Caledonia is an old Latin name for Scotland, deriving from the Caledonii tribe. It is unknown what name the Caledonians used of themselves, although it was possibly based on a Brythonic word for hard or tough (represented by the modern Welsh caled).
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In the English language, the word Scotch is a term to describe a thing from Scotland, such as Scotch whisky. However, when referring to people, the preferred term is Scots.