# Shared Flashcard Set

## Details

econometric final -- agec 650
dr. wang
23
Economics
04/21/2013

## Additional Economics Flashcards

Term
 null hypothesis
Definition
 the null hypothesis refers to a general or default position: that there is no relationship between two measured phenomena
Term
 p-value
Definition
 the p-value is the probability of obtaining a test statistic at least as extreme as the one that was actually observed, assuming that the null hypothesis is true
Term
 MSS
Definition
 the mean sums of squares, M.S.S., is found in each case by dividing the sum of squares, SS, by the corresponding degrees of freedom.
Term
 F-stat (excel's significance F)
Definition
 The test statistic, F, is the ratio of the mean sum of squares due to the differences between the group means and that due to the errors. Essentially the p-stat for model.
Term
 durbin watson test statistic
Definition
 a test statistic used to detect the presence of autocorrelation (a relationship between values separated from each other by a given time lag) in the residuals (prediction errors) from a regression analysis.
Term
 autocorrelation (aka. serial correlation or cross-autocorrelation)
Definition
 he cross-correlation of a signal with itself at different points in time (that is what the cross stands for). Informally, it is the similarity between observations as a function of the time lag between them.
Term
 R-squared (aka Coefficient of Determination)
Definition
 In a multiple regression model, the proportion of the total sample variation in the dependent variable that is explained by the independent variable.
Term
 elasticity
Definition
 The percentage change in one variable given a 1% ceteris paribus increase in another variable.
Term
 Error term aka disturbance
Definition
 The variable in a simple or multiple regression equation that contains unobserved factors which affect the dependent variable. The error term may also include measurement errors in the observed dependent or independent variables. Also Disturbance.
Term
 Explained sum of squares (SSE)
Definition
 The total sample variation of the fitted values in a multiple regression model.
Term
 Explanatory variable (aka Control Variable or Covariate or Independent Variable or Predictor Variable or Regressor)
Definition
 regression analysis, a variable that is used to explain variation in the dependent variable.
Term
 first order conditions
Definition
 The set of linear equations used to solve for the OLS estimates.
Term
 error variance
Definition
 The variance of the error term in a multiple regression model.
Term
 degrees of freedom
Definition
 In multiple regression analysis, the number of observations minus the number of estimated parameters.
Term
 dependent variable (aka predictive or explained variable)
Definition
 The variable to be explained in a multiple regression model (and a variety of other models).
Term
 Fitted Values
Definition
 The estimated values of the dependent variable when the values of the independent variables for each observation are plugged into the OLS regression line.
Term
 heteroskedasticity
Definition
 The variance of the error term, given the explanatory variables, is not constant.
Term
 homoskedasticity
Definition
 The errors in a regression model have constant variance conditional on the explanatory variables.
Term
 classical assumptions
Definition
 1.Regression model is linear, correctly specified, and has an additive error term2.Error term has a zero population mean 3.All explanatory variables are uncorrelated with the error term 4.Observations of the error term are uncorrelated with each other(no serial correlation) 5.Error term has a constant variance (no heteroskedasticity) 6.No explanatory variable is a perfect linear function of any other explanatory variable(s) (no perfect mulicollinearity) 7.Error term is normally distributed (optional but usually invoked)
Term
 ordinary least squares (OLS)
Definition
 A method for estimating the parameters of a multiple linear regression model. The ordinary least squares estimates are obtained by minimizing the sum of squared residuals.
Term
 semi-elasticity
Definition
 The percentage change in the dependent variable given a one-unit increase in an independent variable.
Term
 classical error
Definition
 error term satisfying Assumptions 1-5
Term
 classical normal error term
Definition
 assumption 7
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