simulation, 57 AIC, 296 AIC criterion, 407 Akaike information criterion, 296 aliasing, 338-340 all-pass model, 383 annual cycle, 361 ant colonies, 88, 90 aperiodicity, 249 AR(1) process, 207 ARCH test, 301 ARIMA model seasonal, 357, 364 ARIMA process, 361 ARMA model, 341, 377 weak, 385 ARMA process, 339, 348 artificial neural network, 85 asymptotic convergence results, 99 asymptotic refinement, 187 asymptotically pivotal test statistic, 187, 191 autocovariance generating function, 341, 347 partial-fraction decomposition of, 362 autocovariance matrix circulant, 350 autoregressive process vector (VAR), 365 auxiliary variable Gibbs sampling, 260 backfitting, 166 band-limited process, 340, 373 bandpass filter, 360 bandwidth, 326 basic structural model, 363, 365 Bayes factor, 226 Bayes' theorem, 218 Bayesian estimation, 370 Bayesian estimation of VAR model, 294 benchmark, 61, 62, 65, 75, 76 BFGS algorithm, 70 bias correction, 208 bidirectional filter, 344 bilinear model, 380, 385, 391 block bootstrap, 199, 200 block-of-blocks bootstrap, 199, 207 block-block bootstrap, 200 Bonferroni inequality, 200 bootstrap bagging, 164 bootstrap data generating process, 184, 193 bootstrap DGP, 184, 193 bootstrap EDF, 184 bootstrap P -value, 184 double, 191 equal tail, 186 fast double, 192, 193 symmetric,