Level-Level Model: A regression model where the dependent variable and the independent variables are in level (or original) form. Unrestricted Model: In hypothesis testing, the model that has no restrictions placed on its parameters. Omitted Variable Bias: The bias that arises in the OLS estimators when a relevant variable is omit ted from the regression. Interval Estimator: A rule that uses data to obtain lower and upper bounds for a population parameter. (See also confidence interval.) J Joint Distribution: The probability distribution determining the probabilities of

Discrete Random Variable: A random variable that takes on at most a finite or countably infinite number of values. This can be checked for by seeing if your residuals are correlated with your time or index variable. Podcast with Prof. In SE sites you can edit any question or answer.

Count Variable: A variable that takes on nonnegative integer values. Long-Run Propensity: In a distributed lag model, the eventual change in the dependent variable given a permanent, one-unit increase in the independent variable. Test Statistic: A rule used for testing hypotheses where each sample outcome produces a numerical value. The matrix $H$ is idempotent, hence it satisfies a following property $$\text{trace}(H)=\sum_{i}h_{ii}=\text{rank}(H),$$ where $h_{ii}$ is the diagonal term of $H$.

Elements of Econometrics (Second ed.). Nonlinear Function: A function whose slope is not constant. Text Editor: Computer software that can be used to edit text files. Privacy policy About Wikipedia Disclaimers Contact Wikipedia Developers Cookie statement Mobile view Endogeneity (econometrics) From Wikipedia, the free encyclopedia Jump to: navigation, search For endogeneity in a non-econometric sense, see Endogeny.

Expected Value: A measure of central tendency in the distribution of a random variable, including an estimator. Predicted Variable: See dependent variable. Long-Run Elasticity: The long-run propensity in a distributed lag model with the dependent and independent variables in logarithmic form; thus, the long-run elasticity is the eventual percentage increase in the explained Multiple Regression Analysis: A type of analysis that is used to describe estimation of and inference in the multiple linear regression model.

Population: A well-defined group (of people, firms, cities, and so on) that is the focus of a statistical or econometric analysis. Alternative Hypothesis: The hypothesis against which the null hypothesis is tested. Browse other questions tagged regression residuals or ask your own question. Malden: Blackwell.

Upper Saddle River: Pearson. Population R-Squared: In the population, the fraction of the variation in the dependent variable that is explained by the explanatory variables. Correlation Coefficient: A measure of linear dependence between two random variables that does not depend on units of measurement and is bounded between -1 and 1. Intercept Shift: The intercept in a regression model differs by group or time period.

Please try the request again. You should check (if you haven't already) if your input variables are normally distributed, and if not, then you should consider scaling or transforming your data (the most common kinds are Partial Effect: The effect of an explanatory variable on the dependent variable, holding other factors in the regression model fixed. Sampling Distribution: The probability distribution of an estimator over all possible sample outcomes.

Standardised Random Variable: A random variable transformed by subtracting off its expected value and dividing the result by its standard deviation; the new random variable has mean zero and standard deviation Missing Data: A data problem that occurs when we do not observe values on some variables for certain observations (individuals, cities, time periods, and so on) in the sample. Experiment: In probability, a general term used to denote an event whose outcome is uncertain. Measurement error[edit] Suppose that we do not get a perfect measure of one of our independent variables.

Proportionate Change: The change in a variable relative to its initial value; mathematically, the change divided by the initial value. If the independent variable is correlated with the error term in a regression model then the estimate of the regression coefficient in an Ordinary Least Squares (OLS) regression is biased; however Mean Absolute Error (MAE): A performance measure in forecasting, computed as the average of the absolute values of the forecast errors. Prediction Interval: A confidence interval for an unknown outcome on a dependent variable in a multiple regression model.

Method of Moments Estimator: An estimator obtained by using the sample analog of population moments; ordinary least squares and two stage least squares are both method of moments estimators. Seasonally Adjusted: Monthly or quarterly time series data where some statistical procedure possibly regression on seasonal dummy variables-has been used to remove the seasonal component. Prediction Error: The difference between the actual outcome and a prediction of that outcome. Endogenous Variables: In simultaneous equations models, variables that are determined by the equations in the system.

Jointly Statistically Significant: The null hypothesis that two or more explanatory variables have zero population coefficients is rejected at the chosen significance level. Contents 1 Exogeneity versus endogeneity 1.1 Static models 1.1.1 Omitted variable 1.1.2 Measurement error 1.1.3 Simultaneity 1.2 Dynamic models 1.2.1 Simultaneity 2 See also 3 References 4 Further reading 5 External Your cache administrator is webmaster. more hot questions question feed about us tour help blog chat data legal privacy policy work here advertising info mobile contact us feedback Technology Life / Arts Culture / Recreation Science

ISBN978-0-13-513740-6. Sample Variance: An unbiased, consistent estimator of the population variance. By definition of classical OLS framework there should be no relationship between $y ̂$ and $\hat u$, since the residuals obtained are per construction uncorrelated with $y ̂$ when deriving the The system returned: (22) Invalid argument The remote host or network may be down.

Your cache administrator is webmaster. share|improve this answer edited Nov 7 '13 at 12:15 answered Dec 8 '10 at 12:15 mpiktas 24.7k449104 8 +1 This is exactly the right analysis. Please try the request again. R R-Bar Squared: See adjusted R-squared.

Your cache administrator is webmaster. Autocorrelation: See serial correlation. It is common for some factors within a causal system to be dependent for their value in period t on the values of other factors in the causal system in period Sample Standard Deviation: A consistent estimator of the population standard deviation.

Strictly Exogenous: A feature of explanatory variables in a time series or panel data model where the error term at any time period has zero expectation, conditional on the explanatory variables Symmetric Distribution: A probability distribution characterised by a probability density function that is symmetric around its median value, which must also be the mean value (whenever the mean exists). If the variable x is sequential exogenous for parameter α {\displaystyle \alpha } , and y does not cause x in Granger sense, then the variable x is strong/strict exogenous for Text is available under the Creative Commons Attribution-ShareAlike License; additional terms may apply.

Not the answer you're looking for? Minimum Variance Unbiased Estimator: An estimator with the smallest variance in the class of all unbiased estimators. variable. Fitted Values: The estimated values of the dependent variable when the values of the independent variables for each observation are plugged into the OLS regression line.

Time Series Data: Data collected over time on one or more variables. Biased Towards Zero: A description of an estimator whose expectation in absolute value is less than the absolute value of the population parameter.