Econometrics

Question 1

Time series variable

Answer 1

Type of data variable that is measured or recorded at successive periods in time

Question 2

Lags

Answer 2

• using past values of a variable as an explanatory variable
• capture temporal dependencies and autocorrelation

Question 3

first difference

Answer 3

• computing the change in variables value from one period to the next
• removes seasonality and trends

Question 4

p value

Answer 4

• determines statistical significance of a coefficient estimate

Question 5

stationarity

Answer 5

• properties remain constant over time

Question 6

non - stationarity

Answer 6

• properties change over time

Question 7

unit root

Answer 7

• stochastic or random trend component causing it to drift over time
• non stationary

Question 8

spurious regression

Answer 8

• two unrelated time series variables appear to be correlated when they are not
• can occur when they exhibit unit roots too