Subject Index

Least squares; see also Generalized least squares; Indirect least squares; Ordinary least squares; Restricted least squares; Two-stage least squares nonlinear, 566 Least-squares criterion, 60 Least-squares dummy variable model, 642-643 Least-squares estimators, 62 best unbiased estimators, 112 consistency of, 105-106 derivation of, 100, 198-200 linearity and unbiasedness, 100-102 minimum-variance property,

104-105 probability distributions, 108 properties under normality assumption, 110-112 statistical properties, 105 variance and standard errors, 101-102

Least squares method, 8n, 12; see also Ordinary least squares Length of a run, 465 Level form, 448

Level of significance, 120, 516-517, 897, 908 exact, 137-138

in hypothesis testing, 136-138 Leverage points, 540-542 Life-cycle permanent income hypothesis, 11 Likelihood function, 114-115,

634, 898 Likelihood ratio statistic, 606 Likelihood ratio test, 271n, 280,

294-296 Limited dependent variable model, 616 Limited information methods,

762-764 Linear, 42

Linear association/dependence, 87

Linear equality restrictions,

266-273 Linear estimator, 101 Linearity, 901 Linearity of least-squares estimators, 100-101 Linearly independent variables, 204 Linear population regression function, 41

Linear population regression model, 41 Linear probability model, 582-589 alternatives to, 593-595 applications, 589-593 goodness of fit, 586-587 heteroscedastic variances of distribution, 584-586 non-normality of disturbances, 584 Linear regression, 42 Linear regression model, 5, 562-565 classical, 15 classical normal, 15 estimation of, 565-566 versus long-linear model, 280-282 Linear trend model, 180-181 Lin-log model, 179, 181-183 Ljung-Box statistic, 813 LM model, 722-723 LM test, 473

Logarithmic reciprocal model,

189-190 Log hyperbola, 189-190 Logistic (probability) distribution function, 564, 595 Logit, 596

Logit model, 561, 595-597 estimation of, 597-600 grouped, 600-604 maximum likelihood estimation,

633-635 multinomial, 623-624 ordinal, 623

and probit model, 614-615 for ungrouped data, 604-607 Log-likelihood function, 634, 898 Log-linear regression model, 280-282 Log-lin models, 178-181 Log-log model; see Log-linear regression model Log-normal distribution, 192 Longitudinal data, 28 Longley data, 370-374 Long-run consumption function, 824 Long-run multiplier, 658 Lower confidence limit, 120 Lucas critique, 837

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