What this category covers
Regression and econometric methods used to estimate relationships, exposures and causal-looking associations with appropriate diagnostics. Each concept page explains the quantitative meaning, how the idea is used in portfolio or market analysis, the relevant formula or analytical framework, variables, a compact example and the main limitations to keep in view.
Core concepts
Quick entry pointsAll Econometrics & Regression concepts
32 entriesANOVA for Regression
ANOVA for Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceArellano-Bond Estimator
Arellano-Bond Estimator is a quantitative-finance concept used within econometrics & regression. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceBayesian Linear Regression
Bayesian Linear Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceBayesian Regression
Bayesian Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceBetween Estimator
Between Estimator is a quantitative-finance concept used within econometrics & regression. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceBreusch-Godfrey Test
Breusch-Godfrey Test is a statistical diagnostic used in econometrics & regression to test a specific property of data, residuals, forecasts or model behavior. The result is evidence about an assumption or hypothesis, not a standalone trading signal.
Quantitative FinanceBreusch-Pagan Test
Breusch-Pagan Test is a statistical diagnostic used in econometrics & regression to test a specific property of data, residuals, forecasts or model behavior. The result is evidence about an assumption or hypothesis, not a standalone trading signal.
Quantitative FinanceCross-Sectional Regression
Cross-Sectional Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceDynamic Panel Model
Dynamic Panel Model is a quantitative model or framework used in econometrics & regression to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceElastic Net Regression
Elastic Net Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceErrors-in-Variables Model
Errors-in-Variables Model is a quantitative model or framework used in econometrics & regression to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceFama-MacBeth Regression
Fama-MacBeth Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceFirst-Difference Estimator
First-Difference Estimator is a quantitative-finance concept used within econometrics & regression. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceFixed Effects Model
Fixed Effects Model is a quantitative model or framework used in econometrics & regression to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceGeneralized Additive Model
Generalized Additive Model is a quantitative model or framework used in econometrics & regression to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceGeneralized Least Squares Regression
Generalized Least Squares Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceHausman Test
Hausman Test is a statistical diagnostic used in econometrics & regression to test a specific property of data, residuals, forecasts or model behavior. The result is evidence about an assumption or hypothesis, not a standalone trading signal.
Quantitative FinanceHeckman Selection Model
Heckman Selection Model is a quantitative model or framework used in econometrics & regression to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceHierarchical Bayesian Model
Hierarchical Bayesian Model is a quantitative model or framework used in econometrics & regression to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceHuber Regression
Huber Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceInstrumental Variables Regression
Instrumental Variables Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceKernel Regression
Kernel Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceLasso Regression
Lasso Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceLeast Absolute Deviations Regression
Least Absolute Deviations Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceLocal Polynomial Regression
Local Polynomial Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceLogistic Regression
Logistic Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceMedian Regression
Median Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceMixed Effects Model
Mixed Effects Model is a quantitative model or framework used in econometrics & regression to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceMultilevel Model
Multilevel Model is a quantitative model or framework used in econometrics & regression to convert assumptions and observed market information into a structured estimate, state or decision rule. Its value comes from making the relationships explicit enough to calibrate, test and compare rather than relying on intuition alone.
Quantitative FinanceMultiple Linear Regression
Multiple Linear Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceNegative Binomial Regression
Negative Binomial Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.
Quantitative FinanceNonparametric Regression
Nonparametric Regression is a regression-based technique used in quantitative finance to estimate how a target variable changes with one or more explanatory variables. In practice, the usefulness of the estimate depends on specification, stability and the treatment of time dependence and heteroskedasticity.