422

Balestra–Nerlove estimator, 350
Bartlett weights, 110
baseline hazard function, 246
best linear approximation, 9, 63
best linear unbiased estimator, 18
between estimator, 349
BIC, 58, 285
binary choice model, 190
estimation, 193
generalized residual, 193
goodness-of-fit, 194
hit rate, 196
linear probability model, 190
logit model, 190
maximum score estimator, 202
probit model, 190
semi-parametric estimation, 202
single index model, 201
specification tests, 199
with panel data, 373
binomial distribution, 169
BLUE, 18, 82
Box–Cox transformation, 61
Breusch–Godfrey test, 101
Breusch–Pagan test, 91, 180
in panel data models, 358
cancelling roots, 265
Capital Asset Pricing Model (CAPM), 38
causal effect, 76, 137, 240, 360
causal interpretation, 132
censored regression model, see tobit model
censoring, 219, 247
ceteris paribus condition, 15, 29, 52, 132
characteristic equation, 264
characteristic roots, 264
Chebycheff inequality, 32
Chi-squared distribution, 405
Chow test, 64
CM test, 184
Cochrane–Orcutt estimator, 100
Cochrane–Orcutt transformation, 100
coefficient of relative risk aversion, 150
cointegrating matrix, 325
cointegrating parameter, 315
cointegrating rank, 325
Cointegrating Regression Durbin–Watson
test, 316
cointegrating space, 324
cointegrating vector, 315
cointegration, 314
cointegrating matrix, 325
cointegrating rank, 325
cointegrating regression, 315
cointegrating space, 324
cointegrating vector, 315

INDEX

CRDW test, 316
dynamic OLS, 317
error-correction representation, 318
fully modified OLS, 317
Granger representation theorem, 318, 325
in a VAR, 325
in panel data, 372
Johansen procedure, 329
long-run matrix, 326
long-run-equilibrium, 315
maximum eigenvalue test, 330
multivariate case, 324
structural cointegrating relationships, 331
super consistency, 314
testing for cointegration, 316, 328
testing in a VAR, 328
trace test, 330
common roots, 265
common trend, 314
conditional density function, 402
conditional expectation, 15, 402
of a normal distribution, 404
conditional heteroskedasticity, 123, 298
conditional maximum likelihood
ARMA models, 280
panel data models, 374
conditional mean independence, 122, 402
conditional moment test, 184
conditional normal distribution, 404
conditional variance
of a normal distribution, 404
confidence interval, 25
consistency, 33
rate of convergence, 35, 202, 314
consumption-based asset pricing model, 154
contingent valuation, 205
control variable, 52
convergence in distribution, 35
convergence in probability, 33
correlation coefficient, 401
correlogram, see autocorrelation function
count data model, 211
goodness-of-fit, 216
likelihood function, 212
NegBin I model, 213
NegBin II model, 213
overdispersion, 213
Poisson regression model, 211
covariance, 400
covariance matrix, 401
covered interest rate parity, 112
Cramer–Rao lower bound, 168
CRDW test, 316
critical value, 24
cumulative density function (cdf), 398
curse of dimensionality, 376

20 error-correction model. 185.INDEX data mining. 311 equity premium puzzle. 274 functional form. 82. 366 weak exogeneity. 346 as IV estimator. 129 predeterminedness. 62 interaction terms. 398 F distribution. 311. 201. random effects. 245 Durbin–Watson test. 382 fixed effects logit model.. 357 Durbin–Wu–Hausman test. 56 degrees of freedom correction. 342. 269 difference stationarity. 222.i. 19. 86 elasticity. 315 steady state equilibrium. 18 demand function. 114 forward rate. 366 strict exogeneity. 110 efficient market hypothesis. 86 Fisher relation. 311 stability. 347 in dynamic model. 246 right-censoring. 32 linear estimator. 14 deterministic trend. 345 fixed effects vs. 318 steady state growth path. 351 flow sampling. 19. 244 duration dependence. 190 Dickey–Fuller test. 164 normally distributed. 318 obtained from VAR. 205 drift. 310 distribution conditional distribution. 247 forward discount. 244 exogeneity. 311 with stationary variables.. 42 dummy variable trap. 60 encompassing F -test. 132 Engel curve. 406 F -test. 85 encompassing F -test. 400 feasible generalized least squares (FGLS). 73 duration dependence. 56 data snooping. 27. 18 consistent. 102 in cointegrating regression. 398 leptokurtic. 398 discrete distribution. see random effects model error term. 230. 222 encompassing. 135. 318 cointegrated variables. 241 dummy variable. 316 speed of adjustment.i. see Dickey–Fuller test dichotomous models. 252 equidispersion. 398 degenerate distribution. 400 symmetric distribution. 318 423 equilibrium multiplier. 226. 60 endogenous regressors. 122 n. 400 median. 144 exact multicollinearity. 316 in spurious regression. 311 estimate. 63 testing. 42. 82. 212 equilibrium.d. 247 proportional hazard models. 247 stock sampling.d. 294 expected value. 314 in panel data models. 17 exact identification. 399 skewness. see deterministic trend dummy endogenous variable. 269. 73 excess kurtosis. 326 DF test. 311. 318. 319 expectations hypothesis. 53. 248 flow sampling. 112 fractional integration. 398 mode. 233. 333 fixed effects estimator. 239. 346. 247 hazard function. 113. 14 i. 247 survivor function. 247 estimation. 122 EGLS. 247 duration models. 63 . 18 unbiased. 400 exclusion restriction. 201. 245 left-censoring. 64 RESET test. 185. 375 fixed effects model. 399 disturbance term. 63 structural break. 60 fat tails. 135 dynamic forecast. 222 deterministic regressors. 15 estimator. 361 with unbalanced data. 156 error components model. 12. 354 covariance matrix. see error term double-bounded procedure. 270 distributed lag model. 52. 15 best linear unbiased. 15. 60 non-nested F -test. 402 continuous distribution.

145 GLS estimator. 245 baseline hazard. 23 one-sided test. 374 incomplete panel data. 111. 135 fixed effects versus random effects. 125 in panel data models. 24 p-value. 356 heteroskedasticity-consistent standard errors. 123 Breusch–Pagan test. see multinomial logit model inferior good. 123 GARCH models. 99 with heteroskedasticity. 196 homoskedasticity. 151 generalized residual. 89 INDEX testing for. 145 generalized least squares. 131 exact identification. 151 optimal weighting matrix. 133 asymptotic distribution. 380 inconclusive region.i. 31 power. 24 critical values. 354 hazard function. 84 in random effects model. 180 conditional heteroskedasticity. 288 initial conditions problem. 37 alternative hypothesis. 91. 23 actual size. 57 generalized instrumental variables estimator (GIVE). 299 Goldfeld–Quandt test. 384 endogeneity test. 84 White test. 193. 24 size. 137 hypothesis testing. 400. 31 type I error. 324 incidental parameter problem. 384 Hausman–Taylor estimator. 58 in panel data models. 200. 151 Goldfeld-Quandt test. 175. 151 overidentifying restrictions test. 90 weighted least squares. 148 asymptotic distribution. 82 generalized method of moments. 65 heteroskedasticity. 202 in panel data models. 122 impact multiplier. 194 in count data models. 31 type II error. 16 human capital earnings function. 18 general-to-specific modelling. see autoregressive conditional heteroskedasticity Gauss–Markov assumptions. 325 Hausman test. 156 one-step GMM estimator. 216 in linear models. 351 sample selection bias in panel data. 222 information matrix. 92 heteroskedasticity-and-autocorrelationconsistent standard errors. 243 hedonic price. 352 likelihood ratio index. 318. 380 instrument.424 GARCH. 216 Granger representation theorem. 144 overidentifying restrictions test. 229. 351. 41 ignorable selection rule. see instrumental variable instrumental variable. 311 impulse-response function. 152 two-step GMM estimator. 237 IID. 31 i. 348 GMM estimator..d. 103 independence. 16 Gauss–Markov theorem. 151 iterated GMM estimator. 152 sample selection problem. 403 independence of irrelevant alternatives. 151 conditional moment condition. 82. 226 LM test in linear model. 82 with autocorrelation. 91. 135. 144 identity. 129 idiosyncratic risk. 88 hit rate. 247 Heckman’s lambda. 20 in binary choice models. 133 instrumental variables estimator. 91 in binary choice models. 204 overidentification. 247 Weibull hazard. 180 multiplicative heteroskedasticity. 134 . 70. 91 goodness-of-fit. 167 block diagonality. 149 GMM estimator. 156 optimal GMM estimator. 209 independent logit model. 243 GIV estimator. 144 normalization constraints. 24 null hypothesis. 147. 238 underidentification. 122 identification. 20 in model selection. 184 information set. 246 log-logistic hazard. 31 significance level. 195. 225. 179 information matrix test. 355 in tobit models.

322 lagged dependent variable. 57 luxury good. 179 heteroskedasticity in tobit model. 135 in dynamic panel data model. 61 Jarque–Bera test. 201 omitted variables in binary choice model. 162 likelihood ratio index. 34 least squares dummy variable (LSDV) estimator. 315 long-run multiplier. 194 hit rate. 345 left-censoring. 155 iterated EGLS.INDEX dummy endogenous variables. 192 latent variable. 64. 163. 173 autocorrelation. 262 lag polynomial. 145 weak instruments. 126 Lagrange multiplier test. 184 likelihood contributions. 185. 162 likelihood ratio test. 193 goodness-of-fit. 329 conditional moment test. 14 LM test. 53. 54. 189 in panel data. 173 M test. 400 limited dependent variables. 271 kurtosis. 400 marginal propensity to consume. 225 normality in probit model. 202 loglikelihood function. 190 fixed effects logit model. 71 log-logistic hazard. 373 linear probability model. 82 iterated GMM. 101. 372 marginal distribution. 200 nested logit model. 203. 129 market portfolio. 41 matrix lag polynomial. 247 lognormal distribution. 91 heteroskedasticity in binary choice models. 178 outer product gradient (OPG) version. 144 integration. 261 Maddala–Wu test. 257 MA(q) process. see likelihood ratio test LSE methodology. 183 GARCH models. 129 KPSS test. 200 heteroskedasticity in linear model. 375 generalized residual. 218 law of large numbers. 184 consistency. 191. 203 with heteroskedasticity. 322 maximum likelihood. 52. 193 cointegrating VAR. 133 425 Keynesian consumption function. 167 information matrix test. 244 generalized instrumental variables estimator. 176 latent model. 193 LM test. 162 loglinear model. 167 first order condition. 262 characteristic roots. 196 likelihood function. 222 lag operator. 362 in static panel data model. 210 ordered logit model. 156 IV estimator. 267 interaction term. 407 long-run equilibrium. 211 duration models. 263 matrix lag polynomial. 301 Hessian matrix. 190 linear regression model. 167 constrained ML estimator. 166 likelihood function. 147 weighting matrix. 208 logistic distribution. 353 two-stage least squares. 38 market risk. 168 binary choice models. 280 asymptotic distribution. 172 count data models. 172 J -test. 247 efficiency. 311 LR test. 216 likelihood ratio test. 38. 195. 181 heteroskedasticity. 61. 167 BHHH estimator. 122. 145 Hausman test for endogeneity. 244 intertemporal marginal rate of substitution. 192. 200 omitted variables in linear model. 162 ARIMA models. 142. 400 likelihood function. see Lagrange multiplier test log Weibull distribution. 264 invertibility. 168 information matrix. 247 logit model. 399 . 247 leptokurtic. 226 in tobit model. 184 MA process. 185 Jensen’s inequality.

222 NegBin I model. 185 in linear model. 62 nonresponse. 62. 163 outer product of the gradients. 144 overidentifying restrictions test. 226 Jarque–Bera test. 374 panel data tobit models. 185 in ordered probit model. 138 median. 9. 176 panel data binary choice models. 344 omitted variables. 178 in panel data. 283 partial autocorrelation function. 108. 55. 28 model selection. 24 optimal predictor. 55 Newey–West standard errors. 136. 285 partial adjustment model. 213 nested logit model. 211 Poisson regression model. 152 overlapping samples. 356 news impact curve. 116. 284 patents. 202. 312 partial autocorrelation coefficient. 362 money demand equation. 201 in tobit model. 333 Monte Carlo study. 59 nonlinear least squares. 209 independence of irrelevant alternatives. 268 mean variance efficient. 226 one-sided test. 203 ordered probit model. 73 exact multicollinearity. 9 normality test. 36. 42. 288 ordered logit model. see purchasing power parity Prais–Winsten estimator. 125 p-value. 8 estimator. 55 overdispersion. 220 maximum score estimator. 213 NegBin II model. 273 plim. 395 normal equations. 399 model test. 36 omitted variable bias. 38 measurement error. 200 in tobit model. 381 misspecification. 14 power. 16. 344 in probit model. 162 maximum likelihood estimator. 15 asymptotic properties. 209 odds ratio. 210 multiplier. 203 ordinary least squares. 341 panel data cointegration tests. 207 in probit model. 210 nested models. 284 overidentification. 61 Peason family of distributions. 280 nonlinear model. 380 mean reversion. 398 missing at random. 58. 209 multinomial probit model. 32. 366 prediction.INDEX 426 maximum likelihood (continued ) loglikelihood function. 31 PPP. 183 quasi-maximum likelihood. see OLS orthogonality. 178 mode. 9 residual. 378 pseudo-maximum likelihood. 31 PACF. 36 moving average process. 9 OLS estimator. 33 Poisson distribution. 185 null hypothesis. see partial autocorrelation function panel data. 313 normal distribution. 147. 300 NID. 125. 15 matrix notation. 142. 201 Phillips–Perron test. 372 panel data unit root tests. 100 predetermined regressors. 55. 44 . 23 OLS. 257 multi-response models. 202 multicollinearity. 56. 209 probability ratio. 211 population. 127. 132. 369 parsimony. 19. 163 tobit models. 311 necessary good. 42 dummy variable trap. 285 moment conditions. 215 PE test. 62 in ARMA models. 213 overfitting. 73 multinomial logit model. 166 second order condition. 107. 183 score vector. 404 normal equations. 237 nonsense regression. 403 bivariate. 60 non-nested models. 128 non-nested F -test. 203 ordered response model. 19. 164 noise-to-signal ratio. 12. 122 small sample properties. 111.

237 sampling process. 76. 237 self-selection. 196 likelihood function. 35. 221. 355 right-censoring. see autocorrelation shadow prices of restrictions. 228 treatment effects. 22. 288 with GARCH models. 333 Said–Dickey test. 293 quasi-maximum likelihood. 228 random utility framework. 117. 137 robust inference. 331 pure expectations hypothesis. 124. see quasi-maximum likelihood purchasing power parity. 208 random variable. 380 binary choice model. 291 prediction error. 210 normality test. 244 semi-parametric estimation fixed effects tobit model. 166 selection bias. 284 residual sum of squares. 247 risk premium. 228 Heckman’s lambda. 111. 229 RESET test. 240 sampling frame. 202 projection matrix. 377 random sample. 203 random effects ordered probit model. 45 pricing error. 193 LM tests. 174 significance level. 10 returns to schooling. 45. 13. 239 tests in panel data. 397 427 random walk. 393 proportional hazards model. 353 likelihood ratio index. 237 single index. 382 random effects model. see sample selection problem selection rule. 246 pseudo-maximum likelihood. 10 . 378 random effects probit model. 112. 239 two-step estimation. 381. 202 panel data binary choice model. 195 uncentred R squared. 201 ordered probit model. 195 overall R squared. 350 with unbalanced data. 14 sample selection model. 231 sample selection problem. 9. 247 Sargan test. 285 score test. 148 reference group. 237. 183 in count data models. 18 residual analysis. 212 in GARCH models. 195. 273 sample. 398 joint density function. 197 reservation wage. 238 in panel data. 63 residual. 384 duration models. 378 random effects probit model. 58 between R squared. 73 regression line. 33 probability mass function. 14. 230 semi-parametric estimation. 24 significant. 191 generalized residual. 400 probability limit. 376 random effects tobit model. 14. 14. 383 sampling frame. 193 goodness-of-fit. 353 pseudo R squared. 216 McFadden R squared. 276. 353 random effects estimator. 302 with VAR models. 384 tobit II model. 202. 21 adjusted R squared. 45 predictor. 302 R squared. 215 real exchange rate. 291 prediction interval. 270 rate of convergence. 154. 10 replacement rate. 397 probit model. 21 within R squared. 38. 58. 342. 237 selection rule. 194 hit rate. 25 simple linear regression.INDEX with ARMA models. 323 prediction accuracy. 350 covariance matrix. 314 R&D expenditures. 266 random walk with drift. 152 Schwarz Information Criterion. 347 random effects ordered probit model. 228. 200 multinomial probit model. 237. 319. 239 serial correlation. 237 self-selection. 247 identification problem. 380 sample selection model. 156 probability density function (pdf). 278 reduced form. 229 likelihood function. 147. see Lagrange multiplier test score vector. 376 with heteroskedasticity. 88. 45 unbiased. 135. 130.

227 fixed effects tobit model. 322 determining lag length. 144 unemployment benefits. 239 single index model. 293 test. 348 treatment effect. 225 standard tobit model (type I). 229. 256 stock sampling. 129 structural model. 242 symmetric distribution. 26. 378 unordered models. 129 complete simultaneous equations model. 21 uncorrelatedness. 374 super consistency. 267 weak stationarity. 373 standard deviation. 326 vector error-correction model (VECM). 23 t-test. 156 spurious regression. 24 tobit model. 344. 401 uncovered interest rate parity. 378 total expenditure elasticity. 221. 225 heteroskedasticity. 129 single index. 207. 270 strict stationarity. 270 truncated normal distribution. 88. 313 in panel data. 221 unobserved heterogeneity. 56 type I extreme value distribution. 400 small firm effect. 369 seasonal unit root. 272 unobserved heterogeneity. 220 normality test. 314 survivor function. 201 size. 227 random effects tobit model. 14 stochastic discount factor. 201. see hypothesis testing test statistic. 247 structural break. 19 state dependence. 84 t-value. 273 test for unit root in AR(1) model. 38 t distribution. 17 uncentred R squared. 258 difference stationarity. 74. 24 TT. 63 structural form. 155 stochastic process. 222 transformation matrix. 36. 274 stochastic unit root.428 simplicity. 273 test for unit root in higher order AR process. 324 stationarity. 269 test for unit root in general ARIMA model. 381 unbiased. 129 Student distribution. 324 estimation. 258 statistical model. 226. 241 trend stationarity. 297 . 223 extensions. 197 unit root. 324 volatility clustering. 399 systematic risk. 201. 130 structural form. see vector autoregressive model variance. 378 stationarity. 226 INDEX likelihood function. 185. 219. 233 truncated regression model. 31. 31 unbalanced panel data. 258. 208 VAR model. 135 identification. 266 covariance stationarity. 225 specification tests. 323 forecasting. 31 skewness. 406 t-ratio. 381 sufficient statistic. 323 impulse-response function. 258 trend stationarity. 23 take-up rate. 81. 326 vector moving average model (VMA). 241 type I error. 112 underidentification. 218. 264 in panel data. 380 generalized residual. 377 second order generalized residual. 23. 218. 399 VARMA model. 405 truncated regression model. 219 corner solution. 270 unit roots. 207. 221 truncation. 131 reduced form. 197 term structure of interest rates. see t distribution subsample. see sample selection model tobit III model. 400 standard error. 219 tobit II model. 376 simultaneity. 322 vector autoregressive model (VAR). 129 simultaneous equations model. 405 two-sided test. 58 simulation. 245 switching regression model. 208 type II error.

349 optimal weighting matrix (GMM). 172 weak exogeneity. 205 within estimator. 319 weak instruments. 247 weighted least squares.INDEX Wald test. 346 within transformation. 84 weighting matrix. 88 willingness to pay. 144 429 white noise process. 147 weak stationarity. 346 yield curve. 85. 256 White standard errors. 144. 293 Yule–Walker equations. 151 optimal weighting matrix (IV). 283 . 258 Weibull hazard. 89. 30.