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Multidimensional Panel Data
In econometrics, a multidimensional panel data is data of a phenomenon observed over three or more dimensions. This comes in contrast with panel data, observed over two dimensions (typically, time and cross-sections). An example is a data set containing forecasts of one or multiple macroeconomic variables produced by multiple individuals (the first dimension), in multiple series (the second dimension) at multiple times periods (the third dimension) and for multiple horizons (the fourth dimension). Analysis of multidimensional panel data A multidimensional panel with four dimensions can have the form : X_, \; i = 1, \dots, N, \; s = 1, \dots, S, \; t = 1, \dots, T, \; h = 1, \dots, H, \, where ''i'' is the individual dimension, ''s'' is the series dimension, ''t'' is the time dimension, and ''h'' is the horizon dimension. A general multidimensional panel data regression model is written as : y_ = \alpha + X_ \beta + u_.\, Complex assumptions can be made on the precise structur ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometrics
Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," ''The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 [pp. 8–22]. Reprinted in J. Eatwell ''et al.'', eds. (1990). ''Econometrics: The New Palgrave''p. 1[pp. 1–34].Abstract (The New Palgrave Dictionary of Economics, 2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran). More precisely, it is "the quantitative analysis of actual economic Phenomenon, phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference". An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships". Jan Tinbergen is one of the two founding fathers of econometrics. The other, Ragnar Frisch, also coined the term in the sense in which it is used toda ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Panel Data
In statistics and econometrics, panel data and longitudinal data are both multi-dimensional data set, data involving measurements over time. Panel data is a subset of longitudinal data where observations are for the same subjects each time. Time series and cross-sectional data can be thought of as special cases of panel data that are in one dimension only (one panel member or individual for the former, one time point for the latter). A study that uses panel data is called a longitudinal study or panel study. Example In the multiple response permutation procedure (MRPP) example above, two datasets with a panel structure are shown and the objective is to test whether there's a significant difference between people in the sample data. Individual characteristics (income, age, sex) are collected for different persons and different years. In the first dataset, two persons (1, 2) are observed every year for three years (2016, 2017, 2018). In the second dataset, three persons (1, 2, 3) ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Time Series
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average. A time series is very frequently plotted via a run chart (which is a temporal line chart). Time series are used in statistics, signal processing, pattern recognition, econometrics, mathematical finance, weather forecasting, earthquake prediction, electroencephalography, control engineering, astronomy, communications engineering, and largely in any domain of applied science and engineering which involves temporal measurements. Time series ''analysis'' comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series ''forecasting' ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Cross-sectional Study
In medical research, social science, and biology, a cross-sectional study (also known as a cross-sectional analysis, transverse study, prevalence study) is a type of observational study that analyzes data from a population, or a representative subset, ''at a specific point in time''—that is, cross-sectional data. In economics, cross-sectional studies typically involve the use of cross-sectional regression, in order to sort out the existence and magnitude of causal effects of one independent variable upon a dependent variable of interest at a given point in time. They differ from time series analysis, in which the behavior of one or more economic aggregates is traced through time. In medical research, cross-sectional studies differ from case-control studies in that they aim to provide data on the entire population under study, whereas case-control studies typically include only individuals who have developed a specific condition and compare them with a matched sample, o ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Regression Model
In statistical modeling, regression analysis is a set of statistical processes for estimating the relationships between a dependent variable (often called the 'outcome' or 'response' variable, or a 'label' in machine learning parlance) and one or more independent variables (often called 'predictors', 'covariates', 'explanatory variables' or 'features'). The most common form of regression analysis is linear regression, in which one finds the line (or a more complex linear combination) that most closely fits the data according to a specific mathematical criterion. For example, the method of ordinary least squares computes the unique line (or hyperplane) that minimizes the sum of squared differences between the true data and that line (or hyperplane). For specific mathematical reasons (see linear regression), this allows the researcher to estimate the conditional expectation (or population average value) of the dependent variable when the independent variables take on a given set of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Heteroskedasticity
In statistics, a sequence (or a vector) of random variables is homoscedastic () if all its random variables have the same finite variance. This is also known as homogeneity of variance. The complementary notion is called heteroscedasticity. The spellings ''homoskedasticity'' and ''heteroskedasticity'' are also frequently used. Assuming a variable is homoscedastic when in reality it is heteroscedastic () results in unbiased but inefficient point estimates and in biased estimates of standard errors, and may result in overestimating the goodness of fit as measured by the Pearson coefficient. The existence of heteroscedasticity is a major concern in regression analysis and the analysis of variance, as it invalidates statistical tests of significance that assume that the modelling errors all have the same variance. While the ordinary least squares estimator is still unbiased in the presence of heteroscedasticity, it is inefficient and generalized least squares should be used ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Survey Of Professional Forecasters
The Survey of Professional Forecasters (SPF) is a quarterly survey of macroeconomic forecasts for the economy of the United States issued by the Federal Reserve Bank of Philadelphia. It is the oldest such survey in the United States. The survey includes an "anxious index" that estimates the probability of a decline in real GDP. History The survey began in 1968 and was conducted by the American Statistical Association (ASA) and the National Bureau of Economic Research (NBER). The Federal Reserve Bank of Philadelphia took over the survey in 1990. In its early days (prior to the takeover by the Federal Reserve Bank of Philadelphia) the survey was often referred to in the academic literature as the ASA-NBER survey. In May 2008, it was announced that SPF would be adding an industry classification variable for its survey respondents, so that researchers could more easily determine how people's forecasts related to the industry they were from. Variables The Survey of Professional For ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Panel Analysis
Panel (data) analysis is a statistical method, widely used in social science, epidemiology, and econometrics to analyze two-dimensional (typically cross sectional and longitudinal) panel data. The data are usually collected over time and over the same individuals and then a regression is run over these two dimensions. Multidimensional analysis is an econometric method in which data are collected over more than two dimensions (typically, time, individuals, and some third dimension). A common panel data regression model looks like y_=a+bx_+\varepsilon_, where y is the dependent variable, x is the independent variable, a and b are coefficients, i and t are indices for individuals and time. The error \varepsilon_ is very important in this analysis. Assumptions about the error term determine whether we speak of fixed effects or random effects. In a fixed effects model, \varepsilon_ is assumed to vary non-stochastically over i or t making the fixed effects model analogous to a dummy var ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Journal Of Econometrics
The ''Journal of Econometrics'' is a scholarly journal in econometrics. It was first published in 1973. Its current managing editors are Serena Ng and Elie Tamer, Torben Andersen and Xiaohong Chen serve as editors. The journal publishes work dealing with estimation and other methodological aspects of the application of statistical inference to economic data, as well as papers dealing with the application of econometric techniques to economics. The journal also publishes a supplement to the Journal of Econometrics which is called "Annals of Econometrics". Each issue of the Annals includes a collection of papers on a single topic selected by the editor of the issue. See also * ''Econometrics Journal'' References External links Homepage Econometrics, Journal of Econometrics journals Econometrics Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem P ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Multivariate Time Series
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average. A time series is very frequently plotted via a run chart (which is a temporal line chart). Time series are used in statistics, signal processing, pattern recognition, econometrics, mathematical finance, weather forecasting, earthquake prediction, electroencephalography, control engineering, astronomy, communications engineering, and largely in any domain of applied science and engineering which involves temporal measurements. Time series ''analysis'' comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series ''forecast ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Statistical Data Types
Statistics (from German: ''Statistik'', "description of a 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 surveys and 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 samples. Representative sampling assures that inferences and conclusions can reasonably extend from the sample to the population as a whole. An experim ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
