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Index

INDEX

Adjusted multiple correlation coefficient 20Adjusted residual 32, 33Akaike's Information Criterion 20ARCH 4, 14, 15, 255, 288, 331-336, 339ARIMA model 157-162, 164, 173, 184, 194, 197, 203, 210Autocorrelation function 33, 49, 50, 54-56, 159, 160, 171, 172, 175, 298Bicovariance 204Bispectral linearity test statistic 207Bispectrum 204-206, 208, 209, 211, 217, 219, 220, 229, 243, 382, 388-394, 429BLUS residual testing 34BLUS residuals 32-36, 38-41, 43, 47, 62-65, 68, 230, 232, 241Censored regression model 99Coefficient of multiple correlation 19, 22Conditional distribution 157Controllability matrix 296Corrected impulse response weights 168, 193CUSUM test 236, 248, 250CUSUMSQ test 236, 249, 250, 252Destination effect 140Display Manager 6, 12, 13, 16, 338Distance effect 140Elasticities 19, 83Error Component Analysis 128, 130Exchange matrix 2, 139, 140, 150, 152-155F-statistic 20, 22Final form 43, 199, 200Full information maximum likelihood 1, 111Fundamental matrix 2, 138-140, 150GARCH 288, 331, 336GAUSHAUS 16, 162, 163, 286, 432Gauss-Newton approach 272, 273Generalized least squares xiii, 1, 17, 44, 142, 144Granger cause 198h statistic 186, 210Hankel matrix 288, 296-298, 314, 317, 336Harvey-Collier test 237Implicit expectations 303-305, 312, 313Impulse response function 167, 168, 170, 173, 204, 215Inverted form 158Iterative 3SLS 111

Bib-25

Index

Joint distribution 157k class estimator 108Kalman Filter 337KFILTER command 4, 288, 297, 313, 336L2NORM 104, 106LIML estimator 107-109Logit Models 77, 78, 90, 374, 398LSDV least-squares 121LUS class 230LUS residuals 231, 232, 234, 235, 255Marginal distribution 25, 157Markov Probability Analysis 135Marquardt method 273Mean first passage matrix 138, 139, 156Mean recurrence matrix 139Moving regression means square error 238Moving-regression procedure 238Multinomial Probit Models 74Multisegment Chow test 238NONLIN command 4, 163, 271-275, 280, 285, 286, 359Observability matrix 296Ordinary least squares 1, 2,Parser 7, 10, 286, 343, 358Partial autocorrelation function 159Partial correlation 19Prediction multiplier 298Probit Models 71-74, 94, 374QR approach to estimation 258Quandt Log-likelihood ratio 238, 239Random shock form 158Rational distributed lag 164Rational expectations 303-305, 312, 313, 321, 431, 432, 434Reachability matrix 296, 297Recursive residual technique 3, 230Reduced form 2, 102, 103, 105, 108, 110, 114-117, 199, 200Regression coefficients 17-19, 23, 28, 31, 43, 49, 54-56, 128, 237, 270Residual variance 19, 21, 49, 54-56, 62, 64, 91, 107, 114-118, 128, 129, 202, 229, 267, 268, 302, 336Riccati equation 297Schwartz Information Criterion 20Seemingly unrelated regression model 109, 118Simultaneous Equations Systems 101Skewness function 205-207

26

Index

Specification searches 430Spectrum 180, 205, 206, 229, 400-403, 405-407, 409-411, 414-416, 422, 423Squared coefficient of multiple correlation 19Standard error of estimate 19, 32, 128-130Standardized recursive residual 233, 255State space model building 294Strict stationarity 157Test for nonlinearity and Gaussianity 376Three-stage least squares 1, 2, 28, 109, 111Tobit Models 2, 84, 90Transfer function model 16, 164, 167-169, 171, 172, 174, 179, 181, 186, 187, 193-195, 197, 290, 313, 331Transition probability matrix 2, 135, 139, 140, 147, 149, 150, 155Truncated regression model 99Two-stage least squares xiii, 1, 2, 107, 111Unit root 4, 161, 255, 288, 317, 320, 321, 324, 325, 330, 426, 433VARFREQ command 4, 288, 292, 336-338Waiting-time vector 139, 150Weighted least squares 1, 17, 22Yule-Walker 160

Bib-27