|
Name Index
Silver, J. Lew, 391n, 724n
Sims, C. A., 667n, 784
Smith, Gary R., 461n
Smith, Harry, 346n, 430n, 495n, 497, 517n,
529n, 535n
Smith, P. E., 686
Soldofsky, Robert M., 551n
Somers, Albert T., 25n
Spanos, Aris, 2, 27n
Spector, L., 561–562
Srivastava, Muni, 309n, 498n
Srivastava, S. S., 346n
Stewart, Jon, 481n
Stewart, Mark B., 343n
Stigler, Stephen M., 107n, 121
Stock, James H., 64n, 510n, 655n,
759n, 760
Stone, Courtenay C., 642n, 643n
Stone, J. R. N., 1n
Stone, R., 356n
Strickland, Allyn D., 724
Stuart, A., 19, 99n
Suits, D. B., 708n
Summers, Robert, 656n
Swamy, P. A. V. B., 300n
Swed, Frieda S., 434, 892n
Székely, István P., 434n, 638n
Szroeter, J., 388n
T
Tatom, John A., 268
Taylor, Mark P., 467n, 657n, 741n
Terraza, Michel, 738n
Theil, Henri, 1n, 72n, 78n, 144n, 150n,
202n, 249n, 318n, 445, 455, 462,
516, 557n, 719, 719n, 721
Thornton, Daniel I., 652n, 763n
Tiegen, R., 684
Tinbergen, J., 623
Tintner, Gerhard, 1n, 414n
Tobin, James, 343, 574
Trivedi, Pravin K., 499n, 605n, 606
Trost, Robert P., 610n
Tsoung-Chao Lee, 206n, 339n, 383n
U
Ullah, Aman, 26n
V
Valavanis, Stefan, 366n
Verbeek, Marno, 738n
Vining, G. Geoffrey, 296n
Vinod, H. D., 26n, 346n
von Neumann, J., 454n
W
Waldman, Donald, 588
Walker, Helen M., 834n
Wall, Howard J., 616
Wallace, T. Dudley, 391n, 476n, 724n
Wallis, Kenneth F., 343n, 459n, 764n
Walpole, Ronald E., 837
Walsh, Joe, 218n
Wasserman, William, 111n, 187n, 531n,
578n, 589n
Watson, G. S., 434n, 435
Watson, Mark W., 64n, 510n, 655n, 759n
Webb, G. I., 445n
Webster, J. T., 323n
Weil, David N., 178n
Weisberg, Stanford, 430n
Weiss, Leonard W., 724
Welsch, R. E., 340n
West, K., 447
Wetherill, G. Barrie, 316
Wheelwright, Steven C., 774n
Whitaker, J. K., 669n
White, Howard, 52n, 165n, 168n, 260,
311n, 313n, 387n, 391n, 496n,
644n, 738n
White, Kenneth J., 485n, 682n, 683, 889n
Wichers, C. Robert, 338, 351
Wiener, N., 653n
Wooldridge, Jeffrey M., 265n, 411n, 439n,
443n, 450n, 592n, 602n, 606
Wu, De-Min, 703n
Wuyts, Marc, 52n, 165n, 168n, 311n, 313n,
496n, 644n, 738n
Wyatt, Justin B., 682n, 683n
Y
Yu Xie, 541n
Yule, G. Udny, 381n, 748
Z
Zaman, Asad, 476
Zarembka, P., 566n
Zeller, Arnold, 12
Zellner, Arnold, 599n, 653n, 714n
Zestos, George K., 224n
Ziliak, S. T., 123n
Zucker, Albert, 346n
guj75772_index.qxd 05/09/2008 11:14 AM Page 908
BLUE estimator in presence of, 422
defined, 413
detecting, in autoregressive models,
637–639
detection of, 429–440
Breusch–Godfrey test, 438–440
Durbin–Watson
d
test, 434–438
graphical method, 429–431
runs test, 431–434
and dummy variables, 299
dummy variables in, 449
example of, 450–451
GLS method of correcting for,
442–447
and heteroscedasticity, 450
with heteroscedasticity, 450
nature of, 413–418
and Newey–West method, 447–448
OLS estimation in presence of, 418–421,
423–427
proofs, 466
pure, 441–442
remedial measures for, 440–441
and selection of method, 448
wages-productivity example of,
428–429
Autocorrelation coefficients, 753–754
Autocorrelation function (ACF), 749–753
Autoregression, 417
Autoregressive and moving average
(ARMA) process, 776
Autoregressive conditional
heteroscedasticity (ARCH) effect:
and Durbin–Watson
d,
796
in volatility measurement, 794–795
Autoregressive conditional
heteroscedasticity (ARCH) model,
449–450, 773
of U.S. inflation rate, 797–798
in volatility measurement, 791, 793, 794
Autoregressive integrated moving average
(ARIMA) model, 773–777
estimation of, 782
of yen/dollar exchange rate, 797
Autoregressive (AR) models, 434, 491,
617, 775–776
detecting autocorrelation in, 637–639
estimation of, 633–636
examples of, 639–645
instrumental variables method, 636–637
Auxiliary regression, 339
A
A
2
statistic, 131
A priori information, 342–343
Absolute change, 160n
Accelerationist Phillips curve, 170
Accelerator model of investment, 622
Accelerator model of macroeconomics, 687
Acceptance region, 833
Accepting hypothesis, 119
Accuracy, of data, 27
ACF (
see
Autocorrelation function)
Adaptive expectations model, 629–631, 634
Addition, matrix, 840–841
Additive form, 287
ADF test (
see
Augmented Dickey–
Fuller test)
Adjoint matrix, 846
Adjusted coefficient of determination,
201–207, 865
Adjusted
R
2
, 493
Admissible data, 468
Advertising expenditures, 32–33
Advertising intensity example, 724–725
AEG test (
see
Augmented Engle–
Granger test)
Aggregate, 5
Aggregate consumption, 643–645
Aggregated data, 27
Agronomy, 18, 19
Akaike’s information criterion (AIC), 203,
488, 494
Almon distributed-lag model, 645–652
Alternative hypothesis, 113, 121, 831
Amemiya’s prediction criteria, 203
American Stock Exchange, 900
Analogy principle, 86, 826
Analysis of covariance (ANCOVA) models,
283–285
Analysis of variance (ANOVA) models:
dummy variables in, 278–283
in matrix notation, 860–861
for overall significance testing, 238–240
and regression analysis, 124–126
with two qualitative variables, 283
ANCOVA models (
see
Analysis of
covariance models)
Anderson–Darling normality test, 131
Annual data, 22
ANOVA models (
see
Analysis of
variance models)
ANOVA table, 125, 126
Applied econometrics, 10, 11
Appreciation, 30
AR models (
see
Autoregressive models)
ARCH effect (
see
Autoregressive
conditional heteroscedasticity effect)
ARCH model (
see
Autoregressive
conditional heteroscedasticity model)
ARIMA model (
see
Autoregressive
integrated moving average model)
ARMA (autoregressive and moving
average) process, 776
Associative property, 843
Assumptions, of CLRM, 61–69, 189,
315–319
correct specification (assumption 9), 467
fixed values (assumption 2), 62–63,
316–317
homoscedasticity (assumption 4), 64–66
independence of values from error term
(assumption 2), 62–63
linear in parameter (assumption 1), 62
in matrix notation, 851–853
nature of variables (assumption 7), 68
no autocorrelation between disturbances
(assumption 5), 66–67
no exact collinearity (assumption 8), 189
no specification bias (assumption 9),
189, 367
normal distribution (assumption 10),
315, 318
observations and parameters
(assumption 6), 67–68
violation of, 85
zero mean value (assumption 3),
63–64, 317
Asymmetry, 474
Asymptote, 167
Asymptotic efficiency, 831
Asymptotic normality, 831
Asymptotic properties, 73, 96, 828
Asymptotic unbiasedness, 829
Asymptotically normal distribution, 510
A-theoretic models, 788
Augmented Dickey–Fuller (ADF) test,
755–758
Augmented Engle–Granger (AEG) test,
763–764
Autocorrelation, 412–453
ARCH/GARCH models, 449–450
assumption of no, 66–67
Subject Index
Page numbers followed by n indicate material found in notes.
Do'stlaringiz bilan baham: |
