914
Subject Index
Heteroscedasticity (
Cont.
)
informal methods, 376–378
Koenker–Basset test, 388–389
nature of problem, 376–377
Park test, 378–379
selection of test, 389
Spearman’s rank correlation test,
380–382
White’s general test, 386–388
and dummy
variables, 298–299
examples of, 395–399
GLS method of correcting for, 371–374
nature of, 365–370
OLS estimation in presence of, 370–371,
374–376
overreacting to, 400
patterns of, 391–395
remedial measures for, 389–395
assumptions
about pattern of
heteroscedasticity, 391–395
White’s heteroscedasticity-consistent
variances/standard errors, 391
WLS, 389–390
White’s standard errors corrected for, 411
Heteroscedasticity- and autocorrelation-
consistent (HAC) standard errors,
447–448
Heteroscedasticity-consistent covariance
matrix estimators, 391n
Higher moments of probability
distributions, 815–816
Histogram of residuals, 130–131
Historical regression, 126
Holt’s linear method, 774
Holt–Winters’ method, 774
Homoscedasticity (assumption 4),
64–66, 365
Hypothesis
statement, 3
Hypothesis testing, 113–124, 831–837
about individual regression coefficients
in matrix notation, 859–860
accepting or rejecting hypothesis, 119
choosing approach to, 124
choosing
level of significance, 121–122
in classical theory of statistical
inference, 97
confidence-interval approach, 831–836
confidence-interval approach to, 113–115
as econometric modeling step, 7–8
exact level of significance, 122–123
forming null/alternative hypotheses, 121
in multiple regression, 234–237,
259–260
statistical vs. practical significance,
123–124
test-of-significance approach, 115–119,
836–837
zero null hypothesis and 2-
t
rule of
thumb, 120
I
i
(subscript), 21
Identification:
in BJ methodology, 778–782
order condition, 699–700
rank condition, 700–703
rules for, 699–703
Identification problem, 671–672, 689–703
defined, 692
exact identification, 694–697
notations/definitions used in, 689–692
overidentification, 697–698
underidentification, 692–694
Identity matrix, 840
Idiosyncratic term, 603
“Ignorable case,” 499, 500
ILS (
see
Indirect least squares)
Impact multipliers, 619, 691
Impulse response function (IRF), 789
Impulses, 785
Imputing values, 499
Inclusion,
of irrelevant variables, 469,
473–474, 520–521
Income multiplier (
M
), 8
Incremental contribution of explanatory
variable, 243–246
Independent variable, 3
Indifference curves, 28
Indirect least squares (ILS), 691,
715–718, 735
Individual prediction, 128–129, 146, 862
Individual probability density function, 805
Individual regression coefficients, 235–237
Individual-level data, 556, 561–566,
570–571, 589–590
Inertia, 414
Infinite (lag) model, 623
Influential point, 497
Innovations, 785
In-sample forecasting, 491
Instantaneous rate of growth, 164
Institute for Research on Poverty, 901
Institutions, 622
Instrument validity, 669–670
Instrumental variables, 485, 718
Instrumental variables (IV) method,
636–637
Integrated of order 1, 746
Integrated of order 2, 746
Integrated of order
d,
747
Integrated processes, 746–747
Integrated stochastic processes, 746–747
Integrated time series, 747
Interaction among regressors, 470
Interaction dummy, 289–290
Interaction term, 263, 549
Interactive form, 287
Intercept, 3
Intercept coefficient, 37
Intercorrelation, measurement of, 321n
Interest rates:
and Federal Reserve, 642–643
and investments/sales, 666
and money, 655–656
and money/GDP/CPI, 709
Internal Revenue Service (IRS), 27
International Trade Administration, 901
Internet, 25
Interpolation, 417
Interval
estimation, 108–112, 824–825
confidence interval for
σ
2
, 111–112
confidence intervals for regression
coefficients
β
1
and
β
2
, 109–111
defined, 108
Interval estimators, 59, 108
Interval scale, 28
Intrinsically nonlinear regression models,
525–526
Invariance property, 830
Inverse Mills ratio, 575
Inverse of square matrix, 847
Inversion, matrix, 843
Inverted V distributed-lag model, 664
Investment data, 25, 26
IRF (impulse response function), 789
Irrelevant variables:
inclusion of, 469, 473–474
tests for, 475–476
and unbiasedness property, 520–521
IRS (Internal Revenue Service), 27
IS
model of macroeconomics, 677–678
Iterated expectations, law of, 815
Iterative linearization method, 530
Iterative methods, 446–447
Iterative process, 529
IV method (
see
Instrumental
variables method)
J
J
curve of international economics, 621
J
test, 490–492
Jarque–Bera (JB) test, 131, 132, 819
Joint confidence interval, 111
Joint probability density functions, 805
Just identification (
see
Exact identification)
K
K
normal equations, 874
KB test (
see
Koenker–Basset test)
Keynesian consumption function, 3–5, 7
Keynesian model of income determination,
675–676
KISS principle, 511
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