Serial Correlation
The relationship between a variable and itself over various time intervals as a function of the delay
1 of 32
An underlying pattern of behaviour
2 of 32
Stochastic Process
A series of random variables indexed by time
3 of 32
Sample (time series)
The one realised path of the series out of the many possible paths that it could have taken
4 of 32
Contemporaneous Relation
The relationship occurs in one period
5 of 32
Impact Multiplier
The immediate effect of a one unit change in x on y
6 of 32
Long-run Multiplier
The total effect of a one unit change in x on y. The sum of multipliers on all x variables.
7 of 32
The unbiased estimator with the lowest variance
8 of 32
The difference between the expected value of an estimator and its true value
9 of 32
An estimator for which the estimate converges in probability to its true value as the number of data points increases indefinitely
10 of 32
The estimator that attains the true value of a parameter using the fewest observations
11 of 32
Asymptotic Normality
A parameter that is rescaled to be approximated by a Normal distribution
12 of 32
The variance of the errors is the same and does not change with the independent variable
13 of 32
Time Trend
A variable equal to a time index in a given period. Used to control for exogenous increases in dependent variables, usually a proxy for technological progress.
14 of 32
Order (FDL Model)
The number of previous periods included in the regression
15 of 32
Independent and Identically Distributed. Each random variable has the same probability distribution as the others and all are mutually independent
16 of 32
Stationary Process
A stochastic process whose joint probability distribution does not change when shifted in time.
17 of 32
Weakly Dependent (Time Series)
A time series for which the elements are less correlated the further they are from each other.
18 of 32
When an explanatory variable is correlated with the error term.
19 of 32
Static Model
A model in which only contemporaneous explanatory variables affect the dependent variable.
20 of 32
Sequentially Exogenous
The error term in the current period has a zero mean, conditional on all current and past explanatory variables.
21 of 32
Contemporaneously Exogenous
The error term in the current period is uncorrelated with the explanatory variables in the current period.
22 of 32
Strictly Exogenous
The error term has zero expectation, conditional on the explanatory variables in all time periods.
23 of 32
Covariance Stationary
A process with constant mean and variance for which the covariance between an two random variables depends only on the distance between them.
24 of 32
Autoregressive Process Order 1
A process whose current value depends linearly on its most recent value plus a random disturbance.
25 of 32
Moving Average Process Order 1
A process generated as the linear function of the current value and one lagged value of a zero mean, constant variance uncorrelated process.
26 of 32
Unit Root Process
A highly persistent process where the current value is equal to the previous value, plus a weakly dependent disturbance.
27 of 32
Noise Process
A serially uncorrelated, zero-mean, constant variance process.
28 of 32
Trend-Stationary Process
A process that is stationary and usually weakly dependent once a time trend has been removed.
29 of 32
Integrated Process Order 0
A stationary, weakly dependent process that satisfies the law of large numbers and central limit theorem.
30 of 32
Integrated Process Order 1
A process that must be first-differenced in order to produce an I(0) process.
31 of 32
Asymptotically Uncorrelated
As the distance between two elements increases, their correlation tends to zero. They are almost independent.
32 of 32

Other cards in this set

Card 2




An underlying pattern of behaviour

Card 3


Stochastic Process


Preview of the front of card 3

Card 4


Sample (time series)


Preview of the front of card 4

Card 5


Contemporaneous Relation


Preview of the front of card 5
View more cards


No comments have yet been made

Similar Economics resources:

See all Economics resources »See all Definitions resources »