See dependent variable.

See ordinary least squares.

A goodness-of-fit measure in multiple regression analysis that penalises additional explanatory variables by using a degrees of freedom adjustment in estimating the error variance.

The hypothesis against which the null hypothesis is tested.

The errors in a time series regression model follow an AR(l) model.

Bias in an estimator that is always toward zero; thus, the expected value of an estimator with attenuation bias is less in magnitude than the absolute value of the parameter.

See serial correlation.

A time series model whose current value depends linearly on its most recent value plus an unpredictable disturbance.

A regression used to compute a test statistic-such as the test statistics for heteroskedasticity and serial correlation or any other regression that does not estimate the model of primary interest.

The sum of n numbers divided by n.