Exam 3 Flashcards
Endogenous Explanatory Variable
Variables that are determined by the equations in the system. Variables that are correlated with the error term.
Exogenous Explanatory Variable
Any variable that is uncorrelated with the error term in the model of interests
Robust Standard Error
Standard Error calculated that corrects for, is asymptotically robust to, heteroskedasticity in the model
Natural Experiment
A situation where the economic environment - sometimes summarized by an explanatory variable - exogenously changes, perhaps inadvertently, due to a policy or institutional change.
Measurement Error
the difference between an observed variable and the variable that belongs in a multiple regression equation
Identification
A population parameter or set of parameters that can be consistently estimated
Instrumental Variable
A variable that is used to identify an effect of an independent veritable on the dependent variable when MLR.4 is violated. In an equation with an endogenous explanatory variable, and IV is a variable that does not appear in the equation, in uncorrelated with the error term, and is (partially) correlated with the endogenous explanatory variable.
Interaction Term
An independent variable in a regression model that is the product of two explanatory variables
Lagged Dependent Variable
An explanatory variable that is equal to the dependent variable from an earlier time period
Generalized Least Squares
An estimator that accounts for a known structure of the error variance (heteroskedasticity), serial correlation pattern in the errors, or both, via a transformation of the original model.
Proxy Variable
An observed variable that is related but not identical to an unobserved explanatory variable in a multiple regression analysis. It is included in a regression in order to account for unobserved factors in a regression that may be correlated with the independent variables.
Exclusion Restriction
Restrictions that state that certain variables are excluded from the model (or have zero population coefficients)
Serial Correlation
Occurs when two observations of an error term are correlated. Eg. E(Us,Ut) not = 0, for t (not =) s
Pooled Cross Section
A dataset that contains sets of individuals observed in multiple time periods. The individuals aren’t necessarily the same across time periods.
difference-in-difference estimator
An estimator that arises in policy analysis with data for two time periods. One version of the estimator applies to pooled cross sections and another to panel data sets.
classical errors-in-variables
A measurement error model where he observed measure equals the actual variable plus an independent (or at least uncorrelated) measurement error (tvhrs=tvhrs*+e)
Base Group
The group represented by the overall intercept in a multiple regression model that includes dummy explanatory variables.
Breusch-Pagan Test
A test for heteroskedasticity where the squared OLS residuals are regressed on the explanatory variables in the model.
Two-Stage Least Squares
An instrumental variable estimator where the IV for an endogenous explanatory variable is obtained as the fitted value from regressing the endogenous explanatory variable on all exogenous variables.
Attenuation Bias
Bias in an estimator that is always toward zero (underestimates the Beta); thus the expected value of an estimator with attenuation bias is less in magnitude than the absolute value of parameters.
Control Group
In program evaluation, the group that doesn’t participate in the program and takes on any particular value with probability = 0
Treatment Group
In program evaluation, the group that participates in the program.
Panel Data
A data set constructed from a repeated cross section over time. With a balanced panel, the same units appear in each time period. With an unbalanced panel, some units do not appear in each time period, often due to attrition.
Dummy Variable
A variable that takes on the value of 1 or 0. Eg: Gender, Race
