Econometrics

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A Priori
Economics Econometrics
Reasoning from assumptions and logic before looking at data, often used to build economic models.
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Ability and Earnings
Labor Economics Econometrics
How differences in skill and other productive traits affect wages, and why that complicates estimates of the return to education.
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Acceptance Region
Statistics Econometrics
The set of test-statistic values for which a hypothesis test does not reject the null at a chosen significance level.
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Adjusted R-Squared
Econometrics Statistics
A version of R-squared that penalizes models for adding predictors that do not improve fit enough.
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Agent-Based Modelling
Economics Econometrics
A computational approach that simulates many interacting agents and studies the macro patterns that emerge from their behavior.
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Aggregate Data
Statistics Econometrics
Data created by combining many observations into totals, averages, shares, or rates for a group or economy.
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Aitken Estimator
Econometrics Statistics
The generalized least squares estimator used when regression errors are correlated or have non-constant variance.
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Almon Distributed Lag
Econometrics Statistics
A polynomial distributed-lag method that smooths lag coefficients and reduces parameter count in time-series regression.
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Almost Sure Convergence
Statistics Econometrics
A strong form of probabilistic convergence in which a sequence converges for every outcome except on a set of probability zero.
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Analysis of Variance
Econometrics Statistics
A statistical method for testing whether group means differ by comparing between-group variation with within-group variation.
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Applied Microeconomics
Microeconomics Econometrics
The use of microeconomic theory and data to answer real-world questions about households, firms, and policy.
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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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Asymptotic Distribution
Econometrics Statistics
The limiting probability distribution that approximates how a statistic behaves in large samples.
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Asymptotic Theory
Econometrics Statistics
The study of how estimators and test statistics behave as sample size becomes large.
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Augmented Dickey-Fuller Test
Econometrics Statistics
A time-series test used to check whether a variable contains a unit root.
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Autocorrelation
Econometrics Statistics
Correlation between a variable and its own lagged values in a time series.
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Autocorrelation Coefficient
Econometrics Statistics
The correlation between a time series and a lagged version of itself.
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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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Autocovariance
Econometrics Statistics
Covariance between a time series and its own lagged values.
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Autocovariance Function
Econometrics Statistics
The sequence of autocovariances of a stationary time series across different lags.
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Automated Econometrics
Econometrics Statistics
The use of algorithms to assist with model specification, estimation, testing, and selection in econometric work.
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Autoregressive Conditional Heteroscedasticity (ARCH)
Econometrics Statistics
A time-series model in which current volatility depends on past squared shocks.
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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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Autoregressive Moving Average (ARMA (p, q)) Model
Econometrics Statistics
A time-series model that combines lagged values of a series with lagged shocks.
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Autoregressive Process
Econometrics Statistics
A time-series process in which current values depend on past values of the same series.
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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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Bayes Theorem
Statistics Econometrics
Bayes theorem is the rule for updating probabilities after observing new evidence.
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Bayesian Econometrics
Econometrics Statistics
Bayesian econometrics estimates economic models by combining prior beliefs with observed data to form posterior distributions.
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Bayesian Inference
Statistics Econometrics
Bayesian inference updates probabilities or parameter beliefs by combining prior information with observed data.
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Behavioural Equation
Econometrics Macroeconomics
A behavioural equation is a structural equation that represents how households, firms, or other agents respond to incentives and constraints.
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Best Linear Unbiased Estimator
Econometrics Statistics
A best linear unbiased estimator is a linear unbiased estimator with the smallest variance among all linear unbiased estimators.
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Best-Fit Line
Statistics Econometrics
A best-fit line is the line that summarizes the average linear relationship between two variables in a scatterplot.
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Between-Groups Estimator
Econometrics Statistics
The between-groups estimator uses group averages in panel data to estimate how outcomes differ across entities rather than within each entity over time.
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Bias of an Estimator
Statistics Econometrics
The bias of an estimator is the difference between its expected value and the true parameter it is trying to estimate.
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Bimodal Distribution
Statistics Econometrics
A bimodal distribution has two distinct peaks, often showing that one dataset actually combines two different groups.
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Binary Choice Models
Econometrics Statistics
Binary choice models estimate the probability of a yes-or-no outcome such as working, defaulting, or buying.
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Binomial Distribution
Statistics Econometrics
The binomial distribution gives the probability of getting a fixed number of successes in a fixed number of independent trials.
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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.
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