Box-Jenkins approach 502 diagnostic checking 512 difference operator 504 identification 502 specification 503

starting values 509 ARMA terms 505

in models 809 seasonal 506 testing 581

using state spaces models for 762 Artificial regression 583, 594

ASCII

file export 115

file import 112, 128 ASCII file

open as workfile 54 Asymptotic test 569

Augmented Dickey-Fuller test 522 See also Unit root tests.

Augmented regression 587 Autocorrelation 452 Autocorrelation function 326 Auto-search

database 277 Auto-series

generate new series 141, 274 in estimation 145

in groups 144

in regression 274 with database 274

Autospec 758 Auto-updating series

and databases 152

converting to ordinary series 152 Auxiliary regression 581, 582 Average log likelihood 626

B

Backcast

in GARCH models 606 MA terms 510

Backup file option 62 Backup files 939 Balanced data 835 Balanced sample 846

Bandwidth 397 Andrews 719

bracket option 398, 404 in kernel fit 406

in nearest neighbor fit 403 Newey-West (fixed) 718 Newey-West (variable) 719 selection in GMM 704, 718

Bar graph 310 Bartlett kernel 718 Bartlett test 322 BDS test 329

Berndt-Hall-Hall-Hausman (BHHH). See Optimization algorithms.

Bias proportion 554

Binary dependent variable 621 error messages 627

fitted index 634

interpretation of coefficient 625 log likelihood 622

Binary Estimation perfect predictor 628

Binary file 54 Binning option

classifications 313, 382

in density estimation 398, 407 Binomial sign test 317

Box-Cox transformation 401 Box-Jenkins 502

Boxplots 409

for series by classification 410 for series in group 412

Bracket bandwidth option in kernel density 398 in kernel fit 407

in nearest neighbor fit 404 Break key 21 Breusch-Godfrey test 495, 581 Brown-Forsythe test 322

By-group statistics 312, 886, 893

C

C

coef vector 444

constant in regression 444 Cache 301