You are on page 1of 1

Econmet Terms

1. Total Sum of Squares (TSS)


- a quantity that appears as part of a standard
way of presenting results of such analyses. It is defined
as being the sum, over all observations, of the squared
differences of each observation from the overall mean.
2. Unbiasedness
-an estimator is unbiased if the mean of its
frequency distribution is the true value.
That is, if

, then is unbiased.

3. Variance of estimated slope, var(2)


-The variance of the OLS slope coefficient
estimator is defined
as
4. Autocorrelation/Serial Correlation
- correlation between embers of series of
observations ordered in time [as in time series data] or
space [as in cross-sectional data.]
5. Coefficient of determination R2
- a summary measure that tells how well a
sample regression line fits the data
- a number that indicates how well data fit a
statistical model sometimes simply a line or curve.
6. Covariance (1, 2)
- provides a measure of the strength of the correlation
between two or more sets of random variates.

7. Efficiency
- unbiased estimator with least variance
8. Explained Sum of Squares (ESS)
- total variation in the Y reflected (captured in
SRF)
- a quantity used in describing how well a
model, often a regression model, represents the data
being modelled.

9. Goodness of fit
- how well the sample regression line fits the
data
-the extent to which observed data match
the values expected by theory.
10. Heteroscedasticity

- the circumstance in which the variability of a


variable is unequal across the range of values of a
second variable that predicts it.
11. Least square principle
-a widely used method for obtaining the
estimates of the parameters in a statistical model based
on observed data.
12. Multicollinearity
- a statistical phenomenon in which two or more
predictor variables in a multiple regression model are
highly correlated, meaning that one can be linearly
predicted from the others with a non-trivial degree of
accuracy.
- the existence of a perfect or exact, linear
relationship among some or all explanatory variables X1,
X2, , Xk,
13. Population regression function
- the expected value of the distribution of Y
given Xi is functionally related to Xi.
- how the mean or average response of Y varies
with X
14. Residual term u^
- variable in a statistical and/or mathematical
model, which is created when the model does not fully
represent the actual relationship between the
independent variable(s) and the dependent variable.
- As a result of this incomplete relationship, the
error term is the amount at which the equation may
differ during empirical analysis.
15. Slope 2
- parameter of a model
16. Test of individual significance
-check whether an independent variable
statistically influence dependent variable
17. Test of restrictions
- sample results are used to verify the truth or
falsity of null hypothesis
18. Variance of estimated constant, var(1)

19. Variance of the regression, 2

1
2
u i

(n - 2)
SSR

(2.61)
(n 2)

You might also like