Absolute change, 176n Accelerationist Phillips curve, 187 Acceleration principle of investment, 662 Accelerator model, 734 Acceptance region, 907 Adaptive expectations model, 670-672 combined with partial adjustment model, 675-676 Additive stochastic error term,
191-192 Ad hoc estimation of lag model,
663-664 Adjoint matrix, 923 Adjusted coefficient of determination, 217-223, 537, 945 Advertising expenditures, 35 Advertising intensity function, 778-779
Aggregate consumption, 686-687 Akaike information criterion, 219, 474, 531, 537, 690, 695, 812 Akaike statistic, 546 Almon distributed lag models,
687-696 Alternative hypothesis, 126
forming, 135-136 Amemiya's prediction criteria, 219 Analogy principle, 94, 899 Analysis of variance, 140-142 approach to testing overall significance, 254-257 in matrix notation, 939-940 Analysis of variance models, 298-301, 304-306 with two qualitative variables, 304 Anderson-Darling test, 147-148 Annually collected data, 25-26 ANOVA table, 140, 141; see also Analysis of variance for incremental contribution of variables, 262 for regression, 261 in terms of coefficient of determination, 259 for three-variable regression, 255
Applied econometrics, 12 A priori information, 364 ARCH; see Autoregressive conditional heteroscedasticity ARIMA; see Autoregressive integrated moving average models
ARMA; see Autoregression and moving average process A2 statistic, 147-148 Asymmetry, 514 Asymptote, 183 Asymptotic efficiency, 905 Asymptotic normal distribution,
394, 466 Asymptotic normality, 905 Asymptotic properties, 81, 105 Asymptotic unbiasedness,
117n, 902 Augmented Dickey-Fuller test,
817-818 Augmented Engle-Granger test,
823-824 Autocorrelation, 441-490 ARCH model, 488 BLUE estimator in presence of,
453-454 coexisting with heteroscedasticity, 488 consequences of using OLS,
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