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Index absolute summability, 348 autoregressive process adaptive mixture of t distributions, 272 vector (VAR), 365 adaptive radial-based direction sampling, auxiliary variable Gibbs sampling, 260 262 agent-based simulation, 57 backfitting, 166 AIC, 296 band-limited process, 340, 373 AIC criterion, 407 bandpass filter, 360 Akaike information criterion, 296 bandwidth, 326 aliasing, 338–340 basic structural model, 363, 365 all-pass model, 383 Bayes factor, 226 annual cycle, 361 Bayes’ theorem, 218 ant colonies, 88, 90 Bayesian estimation, 370 aperiodicity, 249 Bayesian estimation of VAR model, 294 AR(1) process, 207 benchmark, 61, 62, 65, 75, 76 ARCH test, 301 BFGS algorithm, 70 ARIMA model bias correction, 208 seasonal, 357, 364 bidirectional filter, 344 ARIMA process, 361 bilinear model, 380, 385, 391 ARMA model, 341, 377 block bootstrap, 199, 200 weak, 385 block-of-blocks bootstrap, 199, 207 ARMA process, 339, 348 block–block bootstrap, 200 artificial neural network, 85 Bonferroni inequality, 200 asymptotic convergence results, 99 bootstrap bagging, 164 asymptotic refinement, 187 bootstrap data generating process, 184, asymptotically pivotal test statistic, 187, 193 191 COPYRIGHTEDbootstrap MATERIAL DGP, 184, 193 autocovariance generating function, 341, bootstrap EDF, 184 347 bootstrap P -value, 184 partial-fraction decomposition of, double, 191 362 equal tail, 186 autocovariance matrix fast double, 192, 193 circulant, 350 symmetric, 186 Handbook of Computational Econometrics edited by D. A. Belsley, E. J. Kontoghiorghes © 2009 John Wiley &
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