exponential smoothing, 836 individual prediction, 142, 144-145 variance of, 163 in-sample, 536 mean prediction, 142-144
variance of, 162-163 modeling time series data,
838-840 out-of-sample, 536 simultaneous-equation models,
836-837 single-equation models, 836 statistic, 486
with time series volatility,
856-862 VAR models, 837-838, 848-856 Forecast variable, 8-9 Frisch-Waugh theorem, 317 F statistic, 256 F test, 254-259, 818
adding new variable, 264 and coefficient of determination,
258-259 decision rule, 257 encompassing, 531 formula, 543 general, 271-273 non-nested, 531 restricted, 643
restricted least squares, 267-273 using matrix notation, 940 Full information maximum likelihood method, 763 Full information methods, 762-764 Functional dependence, 22 Functional form, 164, 175-191 incorrect, 517-524 wrong, 508
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