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Applied Econometric Times Series, 3rd Edition by Walter Enders

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INDEX

accelerator principle, 45

adaptive expectations model, 143

Akaike Information Criterion (AIC), 11920, 159, 191, 323, 344, 345

delay parameter and, 445

formula, 71

GAR models, 433, 434

in lag length determination, 217, 286

LSTAR model, 469

modified (MAIC), 221

multivariate, 317

reporting, 72

threshold model, 454

Amsler, C., 234

Anderson, L., 296

Andrews, D., 106, 234

AR(1) model

ACF of the residuals, 75

forecasts, 81

process estimation, 443

sample autocorrelation function, 7275

stationarity restrictions for, 5557

AR(2) model

autocorrelation function (ACF), 6264

estimation of, 7678, 443

Q-statistics, 92

AR(7) model

forecasting performance, 96

F-statistic, 96

Aradhyula, S., 141, 142

ARCH errors, 435, 436

Lagrange multiplier (LM) test for, 436

structure, 129

testing for, 13334, 138

ARCH model, 121

autoregressive conditional heteroskedastic, 127

conditional variance, 13839

conditional/unconditional expectations, 128

essential features, 128

estimates of inflation, 13236

extensions, 171

processes, 12532

simulated processes, 129

tranquility, 128

volatility, 128

ARCH-M model, 14346

defined, 143

effects, reducing, 145

equations, 144

excess return, 143

implementation, 14546

maximum-likelihood estimates, 146

simulated processes, 144

ARIMA model, 25053

best-fitting, 277

decomposition, 253, 254

ARMA model

autocorrelation function, 65

coefficients, 80

correlogram, 65

defined, ...

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