Lecture 4 Key terms Flashcards Preview

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Flashcards in Lecture 4 Key terms Deck (10)
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1

highly persistent time series

a time series in which the value of y today is important to determine the value of y far in the future

2

unit root (process)

(an ar(1) process for which) the stability condition does not hold, ie p = 1

3

(first) difference stationary / I(1) process

(first) differencing turns a non stationary unit root process into a weakly dependent process

4

trend stationarity

removing the trend makes the process stationary

5

memory

property that determines for how many periods a shcom affects the variable

6

dickey fuller test

test that determines whether a process contains a unit root

7

augmented df test

test used to determine if a process has a unit root if the process has serially correlated errors

8

(low) power

(an increased) chance of accepting the null when the alternative is true

9

structural break

the data is split on some way due to collection technique or some natural quality of the data

10

spurious regression

an unobserved variable is correlated with both the explanatory variables and the error terms, leading us to infer a causal relationship between our exp variable and dep variable that may not exist