Econometrics

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9 domain-specific abstractions whose origin domain is Econometrics.

• Breusch–Godfrey test — A regression diagnostic testing residual serial correlation through an auxiliary regression that permits higher-order autocorrelation and lagged dependent regressors.
• Chow Test — A classical linear-model F-test that asks whether one coefficient vector can govern two prespecified subsamples by comparing a pooled restricted fit with separate unrestricted fits.
• Distributed lag — A time-series regression structure in which the current response depends on present and multiple lagged values of an explanatory variable through a lag-weight sequence.
• Heckman correction — A two-step or full-likelihood econometric method that models sample selection and adds the implied inverse Mills ratio to correct outcome estimates under joint-normality assumptions.
• Heteroskedasticity-consistent standard errors — Regression standard-error estimators using a sandwich covariance formula that remains asymptotically valid when error variance differs across observations under independence and regularity conditions.
• Information matrix test — Diagnose parametric likelihood misspecification by testing whether score outer-product and negative expected-Hessian information estimates agree under the fitted model.
• KPSS test — A time-series test whose null hypothesis is level or trend stationarity and whose alternative is a unit-root process.
• Pareto index — The shape parameter of a Pareto income or wealth distribution, often interpreted as a tail-inequality or concentration exponent.
• Polytomous choice — A discrete-choice setting in which a decision maker selects among more than two mutually distinguished alternatives.