ECONOMETRICS

The basic tool for econometrics is the linear regression model (mô hình hồi quy
tuyến tính). In modern econometrics, other statistical tools are frequently used, but
linear regression is still the most frequently used starting point for an analysis.
Estimating a linear regression on two variables can be visualized as fitting a line
through data points representing paired values of the independent and dependent
variables.
Econometric theory uses statistical theory to evaluate and develop econometric
methods. Econometricians try to find estimators that have desirable statistical
properties including unbiasedness, efficiency, and consistency. An estimator is
unbiased if its expected value is the true value of the parameter; It is consistent if it
converges to the true value as sample size gets larger, and it is efficient if the
estimator has lower standard error than other unbiased estimators for a given sample
size. Ordinary least squares (OLS) is often used for estimation since it provides the
BLUE or "best linear unbiased estimator" (where "best" means most efficient,
unbiased estimator) given the Gauss-Markov assumptions.
Dummy variable: Along with interval and ordinal variables we can use nominal level
variables that are dichotomous, such as gender, in multiple regression analysis. In
previous labs we have used a dichotomous variable for age to define subsets of cases.
We can also use dichotomous variables as independent variables in regression. When
scored as either a 0 or 1, dichotomies are often referred to as "dummy" variables.
They indicate either the absence or presence of a characteristic or trait.
In statistics and econometrics, particularly in regression analysis, a dummy variable
(also known as an indicator variable, design variable, Boolean indicator, categorical
variable, binary variable, or qualitative variable) is one that takes the value 0 or 1 to
indicate the absence or presence of some categorical effect that may be expected to
shift the outcome. Dummy variables are used as devices to sort data into mutually
exclusive categories (such as smoker/non-smoker, etc.). For example, in econometric
time series analysis, dummy variables may be used to indicate the occurrence of wars
or major strikes. A dummy variable can thus be thought of as a truth value represented
as a numerical value 0 or 1 (as is sometimes done in computer programming).
In statistics, multicollinearity (also collinearity) is a phenomenon in which two or
more predictor variables in a multiple regression model are highly correlated,
meaning that one can be linearly predicted from the others with a non-trivial degree of
accuracy. In this situation the coefficient estimates of the multiple regression may
change erratically in response to small changes in the model or the data.
Multicollinearity does not reduce the predictive power or reliability of the model as a
whole, at least within the sample data set; it only affects calculations regarding
individual predictors. That is, a multiple regression model with correlated predictors
can indicate how well the entire bundle of predictors predicts the outcome variable,
but it may not give valid results about any individual predictor, or about which
predictors are redundant with respect to others.
Autocorrelation, also known as serial correlation or cross-autocorrelation, is the
cross-correlation of a signal with itself at different points in time (that is what the
cross stands for). Informally, it is the similarity between observations as a function of
the time lag between them. It is a mathematical tool for finding repeating patterns,
such as the presence of a periodic signal obscured by noise, or identifying the missing
fundamental frequency in a signal implied by its harmonic frequencies. It is often
used in signal processing for analyzing functions or series of values, such as time
domain signals.