Definition Of White Noise Error Term

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White Noise Statistics

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Meaning Of White Noise

a question Anybody can answer The best answers are voted up and rise to the top What is a white noise process? up vote 13 down vote favorite 6 What is the best way of defining white noise process so it is intuitive and easy to understand? time-series share|improve this question edited Aug 20 '12 at 6:18 mpiktas 24.7k448103 asked Feb 10 '11 at 22:13 user333 1,85373044

White Noise Process Stationary

add a comment| 3 Answers 3 active oldest votes up vote 12 down vote accepted A white noise process is one with a mean zero and no correlation between its values at different times. See the 'white random process' section of Wikipedia's article on white noise. share|improve this answer answered Feb 10 '11 at 22:23 onestop 14.3k23564 When you say correlation between values at different times... do you think all possible lag combinations or only t vs t-1? –user333 Feb 10 '11 at 22:37 @user333 All nonzero lags: that's the first equation in the Wikipedia link @onestop gave. –whuber♦ Feb 10 '11 at 22:40 1 you forgot the constant variation. If variation varies, then the process is not white noise. –mpiktas Feb 11 '11 at 7:37 @mpiktas: you're right, good point. –onestop Feb 11 '11 at 8:51 3 @mpiktas, i usually explain the white noise to students through the spectral density concept, at least it gives light to (through the analogy with white color) why the noise is "white", and why the $AR(1)$ process could be could called "red" and there is no "black noise" :) –Dmitrij Celov Feb 14 '11

in… 3 Introduction to the Coase Theorem 4 Introduction to the Reserve Ratio 5 America's Capitalist Economy About.com About white noise time series example Education Economics . . . Econ 101 Glossary of Economics

What Is White Noise

Terms / Economics Dictionary Definitions of Economics Terms Beginning with the Letter W White Noise Process gaussian white noise The Significance of White Noise in Economics Share Pin Tweet Submit Stumble Post Share By Mike Moffatt Economics Expert By Mike Moffatt Updated September 18, 2016. http://stats.stackexchange.com/questions/7070/what-is-a-white-noise-process The term "white noise" in economics is derivative of its meaning in mathematics and in acoustics. To understand the economic significance of white noise, it's helpful to look at its mathematical definition first. White Noise in MathematicsYou've very probably heard white noise, either in a physics lab or, perhaps, at a sound check. It's http://economics.about.com/od/economicsglossary/g/whitenoise.htm that constant rushing noise like a waterfall. At times you may imagine you're hearing voices or pitches, but they only last an instant and in reality, you soon realize, the sound never varies. One math encyclopedia defines white noise as "A generalized stationary stochastic process  with constant spectral density." At first glance, this seems less helpful than daunting. Breaking it down into its parts, however, can be illuminating. What is a "stationary stochastic process? Stochastic means random, so a stationary stochastic process is a process that is both random and never varying -- it's always random in the same way. continue reading below our video What's Your Romantic Attachment Style? - Quiz A stationary stochastic process with constant spectral density is, to consider an acoustic example, a random conglomeration of pitches -- every possible pitch, in fact -- which is always perfectly random, not favoring one pitch or pitch area over another.  In more mathematical terms, we say that the nature

econometrics (or in regression models)? Students usually use the words "errors terms" and "residuals" interchangeably in discussing issues related to regression models and output of such models (along side the accompanying diagnostic tests). I seek suggestions https://www.researchgate.net/post/What_is_the_difference_between_error_terms_and_residuals_in_econometrics_or_in_regression_models from experts on where the boundary lies for these two terms by definition and explanation and on how the misuse of these words could be minimize Topics Statistics × 2,246 Questions 90,216 Followers Follow Advanced Econometrics × 219 Questions 496 Followers Follow Econometrics × 638 Questions 48,884 Followers Follow Applied Econometrics × 416 Questions 12,833 Followers Follow Dec 10, 2013 Share Facebook Twitter LinkedIn Google+ 4 / 0 Popular Answers John Ryding white noise · RDQ Economics It is very easy for students to confuse the two because textbooks write an equation as, say, y = a + bx + u where u~N(0,sigma). The equation is estimated and we have ^s over the a, b, and u. The u-hats look like the 'u's and then to test if the distribution assumption is reasonable you learn residual tests (DW etc,) But the u-hats are merely y-a-bx (with hats of white noise over the a and b). We have no idea whether y=a+bx+u is the 'true' model. The idea that the u-hats are sample realizations of the us is misleading because we have no idea, in economics, what the 'true' model or data generation process. So we generally don't have a given model but we go through a model selection process. We include variables, then we drop some of them, we might change functional forms from levels to logs etc. etc. We end up using the residuals to choose the models (do they look uncorrelated, do they have a constant variance, etc.) But all along, we must remember that the residuals are just constructs of the data and the estimates of the parameters we put in front of those variables. Jan 15, 2014 Simone Giannerini · University of Bologna It is a common students' misconception, surprisingly also in the replies above, to think that residuals are sample realizations of errors. This is *NOT* true. In the classical multiple regression framework Y = X*Beta + eps where X is the matrix of predictors and eps is the vector of the errors the assumption on the errors is that they have variance-covariance matrix V[eps] = sigma^2 * I where I is the identity matrix. This implies that residuals (denoted with re