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Econometrics
Introduction to Econometrics
16
Economics
Undergraduate 4
09/22/2011

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Cards

Term
CLRM Makes 7 Assumptions
Definition
1)Model is Linear in the Parameters
2) The X Variable is Uncorrelated with the U disturbance term
3) E(u/Xi) = 0
4) Each ui variance is homoskedastic (constant)
5) No correlation between two error terms
6) No specification bias (all relevant variables included)
7) ui is normally distributed (mean 0, variance sigma^2)
Term
Formula for OLS
Definition
min(b1,b2,b3)Sigma(e^2) = RSS = Sigma(Yi - b1 - b2x2 - b3x3...)^2
Term
Goodness of Fit/R^2 equation
Definition
ESS/TSS = 1- RSS/TSS
Term
t-stat equation
Definition
(b2 - B2)/s.e.(b2)
Term
Partial Regression Coefficient
Definition
Reflects the (partial) effect of one explanatory variable on the mean value of the dependent variable when the values of other explanatory variables included in the model are held constant.
Term
Coefficient of Determination
Definition
The proportion in variation of the dependent variable explained by all independent variables in the regression model.
Term
Multicollinearity
Definition
Multiple (exact) linear relationships exist between variables in an estimated multiple regression function.
Term
Linear Equation
Definition
Y-hat = b1 + b2x2
Term
Log Linear
Definition
lnY = B1 + B2LnX (elasticity)
Term
Semi Log
Definition
LnY = B1 + B2X2
Term
Lin-Log Model
Definition
Y = B1 + B2LnX2
Term
Reciprocal Model
Definition
Y = B1 + B2(1/X)
Term
Cubic/Binomial Model
Definition
Y = B1 + B2X + B3X^2 + B4X^3
Term
Dubin-Watson Statistic EQN
Definition
d= (Sum(Et - E(t-1))/(Sum Et^2) or
d approx = 2(1-p) (p: Covariance of Et & Et-1
Term
Correct Variance Methods (3)
Definition
1) Divide through by SQRT variance
2) Divide through by SQRT of X
3) Divide through by X
Term
Dummy Variable Regression Iterations (4)
Definition
1) Coincidental Regression
2) Concurrent Regression
3) Parallel Regressions
4) Dissimilar Regressions
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