Subject Index

Dichotomous dependent variable, 322 Dichotomous response model, 581 Dickey-Fuller test, 815-817

augmented, 817-818 Dickey-Fuller unit root test, 843 Dickey-Pantula test, 819 Difference equation, 478 Difference-stationary processes, 818 Difference stationary stochastic processes, 802-804 Differential intercept, 308-309 Differential intercept coefficient, 302 Differential intercept dummies, 652 Differential slope coefficient,

308-309 Diminishing returns, law of, 227 Direct optimization, 569 Direct-order coefficient of autocorrelation, 450 Discerning approach, 530 Discretionary income, 389 Discrimination approach, 530-531 Disequilibrium situations, 323 Dissimilar regression, 307 Distributed lag, 562 Distributed lag model, 377, 532, 534-535 Almon approach, 687-696 estimation, 663-664 examples, 657-662 illustrative examples, 684-687 inverted V, 708 Koyck approach, 665-675 triangular, 705-706 Distributed lag multiplier, 658 Distribution chi-square, 112 exponential, 118 log-normal, 192 normal, 109-110 standard normal, 111 t, 122 Disturbances homoscedastic, 387-388 no autocorrelation between, 70-71

probability distribution, 108 stochastic, 44-47 variances of, 387-391 zero mean value of, 67-68 Disturbance term, 5

normality of, 335, 338-339 Double-log model; see Log-linear regression model

Downward trend, 180-181 Drift parameter, 800 Dummy regressor, 333 Dummy variables additive forms, 309 alternative to Chow test, 306-310 and analysis of variance models,

298-301 and autocorrelation, 322,

487-488 caution in use of, 301-303 as dependent variables, 322 and heteroscedasticity, 321 interaction effects using,

310-312 interactive form, 309 interpretation in semilogarithmic references, 320-321 nature of, 297-298 panel data models, 320 piece-wise linear regression,

317-319 for seasonal analysis, 312-317 topics for study, 322-323 Dummy-variable trap, 302, 303,

313, 342n, 652 Duration models, 624 Durbin's h statistic, 503 Durbin's h test, 679-681 Durbin's M test, 474 Durbin's two-step method, 494 Durbin two-step procedure, 482 Durbin-Watson cointegration regression test, 824 Durbin-Watson d statistic, 461, 481, 680 and ARCH effect, 861 assumptions, 467-468 Durbin-Watson d test, 467-472 decision rules, 470 mechanics of, 470 for specification errors, 518-521 Durbin-Watson h test, 471 Durbin-Watson tables, 480-481 Durbin-Watson test for nonlinearity, 500 Dynamic forecasting, 486 Dynamic models, 656 Dynamic regression models, 448 Dynamics of change, 638

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