a
ARCH
ARCH
ARCH
ARCH
Aggregation
Aggregation
Akaike information criterion
Akaike information criterion
Akaike information criterion
Autocorrelated residuals, Test for
Autocorrelation
Autocorrelation
Autocorrelation function
Autonomous
Autonomous
Autoregressive process
Autoregressive-distributed lag
Auxiliary regression
Auxiliary regression
b
Batch files
Bayesian
Bayesian
Brownian motion
c
CUSUMSQ
Chow
Chow
Coefficient standard errors
Cointegration
Cointegration
Cointegration
Cointegration
Cointegration
Collinearity
Collinearity analysis
Collinearity analysis
Common factor
Conditional model
Congruency
Congruency
Congruency
Congruency
Congruency
Congruency
Congruency
Congruency
Congruency
Conservative
Constant term
Consumption
Correlation coefficient
Correlation coefficient
Correlation matrix
Correlation matrix
Correlation: Squared multiple ---
Correlation: Squared multiple ---
Correlogram
Correlogram
Correlogram
d
DHSY (Davidson, Hendry, Srba and Yeo, 1978)
DHSY (Davidson, Hendry, Srba and Yeo, 1978)
Data generation process
Data generation process
Data generation process
Data generation process
Data generation process
Data generation process
Data generation process
Data admissible
Data density
Data density
Data mining
Data mining
Data
Density estimation
Diagnostic test
Diagnostic test
Diagnostic test
Diagnostic test
Diagnostic test
Diagnostic test
Diagnostic test
Diagnostic test
Diagnostic test
Distributional shape
Dummy variable
Dummy variable
Dynamic analysis
Dynamic analysis
Dynamic analysis
Dynamic models
Dynamic models
e
Econometric models: Leamer
Econometric models: credibility
Econometric models
Econometric models
Economic theory
Economic theory
Economic theory
Efficiency
Eigenvalue
Eigenvalue
Eigenvalue
Eigenvalue
Eigenvalue
Eigenvector
Empirical model
Empirical model
Empirical model
Encompassing
Encompassing
Encompassing
Encompassing
Encompassing
Encompassing
Equilibrium
Equilibrium correction
Equilibrium correction
Equilibrium correction
Equilibrium correction
Exogeneity
Exogenous variable
Expert
Expert
f
F-distribution
F-distribution
F-test
F-test
F-test
F-test
F-test
F-test
F-test
F-test
F-test
F-test
F-test
F-test: Block test
F-test: Block test
Factorization
Factorization
Feedback
Fixed regressors
Fixed regressors
Forecast error
Forecast error
Forecast error
Forecast error variance
Forecast: Dynamic ---ing
Forecast: Dynamic ---ing
Forecast: h-step ---
Forecast: h-step ---
Forecast statistics
Forecasting
Forecasting
Functional form
g
GUM
GUM
GUM
GUM
GUM
Gaussian
General model
General model
General model
General-to-specific
General-to-specific
General-to-specific
GiveWin
Goodness-of-fit
Granger non-causality
Graphic analysis
Graphic analysis
Graphic analysis
Graphic analysis
Growth rate
h
Haavelmo distribution
Hannan-Quinn criterion
Hannan-Quinn criterion
Hannan-Quinn criterion
Hannan-Quinn criterion
Help
Heteroscedasticity
Heteroscedasticity
Heteroscedasticity
Heteroscedasticity
Heteroscedasticity test
Histogram
Homoscedasticity
Homoscedasticity
i
IV
Identification
Identification
Identities
Information criteria
Information criteria
Information criteria
Information criteria
Information criteria
Information criteria
Information set
Initial values
Instrument
Instrument
Instrument
Instrument
Instrument
Instrument
Instrument
Instrumental variables
Integrated data
Invalid reduction
Invariance
k
Kernel
Kurtosis
l
Lag length
Lag polynomial
Lag polynomial
Lag polynomial
Lag, Matrix
Lag: Distributed ---
Liberal
Liberal
Liberal
Log-likelihood
Long run
Long run
Long run
m
Marginalization
Marginalization
Measurement information
Measurement
Measurement
Mis-specification
Mis-specification
Mis-specification
Mis-specification
Mis-specification
Mis-specification
Mis-specification
Mis-specification
Mis-specification
Model design
Model estimation
Model estimation
Model estimation
Model estimation
Model estimation
Model estimation
Model evaluation
Model evaluation
Model evaluation
Model formulation
Model formulation
Model formulation
Model formulation
Model formulation
Model formulation
Model formulation
Model formulation
Model formulation
Model output
Model reduction
Model reduction
Model reduction
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Model selection
Modelling strategies
Modelling strategy
Modelling strategy
Modelling: Single equation ---
Moments
Monetary system
Money demand
Money demand
Money demand
Monte Carlo
Monte Carlo
Monte Carlo
Monte Carlo
Monte Carlo
Monte Carlo
Monte Carlo
Monte Carlo
Multivariate normal distribution
n
Nesting
Non-central
Non-central
Non-stationarity
Non-stationarity
Non-stationarity
Normality
o
OLS
OLS
OLS
OLS
OLS
Omitted variables test
Orthogonal complement
Orthogonal
Orthogonal
Orthogonal
Orthogonality
Orthogonality
Orthogonality
Outlier
Outlier
Outlier
p
Parameter constancy
Parameter constancy
Parameter constancy test
Parameter invariance
Parameter: Constant ---
Parameter: Variation free
Parameter: Variation free
Parsimonious encompassing
Parsimonious encompassing
Parsimony
Partial autocorrelation
Partial autocorrelation
PcFiml Batch
PcFiml Batch
PcGive Batch
PcGive Batch
PcGive Batch
PcGive Batch
PcNaive
PcNaive
Portmanteau statistic
Portmanteau statistic
Portmanteau statistic
Portmanteau statistic
Predictive failure
Probability: Rejection ---
Probability: Rejection ---
Progress
Progress
q
QR decomposition
QR decomposition
r
RLS
RLS
Random number
Rational expectations
Recursive estimation
Recursive estimation
Recursive estimation
Recursive estimation
Recursive estimation
Recursive graphics
Recursive graphics
Recursive IV
Recursive IV
Regression equation
Regression equation
Reliability
Reliability: Sub-sample
Reliability: Sub-sample
Reliability: Sub-sample
Reliability: Sub-sample
Reliability: Sub-sample
Research strategies
Research strategies
Research strategies
Research strategies: Conservative
Research strategies: Conservative
Research strategies: Conservative
Research strategies: Expert
Research strategies: Expert
Research strategies: Liberal
Research strategies: Liberal
Research strategies: Liberal
Research strategies: Liberal
Residual autocorrelation
Residual correlogram
Residual correlogram
Residual density
Residual density
Residual spectrum
Residual spectrum
Residual sum of squares
Residual sum of squares
Residual sum of squares
Restricted reduced form
Restrictions
Restrictions
Restrictions
Restrictions
Restrictions
Restrictions
Rival models
Rival models
s
Schwarz criterion
Schwarz criterion
Schwarz criterion
Schwarz criterion
Schwarz criterion
Schwarz criterion
Sequential factorization
Sequential simplification
Sequential simplification
Serial correlation
Serial correlation
Significance level
Significance level
Significance level
Significance level
Significance level
Significance level
Significance level
Significance level
Significance level
Significance level
Significance level
Significance level
Significance level
Skewness
Specific-to-general
Specific-to-general
Specification: Model ---
Spectrum
Standard deviation
Standard error: Equation ---
Standard error: Equation ---
Standardized innovations
Static forecasting
Static forecasting
Static long run
Static long run
Stationarity
Stochastic independence
Strong exogeneity
Structural model
Sufficient statistics
Sufficient statistics
System estimation
System estimation
t
t-distribution
t-distribution
t-distribution
t-value
t-value
t-value
t-value
Taxonomy
Test for ARCH
Test for heteroscedasticity
Test for heteroscedasticity
Test for normality
Test: Chow ---
Test: Chow ---
Test: Cointegration ---
Test: Constancy ---
Test: Encompassing ---
Test: Linear restriction
Test: Linear restriction
Test: Linear restriction
Test: Linear restriction
Test: Omitted variables
Test: Omitted variables
Test: Parameter constancy
Test: Portmanteau statistic
Test: Significance
Test: Significance
Test: Specification ---
Testimation: Automatic model selection
Testimation: Automatic model selection
Testimation: Automatic model selection
Testimation
Testimation
Testimation: GETS
Testimation: GETS
Testimation: GETS
Testimation: GETS
Testimation: GETSIVE
Theory consistent
Theory information
Theory of reduction
Transformations: Operations
Transformations
Transformations
2SLS
u
Unbiased
Unit root
v
Variance: --- matrix
Variance: --- matrix
Variance: --- matrix
Vector autoregression (VAR)
Vector autoregression (VAR)
w
Wald test
Weak exogeneity
Weak exogeneity

 ©  H-M Krolzig & DF Hendry