Econometrics Flashcards
1
Q
Time series variable
A
Type of data variable that is measured or recorded at successive periods in time
2
Q
Lags
A
- using past values of a variable as an explanatory variable
- capture temporal dependencies and autocorrelation
3
Q
first difference
A
- computing the change in variables value from one period to the next
- removes seasonality and trends
4
Q
p value
A
- determines statistical significance of a coefficient estimate
5
Q
stationarity
A
- properties remain constant over time
6
Q
non - stationarity
A
- properties change over time
7
Q
unit root
A
- stochastic or random trend component causing it to drift over time
- non stationary
8
Q
spurious regression
A
- two unrelated time series variables appear to be correlated when they are not
- can occur when they exhibit unit roots too
9
Q
A
