Kim, I., 587 Kinal, ., 466, 499 King, M.L.. 247 Klein, L.R., 273 Klepper, S.,453/j,458 Kmenta, J., 388 Kochin, L.A., 185n, 227 Koopmans, T.C., 3 Kowalski, C.J., 105n Koyck, L.M., 409 Krasker, W.S., 467, 498 Kuh, E., 216, 274, 293,487,1 KuUback, S., 174/j Kwiatowski, D., 585n

Lahiri, K., 218, 466, 499 • Leamer, E.E., 22 , 32n, 142, 168, 275/j,

292, 386, 390, 458, 491, 506 Lee, ., 597 . *

Leroy, S., 394n Leuthold, R.M., 544 Levi, M.D., 453,1, 456,i Lieu, . ., 239 Lindley, D.V., 32,i, 502,i Litterman, R.B., 581,? Liu, P.C., 599/j Liu, . ., 377, 389 Ljung, G.M., 541 Lovell, M.C., 310,408, 433 Lu, J.Y., 239 Lucas, R.E., 389, 431/j

MacKinnon, J.G., 199/j, 223/j, 513, 515 Maddala, G.S., 55, 56, 92, 175/j, 221, ,

248, , 293, 312, 322, , 329, , 386,

466,!, 491,!, 497,!, 599,1 Malinvaud, R., 285, 450 Mallows, C.L., 498 Mardia, K.V., 105 Mason, W.M.,462 Mayer, W., 379 McAleer, M., 222, 515,i, 516 McCallum, B.T., 444,!, 465 McCormick, A.M.A., 544,i McFadden, D., 334 McGilvray, R.G., 324,i McManus, W., 335 Meiselman, D., 234, 514 Merrill, W.C., 361 Meyer, J.R., 216, 293

Meyer, P.A., 325 Miller, R., 169,1 Miller, R.B., 586 Mishkin, F.S., 436,i Mizon, G.E., 255, 491,517 Mullineaux, F.J., 435 Muth, J., 431

Nelson, C.R., 259, 261,563,1

Nerlove, M., 249,i, 324,i, 409, 420,!, 581,i

Newbold, P., 236

Neyman, J., 29,i

Nicholls, D.F.,320

Numrich, R., 218

Ogaki, M., 585,1 Ohta, M., 310« Orcutt, G.H., 239 Ormerod, RN., 185,i Osborne, D.R., 537

Pagan, A.R., 122, 207-210, 320, 477,i

Pakes, A., 464

Park, J.Y., 585,1

Parks, R.W., 227,1

Pearson, E.S., 29,i

Perron, P., 583, 587

Pesando, J.E., 435

Pesaran, M.H., 515,i

Phillips, G.D.A., 245, 483

Phillips, RC.B., 583, 585, 597,

Pierce, D.A., 540

Pifer, H.W., 325

Plosser, C.I., 259, 261, 513, 563,i

Popper, K.F., 2

Poskitt, D.S., 427, 542

Prais, S.J., 213

Pratt, J.W., 328,1, 390,1, 467

Press, S.J., 324,1

Price, ., 285-287

Prothero, D.L., 540, 548

Quan, N.T, 482,1 Quandt, R.E., 206-208 Quenouille, M.H., 542

Raduchel, W., 274 Ramsey, J.B., 204, 254, 478 Rao, A.S., 248,1

Rao, C.R., 41, 121, 174,i, 212,j, 228

INDEX

Rao, R, 167/j, 169/j, 243 Rao, v., 347 Rapping, L.A., 431n Rappoport, P., 587 Rea, J.D., 176n Revankar, N.S., 395 , 439 Reynolds, J.E., 140 Richaiti, J.F., 390, 394, 517 Richlin, L., 587 Riersol, 0.,462 Ringstaad, V., 452, Roberts, H.V., 460 Rosen, K.T., 141 Rosenblatt, H.M., 174 Rosenzweig, M.R., 186 Rowley, J.C.R.,420n Rubin, H., 381 Rudebusch, G.D., 587n Rush, M., Rutemiller, H.C., 214

Said, S.E., 583

Salkever, D.S., 319

Sargan, J.D., 3n, 255, 263, 494n, 495n

Savage, L.J., 3

Savin, N.E.,247, 583

Sawyer, K.R., 370/ , 491

Schlaifer, R., 390n

Schmidt, R, 177, , 425/ , 439/j, 497, 506,

585/j Schmitz, A., 544 Schultz, H., 450/j Schwert, G.W., 261, 513, 584 Shonkwiler, J.S., 140n, 440 Sickles, R., 177n Simpson, A.R,, 103/j Sims, C, 394, 578 Slutsky, E.E., 533 Smith, G.,277/j,283 Smith, Gregor, 591 Smith, .,4%, Sprott, D.A., 32n Stigler, G., 2, 68 Stigler, S.M., 68

Terrell, R.D., 231

Theil, H., 4n, 275, 381, 483, 497

Thomas, J.J., 425

Thompson, M.L., 498n Thorndike, F.L., 106 Thornton, D.L., 594/j Thursby, J.G.,255/j Tobin, J., 293, 339 Toyoda, ., 177/j Tremayne, A.R., 542 Trivedi, RK., 253, 420n Trost, R.P., 329/j Tsiao, G.C, 578/j

Uhler, R., 334

Van Nostrand, R,C., 281n

Veall, M.R., 257n

Vogel, R.C., 312

von Neumann, J., 245

von Ungern-Sternberg, ., 42In

Wald, A., 463

Wallis, K.F., 247, 249n, 439n, 548

Ward, M.R, 390n

Warner, S.L., 35

Watson, G.S., 231

Watts, D.G„ 529, 544

Waud, R.N.,425n

Waugh, F.V., 151n, 315n

Webb, G.I., 246

Weisberg, S., 479n

Welch, F., 466n

Welsch, R., 274, 487n, 488n

White, H., 204, 212, 223n, 254, 513

White, K.J., 247

Whiteman, C.H., 585n

Wickens, M.R., 223n, 263, 437n, 465

Wilson, A,L., 176n

Wise, D.A., 343

Working, E.J„ 385

Worswick, G.D.N., 185n

Wu, D.M., 395n

Yoo, S., 589, 596n Young, J.P., 417n, 419n

Zellner, A., 22n, 388, 447n Zilberfarb, B.Z., 321

Subject Index

Adaptive expectations model, 409-412

Adjusted R(R). 166-168

Akaikes information criterion (AIC),

500-501 Almon lag, 424-427 Alternative functional forms, 96-98 Amemiyas PC criterion, 498 Analysis of variance, 84, 156-157 Anscombes test for heteroskedasticity,

ARCH model, 264-265, 478

ARIMA models, 538-541

Asymptotic unbiasedness, 25

Asymptotic variance, 26

Autocorrelation Berenblut-Webb test, 246 caused by omitted variables, 253 Cochrane-Orcutt procedure, 239 with dummy variables, 321-322 Durbin-Watson test, 230 Durbins alternative test, 249 Durbins -test, 249 effect on OLS estimators, 241-244 estimation in levels vs. first

differences, 232-233 estimation with AR(1) errors, 237 extensions of DW tables, 247 grid search methods, 239 LM test, 250

in rational expectations models, 443-444

Sargans test, 255 von Neumann ratio, 245 Autocorrelation function, 528 Autoregressive form of adaptive

expectations model, 411 Autoregressive processes, 533-535

Bayes theorem, 15, 503 Bayesian inference, 21-22 Bayesian posterior odds, 503-505 Berenblut-Webb test, 246 Bivariate normal distribution, 104-105 BLUE property of least squares

estimators, 114-115 BM test, 222

Bounded influence estimation, 488 Box-Cox test, 221 Box-Jenkins methods, 542-549 Breusch and Pagan test, 207-209

Cagans model, estimation, 413-415 Causality, 393-394 Causation in regression, 75-76 Censored regression model, 339-342 Chi-square distribution, 20 Cointegrating regression, 590-591 Cointegration, 262, 588, 589 Cointegration and error correction models, 597