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210 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
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