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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 & Sons, Ltd 488 INDEX bootstrap sample, 184 Atlas, 20 bootstrap test statistic, 184 Automatic Sequence Control bootstrap testing, 183 Calculator, Mark I, 1, 8 two-tailed test, 186 CDC 6400, 20 bootstrap-t, 172 CDC 6600, 20 Breusch–Godfrey test, 299 EDSAC, 1, 20 Breusch–Pagan test, 189 EDSAC 2, 20 Brookings Institution, 9, 24 EDVAC, 20 Bureau of the Census, 322, 331 ENIAC, 8 business cycle, 334 IBM 1130, 20 business software IBM 1620, 20 Excel, 7, 18, 23 IBM 3090, 20 Lotus 1–2-3, 3, 18 IBM 360, 20 VisiCalc, 3, 18 IBM 370, 20 Butterworth filter, 336, 343 IBM 650, 2, 9 IBM 7040, 20 CAC 40 stock index, 421 IBM 7090/94, 20 calculator formula, 56, 57 IBM Card Programmed Calculator, 2 canonical decomposition IBM PC, 21, 26 principle of, 362, 368 microcomputer, 3 causal filter, 353 PDP-10, 20 causality analysis, 305 RS/6000, 21 censored quantile regression, 86 Sun, 21 Census X-11 seasonal adjustment Tandy, 21, 26 method), 2 Titan, 20 Central Statistical Office, 322 UNIVAC, 2, 20 centrosymmetric matrix, 353 Victor 9000, 21 Chase Econometric Associates, 11, 16 conditional expectations, 351, 368 child, 90 conjugate prior, 223 Cholesky decomposition, 64 constructive methods, 87 Cholesky factorization, 353 continuous-time process, 340 Chow test, 301 contragrade method of filtering, 344 circulant autocovariance matrix, 350 convergence checks, 261 circulant matrix, 348, 359 convergence criterion, 60 clustered data, 197 convergence of heuristics, 99 cointegrated variables, 283 convergence of parameter estimates, 102 cointegrating rank, 287 convergence results, 97 cointegration convolution, 322 Johansen test, 297 circular, 324 computational econometrics, 5 linear, 324 computer programming languages Cramer–Wold´ factorization, 341, 344 Assembly, 4 critical value, 184 C, 4 crossover, 90, 91 Fortran, 4, 10 cumulation operator, 345 subroutine libraries, 10 curse of dimensionality, 166 computers cycle Apple, 21, 26 annual, 361 INDEX 489 seasonal, 361 user characteristics, 38 secular, 361 econometric methodologies general to specific, 12 data augmentation, 258 LSE, 12 Data Resources, Inc., 11, 16 econometric modeling languages, 25 data window, 327, 342 econometric programming languages, 27 DCDFLIB, 71 econometric software dead space, 334 AREMOS, 16, 20, 27, 39 decision making, 430 AUTOBOX, 16, 20, 24 delay operator, 346 AUTOREG, 16, 27 density estimation, 154 B34S, 16, 20, 24, 27 density forecast, 412 Betahat, 20 dependent data, 198 BRAP, 24 DIEHARD, 67, 73 Brookings Model Project programs, difference operator, 344, 354, 360 363 9 seasonal, 358 CEF, 12, 16 differential evolution, 85, 88, 91 Damsel, 11, 15, 27 diffuse prior distribution, 370 definition of, 5 digital signal processing, 322 EasyReg, 20 direct sampling, 234 ECON, 9 Dirichlet kernel, 339 EPS, 11, 15, 25, 27 discontinuous methods, 94 EViews, 20, 311 discrete Fourier transform, 333 FP, 16, 20, 24, 25 discrete-time process, 340 Gauss, 20, 27, 39 divide-and-conquer principle, 167, 255 GIVE, 12 double bootstrap, 190, 201, 204 Gremlin, 11 P -value, 191 Gretl, 20 drifting random walk, 364 IDIOM, 16, 20, 24 JMulTi, 311 econometric computing, 5 LIMDEP, 16, 20, 24, 27 breadth, 22 MASSAGER, 12 constructive commands, 30 MicroFit, 16, 20, 24 depth, 22, 24 MicroTSP, 20 developer characteristics, 38 ModelEasy+, 16, 20 directive commands, 30 MODLER, 2, 10, 11, 15, 18, 20, 25, human interface, 15, 26, 37 27, 39 interactive, 2 Mosaic, 20, 25 isolated development, 27 NIMODEL, 12 mainframes, 17 Ox, 20, 27, 39 matrix inversion, 33 PcGive, 12, 16, 20, 24, 37, 311 microcomputer, 18 RATS, 16, 20, 24 minicomputers, 17 REG-X, 12, 16 motivating forces, 17 SHAZAM, 16, 20, 24 network-resident, 2 Soritec, 16, 20 roundoff error, 31, 32 Stata, 20 software design, 35 SYMSIS, 12 textbook treatment of, 14 Tiny TROLL, 18 490 INDEX econometric software (continued) bandpass, 360 TROLL, 10, 11, 13, 20, 25, 39 bidirectional, 344 TSP, 9, 11, 13, 16, 20 Butterworth, 336, 343 WinSolve, 16, 39 causal, 353 WYSEA, 16, 20, 39 contragrade method, 344 XSIM, 11, 15, 25, 27 electronic, 321 economic database systems, 2, 12, 16 finite impulse response (FIR), 343 EM algorithm, 420 frequency response of, 336 empirical distribution function (EDF), gain of, 336 184 Henderson, 329, 331, 336 empirical likelihood, 153 highpass, 321, 325, 360 end-of-sample problem, 329, 331 ideal, 366 Epanechnikov kernel, 157 infinite impulse response (IIR), 343 epiconvergence, 125 Kalman, 365, 368, 372 equal-tail bootstrap P -value, 186 lowpass, 321, 325, 355 equilibration algorithms, 443 phase effect of, 336 equilibrium modeling, 433 symmetric, 336 error in rejection probability (ERP), 187 Wiener–Kolmogorov, 341, 342, 359, errors in variables, 154 362, 372 estimation methods wrapped, 350 autoregressive corrections, 27 finite impulse response (FIR) filter, 343 full information maximum likelihood, 2, 24 finite precision, 57 limited information maximum first-order moving average process likelihood, 2, 9 MA(1), 364 ordinary least squares, 9, 10 fixed point problems, 438 seemingly unrelated regression fixed regressor bootstrap, 202, 207 equations, 2, 23 fixed-interval smoothing algorithm, 371, stepwise regression, 10 372 three-stage least squares, 2, 23 forecast combination, 415 two-stage least squares, 9, 10, 23, 27 forecast error variance decomposition, two-stage least squares), 2 310 weighted least squares, 10 forecasting VAR process, 303 EViews, 311 forward-shift operator, 346 evolution strategies, 85 Fourier analysis, 332 evolutionary algorithms, 88 Fourier coefficients, 332 EXPAR model, 379, 400, 405 Fourier integral transform, 338 expectation maximization, 86 Fourier matrix, 349 expected frequency curve, 157 Fourier synthesis, 339 expected value optimization, 145 Fourier transform discrete, 333, 348, 349 fast double bootstrap (FDB), 192, 193, fast (FFT), 333 204, 207, 209 integral transform, 338 fast Fourier transform (FFT), 333 frequency mixed-radix, 359 fundamental, 332 filter Nyquist, 334, 337, 340 auxiliary, 328 seasonal, 366 INDEX 491 frequency domain, 322, 326, 332, 335, hybrid heuristics, 93 338, 345, 359 hybrid metaheuristics, 93 frequency response function, 336 frequency response of filter, 336 ideal filter, 366 fundamental frequency, 332 importance sampling, 239 impulse response, 63, 64 gain of filter, 336 impulse response analysis, 306 GARCH, 58, 60–62, 65, 68, 75, 76 indicator function, 184 GARCH model, 85, 378, 387, 414 infinite impulse response (IIR) filter, 343 generalized additive model, 166 initial conditions generalized instrumental variables, 197, for Kalman filter, 370 198 for Wiener–Kolmogorov filter, 355, generalized inverse, 359 360 generating function integrated moving average model autocovariance, 341 IMA(2, 1), 364 genetic algorithms, 85, 88, 90, 99 integrated variable, 282 geometric ergodicity, 399 interior point algorithm, 122 Gibbs algorithm, 417 Internet, 7 Gibbs sampling, 255 ARPANET, 3 with data augmentation, 258 inversion method, 235 global optimization, 137 irreducibility, 249 Granger-causality, 305 iterated bootstrap, 190 graph theory, 430 graphical user interface, 26 jackknife, 153 greedy algorithms, 87 Jacobian, 69 griddy Gibbs sampling, 257 JMulTi, 311 gross domestic product (GDP), 334, 361 Johansen test for cointegration, 297 guided search, 94 join-point problem, 200 JSTOR, 5, 6 Hamilton filter, 419 J test, 203 Hannan–Quinn criterion, 296 Harvard University, 8, 24 Kalman filter, 365, 368, 372 hat matrix, 195 initial conditions, 370 Henderson filter, 329, 331, 336 Kalman gain, 368 Hessian, 69, 70 kernel density estimators, 156 heteroskedasticity, 174 kernel function, 324 heteroskedasticity-robust test, 204, kernel regression estimators, 161 206 kernel smoothing, 325 heteroskedasticity, tests for, 188 Koenker test, 188, 189 heuristic, 83 heuristic optimization, 87 lag operator, 346 hidden Markov model, 86 finite-sample version, 346 hidden Markov model (HMM), 380 Lagrange multiplier test, 389–395 highest posterior density region, 225 Breusch–Godfrey form, 391 highpass filter, 321, 325, 360 Laurent expansion, 344 hill