1-step residuals
1SLS
2SLS
3SLS
actual (non-linear models)
Akaike criterion
Akaike criterion
Akaike criterion
Akaike criterion
Akaike information criterion (AIC)
Analysis of covariance test
AR(1) DGP (PcNaive)
ARCH (PcNaive)
ARCH test
ARCH test
ARCH
ARCH
ARFIMA: Autocovariance function
ARFIMA: Autocovariance function
ARFIMA: Batch
ARFIMA: Covariance stationarity
ARFIMA: Estimation options
ARFIMA: Estimation output
ARFIMA: Exact maximum likelihood
ARFIMA: Fixing parameters
ARFIMA: Forecasting
ARFIMA: Initial values
ARFIMA: Long memory
ARFIMA: Model
ARFIMA: Modified profile likelihood
ARFIMA: Non-linear least squares
ARFIMA: Regressors in mean
ARFIMA: Sample mean versus known mean
ARFIMA: Treatment of mean
ARFIMA: Variance-covariance matrix
ARFIMA: Weighted estimation
ARFIMA: Z variables
ARFIMA
ARMA: Autocorrelation function
ARMA: Autocovariance function
ARMA: Invertibility
ARMA: Model
ARMA: Model
ARMA: Stationarity
Augmented Dickey-Fuller (ADF) test
Autocorrelated: Test for --- residuals
Autocorrelated: Test for --- residuals
Autocorrelation function
Autocovariance
Auxiliary regression
Auxiliary regression
Auxiliary regression
Auxiliary regression
Auxiliary regression
b
BFGS
Batch: ARFIMA
Batch: GARCH
Batch: General restrictions
Batch: General restrictions
Batch: multiple equation
Batch: Panel data
Batch: single equation
Box--Jenkins method
c
Categorical dependent variable
CFIML
CFIML
χ2-distribution
Choleski decomposition
Choleski decomposition
Chow test
Chow: 1-step --- test
Chow: Break-point --- tests
Chow: Forecast --- tests
Cointegrating space
Cointegration (PcNaive)
Cointegration analysis
Cointegration eigenvalues (PcNaive)
Cointegration graphics
Cointegration restrictions
Cointegration test
Cointegration: General restrictions
Cointegration: I(2) analysis
Cointegration: Restricted variables
Cointegration: Trace statistic
Cointegration
Collinearity
Common factor
Companion: --- matrix
Constant term (PcNaive)
Constant
Convergence
Correlation coefficient
Correlation coefficient
Correlation coefficient
Correlation matrix
Correlation matrix
Correlation matrix
Correlation: Squared multiple ---
Correlation: Squared partial ---
Correlation
Correlation
Correlation
Correlation
Correlogram
Correlogram
Correlogram
Covariance matrix
Cross plot of actual and fitted
Cross-equation restrictions
Cross-section regression
CUSUM
CUSUMSQ
CUSUMSQ
d
Density estimation
Descriptive statistics
Diagnostic test
Diagnostic test
Dickey-Fuller
Discrete choice: Binary ---
Discrete choice: Multinomial ---
Dummy variable
Durbin's method
Durbin-Watson (DW)
Durbin-Watson (DW)
Dynamic analysis
Dynamic analysis
Dynamic analysis
Dynamic forecasting
Dynamic forecasting
Dynamic forecasting
Dynamic forecasting
Dynamic models
Dynamic simulation
Dynamic simulation
e
EGARCH: In mean
EGARCH: With GED errors
EGARCH: With GED errors
EGARCH
Eigenvalues of companion matrix
Eigenvalues of long-run matrix
Eigenvector
Encompassing
Endogenous variable
Endogenous variable
Endogenous variable
Endogenous variable
Engle-Granger 2-step procedure
Equation format
Equation standard error
Equilibrium correction form (PcNaive)
Equilibrium correction form (PcNaive)
Equilibrium correction form
Equilibrium correction mechanism
Equilibrium
Error autocorrelation test
Error correction mechanism
Exponential distribution (PcNaive)
f
F-distribution (PcNaive)
F-distribution
F-test: Against unrestricted regressors
F-test: On retained regressors
F-test: Rao's approximation
F-test: Rao's approximation
F-test: Rao's approximation
F-test
F-test
F-test
FIML
FIML
Final prediction error
Final prediction error
fitted (non-linear models)
Forecast Accuracy
Forecast error variance
Forecast error variance
Forecast error variance
Forecast error
Forecast error
Forecast test
Forecast test
Forecast test
Forecast test
Forecast test
Forecast: 1-step --- error
Forecast: 1-step ---ing
Forecast: 1-step ---ing
Forecast: Dynamic ---ing
Forecast: Dynamic ---ing
Forecast: Dynamic ---ing
Forecast: h-step ---ing
Forecast: h-step ---ing
Fractional difference operator
Functional form
Functional form
g
GARCH
GARCH
GARCH: ARMA representation
GARCH: Asymmetric ---
GARCH: Batch
GARCH: Covariance
GARCH: Forecasting
GARCH: Impose alpha,beta >= 0
GARCH: Impose conditional variance >= 0
GARCH: Impose stationarity and alpha+beta >= 0
GARCH: In mean
GARCH: Parameter restrictions
GARCH: Start-up of variance recursion
GARCH: Threshold ---
GARCH: Unrestricted estimation
GARCH: With Student-t errors
Gauss-Newton
General restrictions
General-to-specific
General-to-specific
General-to-specific
Generalized error distribution
GIVE (Generalized instrumental variable estimates)
Goodness of fit
Goodness-of-fit
Graphic analysis: Actual and fitted values
Graphic analysis: Forecast Chow tests
Graphic analysis: Forecasts and outcomes
Graphic analysis: Residual correlogram (ACF)
Graphic analysis: Residual cross-plots
Graphic analysis: Residual density and histogram
Graphic analysis: Residual density
Graphic analysis: Residual histogram
Graphic analysis: Residual QQ plot
Graphic analysis: Residuals (scaled)
Graphic analysis: Residuals (unscaled)
Graphic analysis
Graphic analysis
Graphic analysis
Graphic analysis
Graphic analysis
Grid search
h
Hannan--Quinn criterion
Hannan--Quinn criterion
Hannan--Quinn criterion
Hessian matrix reset
Hessian matrix
Heteroscedasticity (PcNaive)
Heteroscedasticity and autocorrelation consistent standard errors
Heteroscedasticity test
Heteroscedasticity test
Heteroscedasticity test
Heteroscedasticity-consistent standard errors
Heteroscedasticity: Heteroscedastic-consistent standard errors
Heteroscedasticity
Heteroscedasticity
Heteroscedasticity
Histogram
Histogram
Histogram
Histogram
Hypergeometric function
i
I(0)
I(0)
I(1)
I(1)
I(2)
I(2)
I(d)
Identities
Identities
Identities
IGARCH
Impulse response analysis: Accumulated ---
Impulse response analysis: Orthogonalized ---
Impulse response analysis: Orthogonalized ---
Impulse response analysis
Impulse response analysis
Information criteria
Information criteria
Information criteria
Information matrix
Initial values for RALS
Initial values
Initial values
Initial values
Instability test
Instrument
Instrumental variables estimation (IVE)
Instrumental variables
jk
Jacobian matrix
Jacobian matrix
Kernel: Normal ---
Kurtosis
Kurtosis
l
Lag length
Lag length
Lag length
Lag polynomial
Lag weights
Lag: Mean --- matrix
Lagged dependent variable
Lagged residuals
Lagged residuals
Likelihood ratio test
Likelihood ratio test
Line search
Line search
Linear probability model
Linear restrictions test
Live Graphics (PcNaive)
Live Graphics
LM-test
LM-test
LM-test
Log-likelihood: Concentrated ---
Log-likelihood
Log-likelihood
Log-likelihood
Log-likelihood
Log-likelihood
Log-normal distribution (PcNaive)
Logit: Alternative dependent regressor
Logit: Alternative specific coefficient
Logit: Baseline model
Logit: Binary --- model
Logit: Choice-based sampling
Logit: Conditional --- model
Logit: Derivatives of probabilities
Logit: Elasticities
Logit: Estimated probabilities
Logit: Generic coefficient
Logit: Grouped --- model
Logit: IIA property
Logit: Likelihood ratio tests
Logit: Log-likelihood
Logit: Log-odds ratio
Logit: Multinomial --- model
Logit: Norm observations
Logit: Normalization
Logit: Observed versus predicted
Logit: Outlier analysis
Logit: Quasi-elasticities
Logit: Reference state
Logit: Saturated model
Logit: Weighted estimation
Logit: Zeroline model
Logit
Logit
Logit
loglik (non-linear models)
Long memory
Long run covariance matrix
Long run matrix
Long run solution
Long run: Static ---
Long run: Static ---
Long run: Static ---
Long run
Long run
Long run
LR-test
m
Maximum likelihood estimation
Maximum likelihood estimation
Maximum likelihood estimation
Mean Absolute Percentage Error (MAPE)
Mean lag matrix
Mis-specification test
Model estimation
Model evaluation
Model output
Modelling strategy
Monte Carlo Output (PcNaive)
Monte Carlo Output (PcNaive)
Multiple equation: Batch
n
NLS
NLS
Non-linear models
Non-parametric density estimation
Normal distribution (PcNaive)
Normal distribution: Multivariate --- (PcNaive)
Normal distribution: Multivariate --- (PcNaive)
Normal distribution
Normal distribution
Normal distribution
Normal kernel
Normality test
Normality test
Normality test
Normality
Normality
Numerical derivative
Numerical derivative
Numerical optimization
Numerical optimization
Numerical problems
o
OLS
OLS
Omitted variables
Order conditions
Outer product of gradients
Over-identifying restrictions test
Overdifferencing
p
Panel data: AR Test
Panel data: Balanced ---
Panel data: Batch
Panel data: Between-groups estimation
Panel data: Combined estimation
Panel data: Common factor
Panel data: Deviation from time means
Panel data: Dynamic --- estimators
Panel data: Dynamic --- estimators
Panel data: First differences
Panel data: First differences
Panel data: GLS deviations
Panel data: GLS estimation
Panel data: GLS estimation
Panel data: GMM estimation: 1-step ---
Panel data: GMM estimation: 2-step ---
Panel data: GMM estimation: 2-step ---
Panel data: GMM estimation: Combined ---
Panel data: GMM estimation: Combined ---
Panel data: GMM estimation: Standard errors
Panel data: GMM estimation: Standard errors
Panel data: GMM estimation
Panel data: Heteroscedasticity
Panel data: Instrumental variable
Panel data: LSDV estimation
Panel data: LSDV estimation
Panel data: ML estimation
Panel data: ML estimation
Panel data: OLS estimation
Panel data: OLS estimation
Panel data: Orthogonal deviations
Panel data: Orthogonal deviations
Panel data: Sargan Test
Panel data: Sargan Test
Panel data: Static --- estimators
Panel data: Static --- estimators
Panel data: Test for overidentifying restrictions
Panel data: Test of significance
Panel data: Transformations
Panel data: Unbalanced ---
Panel data: Wald (dummy)
Panel data: Wald (joint)
Panel data: Wald (time)
Panel data: Within-groups estimation
Panel data: Within-groups estimation
Panel data: Within-groups estimation
Panel data
Parameter constancy test
Parameter constancy
Parameter constancy
Parameter constancy
Parameter constancy
Parameter instability
Parsimonious encompassing
Parsimonious encompassing
Partial autocorrelation function (PACF)
Partial autocorrelation function (PACF)
Partial autocorrrelation function (PACF)
Partial correlations
Parzen window
PcGive unit-root test
PcNaive DGP (PcNaive)
PcNaive DGP: Break (PcNaive)
PcNaive DGP: Equilibrium correction (PcNaive)
Periodogram
Poisson regression
Portmanteau statistic
Portmanteau statistic
Principal component analysis
Probit: Binary --- model
Probit: Derivatives of probabilities
Probit: Grouped --- model
Probit
Progress
Progress
Progress
q
QQ plot
QR decomposition
Quasi Newton
r
R2 Relative to difference and seasonals
R2
R2
R2
R2
R2
RALS estimation
Random walk
Rank conditions
Recursive betas
Recursive eigenvalues
Recursive estimation
Recursive estimation
Recursive graphics
Recursive graphics
Recursive graphics
Recursive graphics
Reduced Form DGP (PcNaive)
Reduced form estimates
Reduced form: Restricted ---
Reduced form
Reduction sequence
Regression coefficients
Regression equation
Regression: Standard error
Regression: Standard error
RESET
Residual autocorrelation
Residual autocorrelation
Residual correlogram
Residual correlogram
Residual correlogram
Residual correlogram
Residual density
Residual density
Residual density
Residual distribution
Residual distribution
Residual partial correlogram (PACF)
Residual partial correlogram (PACF)
Residual partial correlogram (PACF)
Residual QQ plot
Residual QQ plot
Residual spectrum
Residual spectrum
Residual sum of squares
Residual sum of squares
Residual sum of squares
Residual sum of squares
Restricted reduced form
Restricted reduced form
RIVE
RIVE
RLS
RLS
RLS
RLS
RML
RML
RNLS
RNLS
RNLS
RNLS
Root Mean Squared Error (RMSE)
s
Sample period
Sample selection by a variable
Schwarz criterion
Schwarz criterion
Schwarz criterion
Seasonal means
Sequential reduction
Significance
Simultaneous equations model (SEM)
Single equation: Batch
Single equation tests
Singular
Skewness
Skewness
Small-sample correction
Spectral density: Bias
Spectral density
Spectrum
Spectrum
Squared partial correlation
Standard deviation
Standard error: Equation ---
Standard error: Equation ---
Standard error: Equation ---
Standardized innovations
Starting values
Starting values
Static DGP (PcNaive)
Static long run: Standard errors of ---
Static long run
Static regression
Static
Step length
Step length
Strong exogeneity
Strong exogeneity
Strong exogeneity
Structural change
Structural coefficients
Super exogeneity
System estimation
System formulation
System formulation
System modelling
System modelling
System output
System tests
t
t-distribution (PcNaive)
t-distribution
t-probability
t-value
t-value
t-value
Test: ADF --- (PcNaive)
Test: Against unrestricted regressors
Test: ARCH ---
Test: ARCH ---
Test: Augmented Dickey-Fuller ---
Test: Augmented Dickey-Fuller ---
Test: Autocorrelation --- (PcNaive)
Test: Autocorrelation ---
Test: Autocorrelation ---
Test: Chow ---: Breakpoint (PcNaive)
Test: Chow ---: Forecast (PcNaive)
Test: Chow ---
Test: Chow ---
Test: Cointegration --- (PcNaive)
Test: Cointegration restrictions
Test: Cointegration
Test: COMFAC
Test: Durbin-Watson
Test: Durbin-Watson
Test: ECM --- (PcNaive)
Test: Encompassing ---
Test: Error autocorrelation ---
Test: Error autocorrelation ---
Test: Forecast ---
Test: Forecast ---
Test: Forecast ---
Test: Functional form mis-specification
Test: General restrictions
Test: General restrictions
Test: Heteroscedasticity --- (squares and cross-products)
Test: Heteroscedasticity --- (squares)
Test: Heteroscedasticity ---
Test: Heteroscedasticity ---
Test: Instability ---
Test: Linear restrictions
Test: Normality --- (PcNaive)
Test: Normality ---
Test: Normality ---
Test: Normality ---
Test: Omitted variables
Test: On retained regressors
Test: Over-identifying restrictions
Test: Parameter constancy
Test: Parameter constancy
Test: Parameter constancy
Test: Parameter constancy
Test: Portmanteau statistic
Test: Portmanteau statistic
Test: RESET
Test: Significance
Test: Significance
Test: Significance
Test: Single equation ---
Test: Single equation ---
Test: Specification --- (IVE)
Test: Testing beta = 0 (IVE)
Test: Unit-root ---
Test: Unit-root ---
Test: Vector ---
Test: Vector ---
Test: Vector Chow ---
Test: Vector error autocorrelation ---
Test: Vector error autocorrelation ---
Test: Vector heteroscedasticity ---
Test: Vector heteroscedasticity ---
Test: Vector normality ---
Test: Vector Portmanteau statistic
Test: Zero forecast
Tobit
Trend (PcNaive)
Trend
Trend
u
Unit root test
Unit root test
Unrestricted elements
Unrestricted reduced form
Unrestricted reduced form
Unrestricted reduced form
Unrestricted reduced form
Unrestricted reduced form
Unrestricted reduced form
Unrestricted reduced form
Unrestricted reduced form
Unrestricted variables
Unrestricted variables
Unrestricted variables
Unrestricted variables
Unrestricted variables
Unrestricted variables
v
Variable: Endogenous ---
Variable: Instrumental ---
Variable: Instrumental ---
Variable: Instrumental ---
Variance matrix
Variance matrix
Variance matrix
Vector ARMA error (PcNaive)
Vector autoregression (VAR) (PcNaive)
Vector autoregression (VAR): Cointegrated ---
Vector autoregression (VAR)
Vector autoregression (VAR)
Vector autoregression (VAR)
wxyz
Wald test
Wald test
Weak exogeneity
Yule-Walker equations
Zero Forecast innovation mean

 ©  JA Doornik  &  DF Hendry