to difference a non-stationary time series to produce a stationary series.
A method of estimation of the coefficients in a linear regression by minimizing the sum of squared residuals.
The definition and meaning of Partial Autocorrelation Coefficient in econometrics and time series analysis.
A measure of the degree of linear relationship between two variables after the effect of other variables has been removed.
Least squares regression analysis that ignores possible group structure of the data
An entry defining the concept of a predetermined variable in econometric models, its significance, and its use in solving the endogeneity problem.
Definition and conceptualization of the probit model in economics, focusing on its role as a discrete choice model using the cumulative normal distribution function.
A method of estimation of the causal effect of a treatment, or a policy intervention, in observational data.
An in-depth exploration of quantile regression, a method used to estimate the quantiles of the conditional distribution of the dependent variable.
An overview of the Ramsey Regression Equation Specification Error Test, a method for identifying linear regression model misspecifications by testing non-linear combinations of explanatory variables.
A detailed exploration of the recursive model in economics and econometrics.
A formulation in econometrics where current endogenous variables are expressed in terms of exogenous and predetermined endogenous variables.
A method of estimation designed to find the causal effect of a discontinuous treatment
A method of estimation designed to find the causal effect when a policy variable has discontinuities in the first derivative, or ‘kinks’.
A decision rule for rejecting the null hypothesis in favour of the alternative based on test statistics or p-values.
An overview of the Ramsey regression equation specification error test (RESET) and its implications in econometrics.
Variation in the dependent variable not explained by the regression model, represented by the residuals of the regression
An in-depth analysis of the term 'residual' in the context of economics and econometrics.
An estimator method in econometrics used to minimize the sum of squared residuals subject to constraints for hypothesis testing.
An overview of Root Mean Squared Error (RMSE), including its definition, historical context, applications, and relevance in various economic theories.
Understanding sample selectivity bias and its implications in econometric analysis
An in-depth exploration of the term 'Sampling Distribution'—a fundamental concept in statistics and econometrics.
A diagram depicting the relation between two characteristics of a set of observations.
A method for the assessment of the robustness of predictions of a model to variations in the model assumptions.
An overview of Simultaneous Equations Model (SEM) used in econometrics for modeling relationships among multiple endogenous and exogenous variables.
A comprehensive entry on the Spearman Rank Correlation Coefficient, its definition, applications, and significance in economics.
An overview of strongly stationary processes in the context of stochastic processes.
An overview of structural equations, their use in economics, and important related concepts.
Student’s t-distribution is a probability distribution used in statistics to estimate population parameters when the sample size is small.
A comprehensive overview of time-series data, including its definition, historical context, analytical frameworks, and related terms.
Definition and exploration of the term 'tolerance interval' in the field of economics and statistics
An overview of the concept of trend in economics, particularly in time-series data and econometric modeling.
A method for analyzing time-series data by separating long-term trends from short-term fluctuations and seasonal components
An econometric method addressing endogeneity in linear regression models by using instrumental variables.
An overview of Type I and II errors, their significance in hypothesis testing, and their implications in economic research.
Explanation and significance of an unbiased estimator in statistics and econometrics
A generalization of the univariate model of an autoregressive process to a system of equations describing multivariate time series.
An advanced econometric model for analyzing multivariate non-stationary time series.
The Wald Test is utilized for testing restrictions on unknown parameters based on the maximum likelihood estimation.
A property of a time series indicating that its mean, variance, and autocovariance structure do not change over time.
An average giving weights to different numbers in proportion to their importance
A comprehensive entry explaining the concept, usage, and analytical frameworks associated with the weighted least squares estimator.
Difference equations relating the autocorrelation coefficients of an autoregressive process to the coefficients on the lags.
Exploring the identification problem in economics, its implications, and resolution methods.
