Глоссарий содержит терминологию, касающуюся статистических и математических моделей с целью проверки теорий, гипотез и будущих тенденций в экономике.
| daily range estimator | A crude measure of volatility calculated as the difference between the day’s lowest and highest observed prices. |
| balanced panel | A dataset where the variables have both time series and cross-sectional dimensions, and where there are equally long samples for each cross-sectional entity (i.e. no missing data). |
| binary choice | A discrete choice situation with only two possible outcomes. |
| copulas | A flexible way to link together the distributions for individual series in order to form joint distributions. |
| box–pierce q-statistic | A general measure of the extent to which a series is autocorrelated. |
| adjusted r2 | A measure of how well a model fits the sample data that automatically penalises models with large numbers of parameters. |
| box–jenkins approach | A methodology for estimating arma models. |
| bekk model | A multivariate model for volatilities and covariances between series that ensures the variance–covariance matrix is positive definite. |
| damped sine wave | A pattern, especially in an autocorrelation function plot, where the values cycle from positive to negative in a declining manner as the lag length increases. |
| broken trend | A process which is a deterministic trend with a structural break. |
| cross-sectional regression | A regression involving series that are measured only at a single point in time but across many entities. |
| bivariate regression | A regression model where there are only two variables – the dependent variable and a single independent variable. |
| auxiliary regression | A second stage regression that is usually not of direct interest in its own right, but rather is conducted in order to test the statistical adequacy of the original regression model. |
| cross-equation restrictions | A set of restrictions needed for a hypothesis test that involves more than one equation within a system. |
| bhhh algorithm | A technique that can be used for solving optimisation problems including maximum likelihood. |
| breusch–godfrey test | A test for autocorrelation of any order in the residuals from an estimated regression model, based on an auxiliary regression of the residuals on the original explanatory variables plus lags of th... |
| bds test | A test for whether there are patterns in a series, predominantly used for determining whether there is evidence for nonlinearities. |
| carhart model | A time series model for explaining the performance of mutual funds or trading rules based on four factors |
| autoregressive conditional heteroscedasticity (arch) model | A time series model for volatilities. |
| autoregressive moving average (arma) model | A time series model where the current value of a series is fitted with its previous values (the autoregressive part) and the current and previous values of an error term (the moving average part).... |
| autoregressive (ar) model | A time series model where the current value of a series is fitted with its previous values. |
| autoregressive volatility (arv) model | A time series model where the current volatility is fitted with its previous values. |
| causality tests | A way to examine whether one series leads or lags another. |
| bera–jarque test | A widely employed test for determining whether a series closely approximates a normal distribution. |
| chow test | An approach to determine whether a regression model contains a change in behaviour (structural break) part-way through based on splitting the sample into two parts, assuming that the break-date is... |
| cochrane–orcutt procedure | An iterative approach that corrects standard errors for a specific form of autocorrelation. |
| data revisions | Changes to series, especially macroeconomic variables, that are made after they are first published. |
| best linear unbiased estimator (blue) | Is one that provides the lowest sampling variance and which is also unbiased. |
| between estimator | Is used in the context of a fixed effects panel model, involving running a cross-sectional regression on the time averaged values of all the variables in order to reduce the number of parameters r... |
| critical values (cv) | Key points in a statistical distribution that determine whether, given a calculated value of a test statistic, the null hypothesis will be rejected or not. |
| cost of carry (coc) model | Shows the equilibrium relationship between spot and corresponding futures prices where the spot price is adjusted for the cost of ‘carrying’ the spot asset forward to the maturity date. |
| covered interest parity (cip) | States that exchange rates should adjust so that borrowing funds in one currency and investing them in another would not be expected to earn abnormal profits. |
| cusum and cusumsq tests | Tests for parameter stability in an estimated model based on the cumulative sum of residuals (cusum) or cumulative sum of squared residuals (cusumsq) from a recursive regression. |
| break date | The date at which a structural change occurs in a time series or in a model’s parameters. |
| bid–ask spread | The difference between the amount paid for an asset (the ask or offer price) when it is purchased and the amount received if it is sold (the bid). |
| degree of persistence | The extent to which a series is positively related to its previous values. |
| cointegrating vector | The set of parameters that describes the long-run relationship between two or more time series. |
| calendar effects | The systematic tendency for a series, especially stock returns, to be higher at certain times than others. |
| day-of-the-week effect | The systematic tendency for stock returns to be higher on some days of the week than others. |
| data generating process (dgp) | The true relationship between the series in a model. |
| conditional variance | The variance of a series at a point in time t fitted given all information available until the previous point in time t − 1. |
| common factor restrictions | These are the conditions on the parameter estimates that are implicitly assumed when an iterative procedure such as cochrane–orcutt is employed to correct for autocorrelation. |
| contemporaneous terms | Those variables that are measured at the same time as the dependent variable – i.e. both are at time t. |
| censored dependent variable | Where values of the dependent variable above or below a certain threshold cannot be observed, while the corresponding values for the independent variables are still available. |
| вор | Balance of payments manua/ |
| ccff | Compensatory and contingency financing facility |
| евв | Imf electronic bulletin board |
| esaf | Enhanced structural adjuntment facility |
| gan | General agreement on tariffs and trade |
| gmbs | А guide to money and banking statistics in international financial statistics |
| weo | World economic outlook |
