Bnq

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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