Econometric models

61 methods in this family.

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2SLS RegressionTwo-Stage Least Squares is a two-step instrumental-variables estimator that addresses endogeneity, the situation where a regressor is correlated with the error term. In the first s ARCH-LM TestThe ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks Augmented Mean Group EstimatorThe Augmented Mean Group estimator, developed by Eberhardt and Teal (2010), is a panel data method for estimating heterogeneous slope coefficients in the presence of cross-sectiona Bai-Perron TestThe Bai-Perron test, introduced by Jushan Bai and Pierre Perron in their landmark 1998 Econometrica paper, is a least-squares-based procedure for detecting, estimating, and testing Bivariate ProbitThe Bivariate Probit Model, introduced by Ashford and Sowden (1970), jointly estimates two binary outcome equations whose error terms are allowed to be correlated. By modeling both Breusch-Godfrey TestThe Breusch-Godfrey test is a Lagrange-multiplier test for serial correlation in regression residuals, developed independently by Trevor Breusch (1978) and Leslie Godfrey (1978). U

All methods 61

2SLS Regression ARCH-LM Test Augmented Mean Group Estimator Bai-Perron Test Bivariate Probit Breusch-Godfrey Test Breusch-Pagan Test Causality in Variance Test CCEMG Estimator CGE Model Chow Test Condition Index Conditional Logit Cross-Quantilogram CUSUM Test DCC-MIDAS Difference-in-Differences Dolado-Lütkepohl Causality DSGE Model Durbin-Watson Test FMOLS Estimator Frees Test Geographic Regression Discontinuity Goldfeld-Quandt Test Granger Causality Hatemi-J Asymmetric Causality Heckman Selection Model Hiemstra-Jones Causality Ljung-Box Test Markov-Switching Model Mixed Logit Multinomial Logit NARDL Model Negative Binomial Regression Nested Logit Network Econometrics Newey-West HAC OLS Regression Ordered Logit Pesaran CD Test Poisson Regression Probit Model QARDL Quandt-Andrews Test Quantile Regression Ramsey RESET Test Regression Discontinuity Design Seemingly Unrelated Regression Spatial Regression STAR Model State Space Model Synthetic Difference-in-Differences TAR / SETAR Three-Stage Least Squares Threshold Regression Tobit Model Toda-Yamamoto Causality TVP-FAVAR U-MIDAS Variance Inflation Factor White Test

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Forecasting & evaluation 123 Unit root & cointegration 69 Financial econometrics 52 Volatility models 47 Multivariate time series 42 ARIMA & smoothing 31