1-step residuals
1SLS
2SLS
3SLS
actual (non-linear models)
Adjusted R2
Akaike criterion (AIC)
Akaike criterion (AIC)
Akaike criterion (AIC)
Akaike criterion (AIC)
Akaike criterion (AIC)
Algebra
Analysis of covariance test
AR(1) DGP
ARCH test
ARCH test
ARCH
ARCH
ARCH
ARCH
Arfima Estimation options
ARFIMA model
ARFIMA Z variables
ARFIMA: Autocovariance function
ARFIMA: Autocovariance function
ARFIMA: Covariance stationarity
ARFIMA: Estimation output
ARFIMA: Exact maximum likelihood
ARFIMA: Fixing parameters
ARFIMA: Forecasting: Levels
ARFIMA: Forecasting: Naive
ARFIMA: Forecasting
ARFIMA: Initial values
ARFIMA: Long memory
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
ARMA model
ARMA model
ARMA: Autocorrelation function
ARMA: Autocovariance function
ARMA: Invertibility
ARMA: Stationarity
Augmented Dickey-Fuller (ADF) test
Augmented Dickey-Fuller (ADF) test
Autocorrelated: Test for residuals
Autocorrelated: Test for residuals
Autocorrelation function
Autocorrelation function
Autocorrelation function
Autocovariance
Auxiliary regression
Auxiliary regression
Auxiliary regression
Auxiliary regression
Auxiliary regression
b
Batch (ARFIMA)
Batch (GARCH)
Batch (multiple equation)
Batch (Panel models)
Batch (single equation)
Batch (Switching)
Batch file (.FL)
Batch file (.FL)
Batch restrictions
Batch restrictions
Batch: Variable names
Batch: Variable names
Batch: Variable names
Batch: Variable names
Batch: Variable names
Batch: Variable names
Batch
Batch
Batch
Batch
Batch
Batch
Batch
BFGS
BFGS
BFGS
BFGS
Box-Jenkins method
c
Categorical dependent variable
CFIML
CFIML
chi;2-distribution
Choleski decomposition
Choleski decomposition
Chow test
Chow: 1-step test
Chow: Break-point tests
Chow: Forecast tests
Cointegrating space
Cointegrating space
Cointegration analysis
Cointegration analysis
Cointegration eigenvalues
Cointegration graphics
Cointegration restrictions
Cointegration test
Cointegration: General restrictions
Cointegration: General restrictions
Cointegration: I(2) analysis
Cointegration: Restricted variables
Cointegration: Trace statistic
Cointegration
Cointegration
Collinearity
Common factor
Common factor
Companion matrix
Companion matrix
Congruency
Congruency
Constant term
Constant term
Constant term
Constant
Convergence
Convergence
Convergence
Convergence
Convergence
Correlation coefficient
Correlation coefficient
Correlation coefficient
Correlation coefficient
Correlation matrix
Correlation matrix
Correlation matrix
Correlation: Adjusted squared multiple
Correlation: Squared multiple
Correlation: Squared partial
Correlation
Correlation
Correlation
Correlation
Correlation
Correlogram
Covariance matrix
Covariance matrix
Covariance matrix
Covariance matrix
Covariance matrix
Cross plot of actual and fitted
Cross-equation restrictions
Cross-section regression
Cross-section sample selection
CUSUM
CUSUMSQ
CUSUMSQ
d
Density estimation
Descriptive statistics
Diagnostic test
Diagnostic test
Diagnostic test
Dickey-Fuller
Discrete choice model
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 forecasting
Dynamic forecasting
Dynamic models
Dynamic simulation
Dynamic simulation
e
Economic interpretation
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
Equilibrium correction form
Equilibrium correction form
Equilibrium correction mechanism
Equilibrium
Equilibrium
Error autocorrelation test
Error correction mechanism
Estimation: Model
Estimation: Model
Estimation: System
Estimator-generating equation
Exponential distribution
f
F-distribution
F-distribution
F-test-test
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
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 error
Forecast test
Forecast test
Forecast test
Forecast test
Forecast test
Forecast: 1-step error
Forecast: 1-steping
Forecast: 1-steping
Forecast: 1-steping
Forecast: Dynamicing
Forecast: Dynamicing
Forecast: Dynamicing
Forecast: Dynamicing
Forecast: Dynamicing
Forecast: Dynamicing
Forecast: h-step
Forecast: h-step
Formulation: Model
Formulation: Model
Formulation: Model
Formulation: System
Formulation: System
Fractional difference operator
Functional form
Functional form
Functional form
g
GARCH covariance
GARCH in mean
GARCH parameter restrictions
GARCH with Student- t errors
GARCH: ARMA representation
GARCH: Asymmetric
GARCH: Forecasting
GARCH: Impose alpha,beta >= 0
GARCH: Impose conditional variance >= 0
GARCH: Impose stationarity and alpha+beta >= 0
GARCH: Start-up of variance recursion
GARCH: Threshold
GARCH: Unrestricted estimation
GARCH
GARCH
GARCH
Gauss-Newton
Gauss-Newton
General restrictions
General restrictions
General restrictions
General-to-specific (Gets)
General-to-specific
General-to-specific
Generalized error distribution
GIVE (Generalized instrumental variable estimates)
Goodness of fit
Goodness-of-fit
Goodness-of-fit
Graphic analysis: Actual and fitted values
Graphic analysis: Actual and fitted values
Graphic analysis: Forecast Chow tests
Graphic analysis: Forecast Chow tests
Graphic analysis: Forecasts and outcomes
Graphic analysis: Forecasts and outcomes
Graphic analysis: Residual autocorrelations (ACF)
Graphic analysis: Residual autocorrelations (ACF)
Graphic analysis: Residual cross-plots
Graphic analysis: Residual density and histogram
Graphic analysis: Residual density and histogram
Graphic analysis: Residual density
Graphic analysis: Residual density
Graphic analysis: Residual histogram
Graphic analysis: Residual histogram
Graphic analysis: Residual QQ plot
Graphic analysis: Residual QQ plot
Graphic analysis: Residuals (scaled)
Graphic analysis: Residuals (scaled)
Graphic analysis: Residuals (unscaled)
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
Hessian matrix
Heteroscedasticity and autocorrelation consistent standard errors
Heteroscedasticity test
Heteroscedasticity test
Heteroscedasticity test
Heteroscedasticity test
Heteroscedasticity-consistent standard errors
Heteroscedasticity: Heteroscedastic-consistent standard errors
Heteroscedasticity
Heteroscedasticity
Heteroscedasticity
Heteroscedasticity
Histogram
Histogram
Histogram
Histogram
Hypergeometric function
Hypothesis: Null
Hypothesis: Null
Hypothesis: Null
Hypothesis: Null
Hypothesis: Null
i
I(0)
I(0)
I(1)
I(1)
I(2)
I(2)
I(d)
Identities
Identities
Identities
Identities
Identities
Identities
IGARCH
Impulse response analysis: Accumulated impulse response
Impulse response analysis: Orthogonalized impulse response
Impulse response analysis: Orthogonalized impulse response
Impulse response analysis
Impulse response analysis
Information criteria
Information criteria
Information criteria
Information matrix
Initial values for RALS
Initial values
Initial values
Initial values
Innovation
Innovation
Instability test
Instrument
Instrument
Instrumental variables estimation (IVE)
Instrumental variables
Invalid reduction
jk
Jacobian matrix
Jacobian matrix
Kernel: Normal
Kernel
Kurtosis
Kurtosis
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
Live Graphics
LM-test
LM-test
LM-test
Log-likelihood: Concentrated
Log-likelihood
Log-likelihood
Log-likelihood
Log-likelihood
Log-likelihood
Log-likelihood
Log-likelihood
Log-normal distribution
Logit estimated probabilities
Logit likelihood ratio tests
Logit weighted estimation
Logit: Alternative dependent regressor
Logit: Alternative dependent regressor
Logit: Alternative independent 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: Generic coefficient
Logit: Grouped model
Logit: IIA property
Logit: Log-likelihood
Logit: Log-likelihood
Logit: Log-odds ratio
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: 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
Markov-switching models
Maximum likelihood estimation
Maximum likelihood estimation
Maximum likelihood estimation
Mean Absolute Percentage Error (MAPE)
Mean-lag matrix
Mis-specification test
ML
ML
ML
Model estimation
Model estimation
Model evaluation
Model formulation
Model formulation
Model formulation
Model output
Modelling strategy
Modelling strategy
Monte Carlo Output
Monte Carlo Output
n
NBER
NLS
NLS
NLS
NLS
Non-linear model
Non-linear models
Non-parametric density estimation
Normal distribution: Multivariate
Normal distribution: Multivariate
Normal distribution
Normal distribution
Normal distribution
Normal distribution
Normal kernel
Normality test
Normality test
Normality test
Normality
Normality
Numerical derivative
Numerical derivative
Numerical derivative
Numerical optimization
Numerical optimization
Numerical optimization
Numerical problems
o
OLS
OLS
Omitted variables
Order conditions
Outer product of gradients
Outer product of gradients
Output: Cointegrated VAR
Output: Model
Output: System
Over-identifying restrictions test
Overdifferencing
p
Panel data combined estimation
Panel data: Balanced
Panel data: Between-groups estimation
Panel data: Between-groups estimation
Panel data: Between-groups estimation
Panel data: Common factor
Panel data: Dynamic estimators
Panel data: Dynamic estimators
Panel data: GLS estimation
Panel data: GLS estimation
Panel data: GMM estimation: 1-step
Panel data: GMM estimation: 1-step
Panel data: GMM estimation: 1-step
Panel data: GMM estimation: 2-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: Static estimators
Panel data: Static estimators
Panel data: Test for overidentifying restrictions
Panel data: Test of significance
Panel data: Test: AR
Panel data: Test: AR
Panel data: Test: AR
Panel data: Test: Sargan
Panel data: Test: Sargan
Panel data: Test: Sargan
Panel data: Test: Wald (dummy)
Panel data: Test: Wald (joint)
Panel data: Test: Wald (time)
Panel data: Transformations: Deviation from time means
Panel data: Transformations: First differences
Panel data: Transformations: First differences
Panel data: Transformations: GLS deviations
Panel data: Transformations: Orthogonal deviations
Panel data: Transformations: Orthogonal deviations
Panel data: Transformations
Panel data: Unbalanced
Panel data: Within-groups estimation
Panel data: Within-groups estimation
Panel data: Within-groups estimation
Panel data: Within-groups estimation
Panel data
Parameter constancy test
Parameter constancy test
Parameter constancy
Parameter constancy
Parameter constancy
Parameter constancy
Parameter constancy
Parameter instability
Parsimonious encompassing
Parsimonious encompassing
Partial autocorrelation function
Partial autocorrrelation function (PACF)
Partial autocorrrelation function (PACF)
Partial autocorrrelation function (PACF)
Partial correlations
Parzen window
PcGive menus: Model menu: Cross-section regression
PcGive menus: Model menu: Model Settings
PcGive menus: Model menu: Model Settings
PcGive menus: Model menu: Non-linear modelling
PcGive unit-root test
PcNaive DGP: Break
PcNaive DGP: Equilibrium correction
PcNaive DGP
Periodogram
Pochhammer's symbol
Poisson regression
Portmanteau statistic
Portmanteau statistic
Principal components analysis
Probability
Probability
Probability
Probit: Binary model
Probit: Derivatives of probabilities
Probit: Grouped model
Probit
Progress
Progress
Progress
q
QQ plot
QR decomposition
QR decomposition
Quasi Newton
r
R2
R2
R2
R2
R2
R2
R2 Relative to difference and seasonals
RALS estimation
RALS: Autoregressive least squares
RALS
Random walk: with drift
Random walk
Rank conditions
Recursive betas
Recursive eigenvalues
Recursive estimation
Recursive estimation
Recursive graphics
Recursive graphics
Recursive graphics
Recursive graphics
Recursive graphics
Reduced Form DGP
Reduced form estimates
Reduced form: Restricted
Reduced form
Reduction sequence
Reduction
Reduction
Regime-switching models
Regression coefficients
Regression equation
Regression: Standard error
Regression: Standard error
RESET23
RESET
Residual autocorrelation
Residual autocorrelation
Residual autocorrelations
Residual autocorrelations
Residual autocorrelations
Residual autocorrelations
Residual density
Residual density
Residual density
Residual distribution
Residual distribution
Residual partial autocorrelations (PACF)
Residual partial autocorrelations (PACF)
Residual partial autocorrelations (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
Residual: Store in database
Residual: Store in database
Residual: Store in database
Residual: Store in database
Residual: Store in database
Residual: Store in database
Restricted reduced form
Restricted reduced form
Restricted reduced form
Restricted reduced form
Restricted reduced form
Restricted reduced form
Restrictions
Restrictions
RIVE
RIVE
RLS
RLS
RLS
RLS
RML
RML
RNLS
RNLS
RNLS
RNLS
Robust standard errors
Root Mean Squared Error (RMSE)
RSS
RSS
s
Sample period
Sample period
Sample selection by a variable
Sample size
Sample size
Schwarz criterion
Schwarz criterion
Schwarz criterion
Seasonal means
Sequential reduction
Sequential reduction
sigma
Significance
Significance
Simultaneous equations model (SEM)
Single equation diagnostics
Single equation tests
Single equation
Single equation
Singular
Skewness
Skewness
Skewness
Skewness
Small-sample correction
Spectral density: Bias
Spectral density
Spectrum
Spectrum
Squared partial correlation
Standard deviation: Using T versus T-1
Standard deviation
Standard deviation
Standard error: Equation
Standard error: Equation
Standard error: Equation
Standardized innovations
Starting values
Starting values
Starting values
Static DGP
Static long run
Static long run
Static long run
Static regression
Static: Standard errors of long run
Statistical system
Statistical system
Statistical system
Step length
Step length
Stochastic
Stochastic
Stochastic
Strong exogeneity
Strong exogeneity
Strong exogeneity
Structural change
Structural coefficients
Super exogeneity
Switch covariance
System estimation
System formulation
System formulation
System modelling
System modelling
System output
System tests
t
t-distribution
t-distribution
t-distribution
t-probability
t-value
t-value
t-value
Test restrictions
Test: ADF
Test: Against unrestricted regressors
Test: ARCH
Test: ARCH
Test: Augmented Dickey-Fuller
Test: Augmented Dickey-Fuller
Test: Autocorrelation
Test: Autocorrelation
Test: Autocorrelation
Test: Chow: 1-step
Test: Chow: 1-step
Test: Chow: Break-point
Test: Chow: Break-point
Test: Chow: Breakpoint
Test: Chow: Forecast
Test: Chow: Forecast
Test: Chow: Forecast
Test: Chow
Test: Chow
Test: Cointegration restrictions
Test: Cointegration
Test: Cointegration
Test: COMFAC
Test: Dickey-Fuller
Test: Durbin-Watson
Test: Durbin-Watson
Test: ECM
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: General restrictions
Test: Heteroscedasticity (squares and cross-products)
Test: Heteroscedasticity (squares)
Test: Heteroscedasticity
Test: Heteroscedasticity
Test: Instability
Test: Instability
Test: Linear restrictions
Test: Normality
Test: Normality
Test: Normality
Test: Normality
Test: Omitted variables
Test: On retained regressors
Test: Over-identifying restrictions
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 Chow
Test: Vector error autocorrelation
Test: Vector error autocorrelation
Test: Vector heteroscedasticity
Test: Vector heteroscedasticity
Test: Vector normality
Test: Vector Portmanteau statistic
Test: Vector
Test: Vector
Test: Zero forecast
Thick tails
Tobit
Toeplitz matrix
Trend
Trend
Trend
TSS
TSS
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 reduced form
Unrestricted variables
Unrestricted variables
Unrestricted variables
Unrestricted variables
Unrestricted variables
Unrestricted variables
Unrestricted variables
Utility model
v
Variable names in batch
Variable names in batch
Variable names in batch
Variable names in batch
Variable names in batch
Variable names in batch
Variable: Endogenous
Variable: Instrumental
Variable: Instrumental
Variable: Instrumental
Variance matrix
Variance matrix
Variance matrix
Vector autoregression (VAR): Cointegrated
Vector autoregression (VAR)
Vector autoregression (VAR)
Vector autoregression (VAR)
Vector autoregression (VAR)
Vector autoregressive-moving average error
wxyz
Wald test
Wald test
Weak exogeneity
Yule-Walker equations
Zero Forecast innovation mean

 ©  JA Doornik  &  DF Hendry