916
Subject Index
Matrix(-ces) (
Cont.
)
equal, 840
identity/unit, 840
null, 840
null vector, 840
rank of, 845–846
scalar, 840
square, 839
symmetric, 840
Matrix addition, 840–841
Matrix algebra, 838–848
definitions, 838–839
determinants, 843–846
differentiation, matrix, 848
inverse of square matrix, finding, 847
operations, 840–843
types of matrices, 839–840
Matrix approach to linear regression
model, 849–869
ANOVA in matrix notation, 860–861
assumptions
of CLRM in matrix
notation, 851–853
coefficient of determination in matrix
notation, 858
correlation matrix, 859
example of, 863–867
general
F
testing using matrix
notation, 861
generalized least squares, 867–868
hypothesis testing about individual
regression coefficients in matrix
notation, 859–860
k
-variable linear regression model,
851–853
OLS estimation, 853–858
prediction using multiple
regression/matrix
formulation,
861–862
Matrix differentiation, 848
Matrix inversion, 843
Matrix multiplication, 841–843
Matrix operations, 840–843
addition, 840–841
inversion, 843
multiplication, 841–843
scalar multiplication, 841
subtraction, 841
transposition, 843
Matrix subtraction, 841
Matrix transposition, 843
Maximum likelihood (ML), 230, 556
example of, 105
method of, 102
of two-variable regression model,
103–105
Mean
prediction, 127–128, 145–146,
861–862
Mean reversion, 741
Mean value, 34n
Mean-square-error (MSE) estimator, 827–828
Measurement, errors of, 27, 482–486
Measurement scales, 27–28
Mesokurtic, 816
Method of moments (MOM), 86, 826
Mexican economy, 532, 537
Micronumerosity, 326, 332
Micropanel data (
see
Panel data)
Minimum variance, 95–96, 826, 827
Minimum-variance unbiased estimators,
100, 827
MINITAB, 896–897
Minor determinant, 846
Missing data, 499–500
ML (
see
Maximum likelihood)
ML estimators, 196, 825–826
Model (term), 3
Model mis-specification errors, 470
Model
selection criteria, 468, 493–496
adjusted
R
2
, 493
Akaike’s information criterion, 494
caution about criteria, 495–496
forecast chi-square, 496
Mallows’s
C
p
criterion, 494–495
R
2
criterion, 493
Schwarz’s information criterion, 494
Model specification bias, 467
Model specification errors, 467
consequences of, 470–474
tests of, 474–482
Durbin–Watson
d
statistic, 477–479
Lagrange multiplier test for adding
variables, 481–482
nominal vs. true level of significance,
475–476
omitted
variables detection, 477–482
Ramsey’s RESET test, 479–481
residuals examination, 477
unnecessary variables detection,
475–476
types of, 468–470
Modified
d
test, 437
Modified Phillips curve, 170
MOM (
see
Method of moments)
Moment, 86
Monetary economics, 17, 18
Money market equilibrium, 678
Money stock measures, 139
Money supply function, 718
Monte
Carlo experiments, 12, 83–84,
682–683
Monthly data, 22
Moving average (MA), 438, 439, 776
MPC (
see
Marginal propensity to consume)
MPS (marginal propensity to save), 256
MSE estimator
(
see
Mean-square-error estimator)
Multicollinearity, 320–351
assumption of no, 189
defined, 321
detection of, 337–341
effects of, 347
example, 332–337
factors in, 323
high but imperfect, 325–326
Longley data example, 347–350
nature of, 321–323
perfect, 324–325
practical consequences of, 327–332
confidence intervals, 330
micronumerosity, 332
OLS-estimator variance, 328–330
sensitivity to small changes in data,
331–332
t
ratios, 330, 331
remedial measures, 342–346
doing nothing, 342
rule-of-thumb
procedures, 342–346
theoretical consequences of, 326–327
Multinomial models, 580
Multiple coefficient of correlation, 198
Multiple coefficient of determination,
196–197
Multiple regression:
estimation problem, 188–215
hypothesis testing
about individual regression
coefficients, 235–237
forms of, 234–235
with LR/W/LM tests, 259–260
inference problem, 233–262
likelihood ratio test, 274–276
linear equality restrictions testing,
248–254
F
-test
approach, 249–254
t
-test approach, 249
linear vs. log–linear models, 260–261
maximum likelihood estimation, 230
normality assumption, 233–234
overall significance testing, 237–246
ANOVA, 238–240
F
test, 238–241
incremental contribution of
explanatory variable, 243–246
R
2
and
F
relationship, 241–242
in terms of
R
2
, 242–243
Do'stlaringiz bilan baham: 
