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ExamII
ExamII Flashcards
27
Economics
Undergraduate 4
04/07/2013

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Term
Heteroskedasidity
Definition
Observations with different . You are less certain how a change in a High variability. determinant will affect the variable. (Rich people in the food expenditure example)
Term
Homoskedasticity
Definition
Observations with same variances. Low variability.You are more sure of how a change in a determinant will affect the variable. (Poor people in the food expenditure variable)
Term
How to determine Heteroskedasticity
Definition
If there are a shit ton variab les far away from the line of regression. The least squares assumption is violated.
Term
Hausman Test
Definition
tests whether random effects estimation would be almost as good. In a fixed-effects kind of case, the Hausman test is a test of H0: that random effects would be consistent and efficient, versus H1: that random effects would be inconsistent.
Term
Ordinary Least Squares
Definition
method for estimating the unknown parameters in a linear regression model
--minimizes the sum of squared vertical distances between the observed responses in the dataset and the responses predicted by the linear approximation
Term
Multicollinearity
Definition
Multicollinearity is a statistical phenomenon in which two or more predictor variables in a multiple regression model are highly correlated,
Term
Wald Test
Definition
the Wald test can be used to test the true value of the parameter based on the sample estimate.
-suppose smoking multiplies the risk of lung cancer by some number R: then the Wald test can be used to test whether R = 1 (i.e. there is no effect of smoking) or is greater (or less) than 1 (i.e. smoking alters risk).
Wald test uses two approximations (that we know the standard error, and that the distribution is chi-squared),
Term
augmented dickey fuller
Definition
is a test for a unit root in a time series sample.
The more negative it is, the stronger the rejection of the hypothesis that there is a unit root at some level of confidence
Term
Endogeniety
Definition
a loop of causality between the independent and dependent variables of a model leads to endogeneity.
Term
error term
Definition
error of an observed value is the deviation of the observed value from the (unobservable) true function value
Term
residual term
Definition
residual of an observed value is the difference between the observed value and the estimated function value.
Term
Sargan
Definition
test to see if you got rid of endogeniety.
Term
Heteroskedasidity
Definition
Observations with different variances. High variability. determinant will affect the variable greatly.(Rich people in the food expenditure example)
Term
Homoskedasticity
Definition
Observations with similiar variances. Low variability.You are more sure of how a change in a determinant will affect the variable. (Poor people in the food expenditure variable)
Term
How to determine Heteroskedasticity
Definition
If there are a shit ton variables located far from the line of regression. The least squares assumption is violated.
Term
Hausman Test
Definition
Tests whether random effects estimation would be almost as good. In a fixed-effects kind of case, the Hausman test is a test of H0: that random effects would be consistent and efficient, versus H1: that random effects would be inconsistent.
Term
endogeniety
Definition
A variable is said to be endogenous when there is a correlation between the parameter or variable and the error term.
Term
reasons for endogeneity
Definition
Outline
Endogeneity and Instrumental Variables Regression
Existence of Endogeneity and Evaluating IV's
Panel Data and Fixed E ects
What is Endogeneity?
What To Do About It?
Instruments
What is Endogeneity?
I
Endogeneity can be caused by three circumstances
1.
Omitted Variables
2.
Measurement Error
3.
Simultaneity
Term
Heteroskedasidity
Definition
Observations with different . You are less certain how a change in a High variability. determinant will affect the variable. (Rich people in the food expenditure example)
Term
Homoskedasticity
Definition
Observations with same variances. Low variability.You are more sure of how a change in a determinant will affect the variable. (Poor people in the food expenditure variable)
Term
How to determine Heteroskedasticity
Definition
If there are a shit ton variab les far away from the line of regression. The least squares assumption is violated.
Term
Hausman Test
Definition
tests whether random effects estimation would be almost as good. In a fixed-effects kind of case, the Hausman test is a test of H0: that random effects would be consistent and efficient, versus H1: that random effects would be inconsistent.
Term
Endogeniety
Definition
A variable is said to be endogenous when there is a correlation between the parameter or variable and the error term.
Term
instrument
Definition
used to determine causal relationships
Term
Statistical Error
Definition
Observed differentiating from (Unobserved)expected value. (does not equal 0 indicating independence)
Term
residual
Definition
The difference between the height of each man in the sample and the observable sample mean is a residual
Term
type 1 error
Definition
rejecting a null hypothesis that is infact true
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