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Cochrane–orcutt procedure
| Словарь по экономике и эконометрике |
An iterative approach that corrects standard errors for a specific form of autocorrelation.
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Autocorrelation, английский
- The correlation of a variable with itself over successive time intervals. sometimes called serial correlation.
- Автокорреляция
- A standardised measure, which must lie between −1 and +1, of the extent to which the current value of a series is related to its own previous values.
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Data revisions, английский
Changes to series, especially macroeconomic variables, that are made after they are first published.
Chow test, английский
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 known.
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