Econometrics

  • 15 Posts
  • 1 Sections
  • 1 Types
Aggregate Data
Statistics Econometrics
Data formed by combining many observations into totals, averages, or rates (for example GDP, inflation, unemployment).
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ARFIMA
Econometrics Statistics
An autoregressive fractionally integrated moving average model that captures long memory via fractional differencing.
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Autocorrelation Function (ACF)
Econometrics Statistics
A sequence of correlations between a time series and its own lagged values, used to describe persistence and guide time-series modeling.
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Autoregressive Integrated Moving Average (ARIMA) Model
Econometrics Statistics
A time-series forecasting model that combines autoregression, differencing, and moving-average shocks.
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Bandwidth (Nonparametric Estimation)
Econometrics Statistics
The smoothing window that controls how much neighboring data influence a nonparametric estimate.
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Continuous Distribution
Statistics Econometrics
A probability distribution defined over a continuum of values, described by a density function.
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Covariance Matrix
Econometrics Statistics
A square matrix that collects variances and covariances across multiple variables (used in econometrics and portfolio risk).
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Detrending
Econometrics Statistics
The process of separating long-run trend movements from short-run fluctuations in economic time series.
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Dickey-Fuller
Econometrics Statistics
A unit-root test used to assess whether a time series is nonstationary (has a unit root) or mean-reverting.
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Discrete Distribution
Statistics Econometrics
A probability distribution for variables that take countable values, represented by a probability mass function.
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Generalized Method of Moments (GMM) Estimator
Econometrics Statistics
An econometric estimator that fits parameters by matching model-implied moments to sample moments.
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Goldfeld–Quandt Test
Econometrics
A heteroscedasticity test that compares residual variances across two subsamples ordered by a variable.
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Interpolation
Statistics Econometrics
Estimating unknown values between observed data points (for example filling missing values within a time series).
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Logistic Distribution
Statistics Econometrics
A continuous probability distribution with an S-shaped cumulative function, widely used in econometrics.
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Omitted Variable Bias
Econometrics Statistics
Why regression estimates become biased when a relevant explanatory variable is left out.
Read more about Omitted Variable Bias.