|
Newey–West Estimator
__NOTOC__ A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model where the standard assumptions of regression analysis do not apply. It was devised by Whitney K. Newey and Kenneth D. West in 1987, although there are a number of later variants. The estimator is used to try to overcome autocorrelation (also called serial correlation), and heteroskedasticity in the error terms in the models, often for regressions applied to time series data. The abbreviation "HAC," sometimes used for the estimator, stands for "heteroskedasticity and autocorrelation consistent." There are a number of HAC estimators described in, and HAC estimator does not refer uniquely to Newey-West. One version of Newey-West Bartlett requires the user to specify the bandwidth and usage of the Bartlett Kernel from Kernel density estimation Regression models estimated with time series data often exhibit autocorrelatio ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Statistics
Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a scientific, industrial, or social problem, it is conventional to begin with a statistical population or a statistical model to be studied. Populations can be diverse groups of people or objects such as "all people living in a country" or "every atom composing a crystal". Statistics deals with every aspect of data, including the planning of data collection in terms of the design of statistical survey, surveys and experimental design, experiments.Dodge, Y. (2006) ''The Oxford Dictionary of Statistical Terms'', Oxford University Press. When census data cannot be collected, statisticians collect data by developing specific experiment designs and survey sample (statistics), samples. Representative sampling as ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ordinary Least Squares
In statistics, ordinary least squares (OLS) is a type of linear least squares method for choosing the unknown parameters in a linear regression model (with fixed level-one effects of a linear function of a set of explanatory variables) by the principle of least squares: minimizing the sum of the squares of the differences between the observed dependent variable (values of the variable being observed) in the input dataset and the output of the (linear) function of the independent variable. Geometrically, this is seen as the sum of the squared distances, parallel to the axis of the dependent variable, between each data point in the set and the corresponding point on the regression surface—the smaller the differences, the better the model fits the data. The resulting estimator can be expressed by a simple formula, especially in the case of a simple linear regression, in which there is a single regressor on the right side of the regression equation. The OLS estimator is consiste ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Estimator
In statistics, an estimator is a rule for calculating an estimate of a given quantity based on observed data: thus the rule (the estimator), the quantity of interest (the estimand) and its result (the estimate) are distinguished. For example, the sample mean is a commonly used estimator of the population mean. There are point and interval estimators. The point estimators yield single-valued results. This is in contrast to an interval estimator, where the result would be a range of plausible values. "Single value" does not necessarily mean "single number", but includes vector valued or function valued estimators. ''Estimation theory'' is concerned with the properties of estimators; that is, with defining properties that can be used to compare different estimators (different rules for creating estimates) for the same quantity, based on the same data. Such properties can be used to determine the best rules to use under given circumstances. However, in robust statistics, statistica ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Heteroskedasticity-consistent Standard Errors
The topic of heteroskedasticity-consistent (HC) standard errors arises in statistics and econometrics in the context of linear regression and time series analysis. These are also known as heteroskedasticity-robust standard errors (or simply robust standard errors), Eicker–Huber–White standard errors (also Huber–White standard errors or White standard errors), to recognize the contributions of Friedhelm Eicker, Peter J. Huber, and Halbert White. In regression and time-series modelling, basic forms of models make use of the assumption that the errors or disturbances ''u''''i'' have the same variance across all observation points. When this is not the case, the errors are said to be heteroskedastic, or to have heteroskedasticity, and this behaviour will be reflected in the residuals \widehat_i estimated from a fitted model. Heteroskedasticity-consistent standard errors are used to allow the fitting of a model that does contain heteroskedastic residuals. The first such appro ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
SAS (software)
SAS (previously "Statistical Analysis System") is a statistical software suite developed by SAS Institute for data management, advanced analytics, multivariate analysis, business intelligence, criminal investigation, and predictive analytics. SAS was developed at North Carolina State University from 1966 until 1976, when SAS Institute was incorporated. SAS was further developed in the 1980s and 1990s with the addition of new statistical procedures, additional components and the introduction of JMP. A point-and-click interface was added in version 9 in 2004. A social media analytics product was added in 2010. Technical overview and terminology SAS is a software suite that can mine, alter, manage and retrieve data from a variety of sources and perform statistical analysis on it. SAS provides a graphical point-and-click user interface for non-technical users and more through the SAS language. SAS programs have DATA steps, which retrieve and manipulate data, and PROC steps, whic ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Gretl
gretl is an open-source statistical package, mainly for econometrics. The name is an acronym for ''G''nu ''R''egression, ''E''conometrics and ''T''ime-series ''L''ibrary. It has both a graphical user interface (GUI) and a command-line interface. It is written in C, uses GTK+ as widget toolkit for creating its GUI, and calls gnuplot for generating graphs. The native scripting language of gretl is known as hansl (see below); it can also be used together with TRAMO/SEATS, R, Stata, Python, Octave, Ox and Julia. It includes natively all the basic statistical techniques employed in contemporary Econometrics and Time-Series Analysis. Additional estimators and tests are available via user-contributed ''function packages'', which are written in hansl. gretl can output models as LaTeX files. Besides English, gretl is also available in Albanian, Basque, Bulgarian, Catalan, Chinese, Czech, French, Galician, German, Greek, Italian, Polish, Portuguese (both varieties), Romanian, Rus ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Python (programming Language)
Python is a high-level, general-purpose programming language. Its design philosophy emphasizes code readability with the use of significant indentation. Python is dynamically-typed and garbage-collected. It supports multiple programming paradigms, including structured (particularly procedural), object-oriented and functional programming. It is often described as a "batteries included" language due to its comprehensive standard library. Guido van Rossum began working on Python in the late 1980s as a successor to the ABC programming language and first released it in 1991 as Python 0.9.0. Python 2.0 was released in 2000 and introduced new features such as list comprehensions, cycle-detecting garbage collection, reference counting, and Unicode support. Python 3.0, released in 2008, was a major revision that is not completely backward-compatible with earlier versions. Python 2 was discontinued with version 2.7.18 in 2020. Python consistently ranks as ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
MATLAB
MATLAB (an abbreviation of "MATrix LABoratory") is a proprietary multi-paradigm programming language and numeric computing environment developed by MathWorks. MATLAB allows matrix manipulations, plotting of functions and data, implementation of algorithms, creation of user interfaces, and interfacing with programs written in other languages. Although MATLAB is intended primarily for numeric computing, an optional toolbox uses the MuPAD symbolic engine allowing access to symbolic computing abilities. An additional package, Simulink, adds graphical multi-domain simulation and model-based design for dynamic and embedded systems. As of 2020, MATLAB has more than 4 million users worldwide. They come from various backgrounds of engineering, science, and economics. History Origins MATLAB was invented by mathematician and computer programmer Cleve Moler. The idea for MATLAB was based on his 1960s PhD thesis. Moler became a math professor at the University of New Mexico and starte ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stata
Stata (, , alternatively , occasionally stylized as STATA) is a general-purpose statistical software package developed by StataCorp for data manipulation, visualization, statistics, and automated reporting. It is used by researchers in many fields, including biomedicine, epidemiology, sociology and science. Stata was initially developed by Computing Resource Center in California and the first version was released in 1985. In 1993, the company moved to College Station, TX and was renamed Stata Corporation, now known as StataCorp. A major release in 2003 included a new graphics system and dialog boxes for all commands. Since then, a new version has been released once every two years. The current version is Stata 17, released in April 2021. Technical overview and terminology User interface From its creation, Stata has always employed an integrated command-line interface. Starting with version 8.0, Stata has included a graphical user interface based on Qt framework which uses m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
R (programming Language)
R is a programming language for statistical computing and graphics supported by the R Core Team and the R Foundation for Statistical Computing. Created by statisticians Ross Ihaka and Robert Gentleman, R is used among data miners, bioinformaticians and statisticians for data analysis and developing statistical software. Users have created packages to augment the functions of the R language. According to user surveys and studies of scholarly literature databases, R is one of the most commonly used programming languages used in data mining. R ranks 12th in the TIOBE index, a measure of programming language popularity, in which the language peaked in 8th place in August 2020. The official R software environment is an open-source free software environment within the GNU package, available under the GNU General Public License. It is written primarily in C, Fortran, and R itself (partially self-hosting). Precompiled executables are provided for various operating systems. R ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Julia (programming Language)
Julia is a high-level, dynamic programming language. Its features are well suited for numerical analysis and computational science. Distinctive aspects of Julia's design include a type system with parametric polymorphism in a dynamic programming language; with multiple dispatch as its core programming paradigm. Julia supports concurrent, (composable) parallel and distributed computing (with or without using MPI or the built-in corresponding to "OpenMP-style" threads), and direct calling of C and Fortran libraries without glue code. Julia uses a just-in-time (JIT) compiler that is referred to as "just- ahead-of-time" (JAOT) in the Julia community, as Julia compiles all code (by default) to machine code before running it. Julia is garbage-collected, uses eager evaluation, and includes efficient libraries for floating-point calculations, linear algebra, random number generation, and regular expression matching. Many libraries are available, including some (e.g., for fast Fo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Huber–White Standard Error
The topic of heteroskedasticity-consistent (HC) standard errors arises in statistics and econometrics in the context of linear regression and time series analysis. These are also known as heteroskedasticity-robust standard errors (or simply robust standard errors), Eicker–Huber–White standard errors (also Huber–White standard errors or White standard errors), to recognize the contributions of Friedhelm Eicker, Peter J. Huber, and Halbert White. In regression and time-series modelling, basic forms of models make use of the assumption that the errors or disturbances ''u''''i'' have the same variance across all observation points. When this is not the case, the errors are said to be heteroskedastic, or to have heteroskedasticity, and this behaviour will be reflected in the residuals \widehat_i estimated from a fitted model. Heteroskedasticity-consistent standard errors are used to allow the fitting of a model that does contain heteroskedastic residuals. The first such appro ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
