# Index

An alphabetical subject index of the book's concepts, named results, and people. Each entry links to
the section(s) where the term is defined or plays a central role. "Ch. IX", "Ch. X" and
"Investment Under Uncertainty" (Ch. XIV) refer to the preparatory and capstone chapters; all other
links point to sections of the Linear Time Series part and its postscripts. Works cited are collected
separately in the [Bibliography](43_bibliography.md).

## A

- **adaptive expectations** — [Prediction Examples](15_prediction_examples.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Ch. X](ch10_regressions.md)
- **adjustment cost of capital** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **aggregation over time** — [Aggregation over Time](34_aggregation.md)
- **annihilation operator** $[\,\cdot\,]_+$ — [Representation Theory](13_representation_theory.md); [Partial Fractions](18a_partial_fractions.md); [Granger Causality](27_granger_causality.md); [Exact Linear RE](36b_exact_linear_re.md)
- **anticipative (non-realizable) representation** — [Explosive Decomposition](36d_explosive_decomposition.md); [Ch. IX](ch09_difference_equations.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **approximation error formula (Sims)** — [Seasonality & Approximation](33a_seasonality_approximation.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md); [Exercises](37_exercises.md)
- **approximation criterion (Kullback–Leibler / Whittle)** — [Seasonality & Approximation](33a_seasonality_approximation.md)
- **ARMA process (mixed moving average, autoregressive)** — [Wold ARMA](18_wold_arma.md); [Signal Extraction](19_signal_extraction.md); [Prediction Examples](15_prediction_examples.md)
- **autoregressive process** (first-, second-order) — [Preliminary Concepts](02_preliminary_concepts.md); [Spectrum](06_spectrum.md)
- **autoregressive representation** — [Linear Prediction](14_linear_prediction.md); [Vector SDEs](23_vector_sde.md); [Multivariate Prediction](29_multivariate_prediction.md)
- **averaged periodogram (Bartlett, Welch)** — [FFT Estimation](07a_fft_estimation.md)

## B

- **backward (anticausal) filtering** — [Orthogonality & Filtering](31_orthogonality_filtering.md); [Solutions](38_exercise_solutions.md)
- **Bartlett window** — [Complex Demodulation](41_comp_demod.md)
- **Beveridge–Nelson decomposition** — [Exercises](37_exercises.md); [Solutions](38_exercise_solutions.md); [Explosive Decomposition](36d_explosive_decomposition.md)
- **bicoherence** — [Nonlinear Representations](39_nonlinear_representation.md); [FFT Estimation](07a_fft_estimation.md)
- **bilinear process** — [Nonlinear Representations](39_nonlinear_representation.md)
- **bispectrum (and its estimation)** — [Nonlinear Representations](39_nonlinear_representation.md); [FFT Estimation](07a_fft_estimation.md); [Complex Demodulation](41_comp_demod.md)
- **Blackman–Tukey estimator** — [FFT Estimation](07a_fft_estimation.md)
- **Blanchard, O., and Watson, M.** — [Bubbles](36_bubbles.md)
- **Blanchard–Kahn condition** — [Signal Extraction](19_signal_extraction.md)
- **Blaschke factor (root flipping)** — [Solutions](38_exercise_solutions.md); [Interpreting VARs](36a_interpreting_vars.md); [Exact Linear RE](36b_exact_linear_re.md)
- **bubble, rational** — [Bubbles](36_bubbles.md)
- **Burns, A., and Mitchell, W.** — [Business Cycle Definitions](11_business_cycle_definitions.md); [Index Models](12_index_models.md)
- **business cycle** — [Business Cycle Definitions](11_business_cycle_definitions.md); [Spectrum](06_spectrum.md); [Index Models](12_index_models.md)

## C

- **Cagan model (hyperinflation, portfolio balance)** — [Rational Expectations](22_rational_expectations.md); [Optimal Prediction](25_optimal_prediction.md); [One-Sided Projections](32_one_sided_projections.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Ch. X](ch10_regressions.md); [Exercises](37_exercises.md)
- **Cass–Koopmans optimum growth problem** — [Ch. IX](ch09_difference_equations.md)
- **Cauchy–Schwarz inequality** — [Uncertainty Principle](05a_uncertainty_principle.md); [Preliminary Concepts](02_preliminary_concepts.md)
- **cepstrum** — [Representation Theory](13_representation_theory.md)
- **certainty equivalence (separation principle)** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **chain rule of forecasting** — [Chain Rule](21_chain_rule.md)
- **characteristic equation and roots** — [Ch. IX](ch09_difference_equations.md)
- **coherence (and its estimation)** — [Cross Spectrum](07_cross_spectrum.md); [FFT Estimation](07a_fft_estimation.md); [Leading Indicators](08_leading_indicators.md); [Business Cycle Definitions](11_business_cycle_definitions.md); [Complex Demodulation](41_comp_demod.md)
- **companion form (compact notation)** — [Compact Notation](24_compact_notation.md)
- **complex demodulation** — [Complex Demodulation](41_comp_demod.md)
- **continuous-time process** — [Aggregation over Time](34_aggregation.md); [Sims's Formula](34a_sims_expository_note.md)
- **convolution (↔ multiplication of transforms)** — [Fourier & z-Transforms](04_fourier_z_transforms.md)
- **cospectrum** — [Cross Spectrum](07_cross_spectrum.md)
- **covariance generating function** — [Preliminary Concepts](02_preliminary_concepts.md); [Cross Covariogram](03_cross_covariogram.md); [Index Models](12_index_models.md); [Wold ARMA](18_wold_arma.md); [Signal Extraction](19_signal_extraction.md); [Filtering & Projections](30_filtering_projections.md)
- **covariance stationarity (wide-sense)** — [Preliminary Concepts](02_preliminary_concepts.md)
- **covariogram** — [Preliminary Concepts](02_preliminary_concepts.md); [Deriving the MA](16_deriving_ma.md); [Business Cycle Definitions](11_business_cycle_definitions.md)
- **cross covariogram** — [Cross Covariogram](03_cross_covariogram.md)
- **cross spectrum** — [Cross Spectrum](07_cross_spectrum.md); [Leading Indicators](08_leading_indicators.md); [Complex Demodulation](41_comp_demod.md)
- **cross-equation restrictions** — [Rational Expectations](22_rational_expectations.md); [Optimal Prediction](25_optimal_prediction.md); [Multivariate Prediction](29_multivariate_prediction.md); [Exact Linear RE](36b_exact_linear_re.md); [Exercises](37_exercises.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **cumulants (higher-order moments)** — [Nonlinear Representations](39_nonlinear_representation.md); [FFT Estimation](07a_fft_estimation.md)
- **cycle (from complex roots)** — [Preliminary Concepts](02_preliminary_concepts.md); [Business Cycle Definitions](11_business_cycle_definitions.md)

## D

- **delta function (generalized function)** — [Representation Theory](13_representation_theory.md); [Fourier & z-Transforms](04_fourier_z_transforms.md)
- **difference equation, linear** — [Ch. IX](ch09_difference_equations.md); [Introduction](01_introduction.md)
- **Dirichlet kernel** — [Uncertainty Principle](05a_uncertainty_principle.md); [Complex Demodulation](41_comp_demod.md)
- **distributed lag, sum of coefficients** $h(0)$ — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md); [Solutions](38_exercise_solutions.md)
- **dominant-player dynamic game** — [Ch. IX](ch09_difference_equations.md)
- **DSGE model** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md)
- **duopoly (dynamic Nash equilibrium)** — [Ch. IX](ch09_difference_equations.md)
- **dynamic factor model** — *see* **index model**
- **dynamic supply and demand curves** — [Investment Under Uncertainty](ch14_investment_uncertainty.md); [Interpreting VARs](36a_interpreting_vars.md); [Rational Expectations](22_rational_expectations.md)

## E

- **Eckstein, Z.** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **econometric exogeneity** — [Granger Causality](27_granger_causality.md); [Vector SDEs](23_vector_sde.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md)
- **eigenvalue decomposition** — [Compact Notation](24_compact_notation.md)
- **energy (of a sequence)** — [Uncertainty Principle](05a_uncertainty_principle.md)
- **errors in variables** — [Errors in Variables](35_errors_variables.md)
- **Euler equation (and stochastic Euler equation)** — [Ch. IX](ch09_difference_equations.md); [Deriving the MA](16_deriving_ma.md); [Rational Expectations](22_rational_expectations.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **exact linear rational expectations models** — [Exact Linear RE](36b_exact_linear_re.md)
- **expectations hypothesis (term structure)** — [Ch. X](ch10_regressions.md); [Multivariate Prediction](29_multivariate_prediction.md)
- **explosive autoregression (decomposition; anticipative representation)** — [Explosive Decomposition](36d_explosive_decomposition.md); [Exercises](37_exercises.md); [Solutions](38_exercise_solutions.md); [Ch. IX](ch09_difference_equations.md)
- **exponential order (of a sequence)** — [Ch. IX](ch09_difference_equations.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **externality (in dynamic equilibrium)** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)

## F

- **fast Fourier transform (FFT); periodogram estimation** — [FFT Estimation](07a_fft_estimation.md)
- **feedback and feedforward parts (of a solution)** — [Ch. IX](ch09_difference_equations.md); [Interpreting VARs](36a_interpreting_vars.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **Fejér kernel** — [FFT Estimation](07a_fft_estimation.md)
- **Fibonacci sequence / golden ratio** — [Ch. IX](ch09_difference_equations.md); [Ch. X](ch10_regressions.md)
- **filter** — [Filter Kit](10_filter_kit.md); [Slutsky & Kuznets](09_slutsky_kuznets.md); [Spectrum](06_spectrum.md)
- **filter, low-pass (Lucas's exponential filter)** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md); [Uncertainty Principle](05a_uncertainty_principle.md); [Complex Demodulation](41_comp_demod.md)
- **filtering formula (fundamental)** — [Spectrum](06_spectrum.md); [Cross Spectrum](07_cross_spectrum.md)
- **final form** — [Money & Income](28_sims_money_income.md)
- **first-difference filter** $1-L$ — [Filter Kit](10_filter_kit.md); [Slutsky & Kuznets](09_slutsky_kuznets.md)
- **forward filtering** — [Orthogonality & Filtering](31_orthogonality_filtering.md); [One-Sided Projections](32_one_sided_projections.md)
- **forward rate** — [Ch. X](ch10_regressions.md)
- **Fourier transform** — [Fourier & z-Transforms](04_fourier_z_transforms.md)
- **frequency dispersion** — [Uncertainty Principle](05a_uncertainty_principle.md)
- **Friedman, Milton** — [Prediction Examples](15_prediction_examples.md); [Ch. X](ch10_regressions.md)
- **Frisch, Ragnar** — [Introduction](01_introduction.md)
- **fundamental representation (fundamentalness)** — [Deriving the MA](16_deriving_ma.md); [Wold MA](17_wold_ma.md); [Representation Theory](13_representation_theory.md); [Interpreting VARs](36a_interpreting_vars.md)
- **Futia, Carl** — [Geometric Leads](20_geometric_leads.md)

## G

- **gain** — [Cross Spectrum](07_cross_spectrum.md); [Filter Kit](10_filter_kit.md); [Slutsky & Kuznets](09_slutsky_kuznets.md)
- **Gaussianity, tests for** — [Nonlinear Representations](39_nonlinear_representation.md); [FFT Estimation](07a_fft_estimation.md)
- **generalized least squares (consistency of)** — [Filtering & Projections](30_filtering_projections.md)
- **generalized method of moments (GMM)** — [Solutions](38_exercise_solutions.md)
- **geometric distributed lag** — [Prediction Examples](15_prediction_examples.md); [Ch. IX](ch09_difference_equations.md)
- **geometric distributed lead** — [Geometric Leads](20_geometric_leads.md); [Seasonal Adjustment](33_seasonal_adjustment.md)
- **Geweke, John** — [Sims's Formula](34a_sims_expository_note.md); [Index Models](12_index_models.md)
- **Godfrey (bispectrum)** — [Complex Demodulation](41_comp_demod.md)
- **golden ratio** — [Ch. IX](ch09_difference_equations.md); [Ch. X](ch10_regressions.md)
- **Golden rule (and modified Golden rule)** — [Ch. IX](ch09_difference_equations.md)
- **Gordon and Hynes** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **Granger, C. W. J.; typical spectral shape** — [Business Cycle Definitions](11_business_cycle_definitions.md)
- **Granger causality (Wiener–Granger)** — [Granger Causality](27_granger_causality.md); [Leading Indicators](08_leading_indicators.md); [Money & Income](28_sims_money_income.md); [Filtering & Projections](30_filtering_projections.md); [Errors in Variables](35_errors_variables.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Exercises](37_exercises.md)

## H

- **habit persistence (seasonal)** — [Seasonality & Approximation](33a_seasonality_approximation.md)
- **Hammerstein model** — [Nonlinear Representations](39_nonlinear_representation.md)
- **Hannan's inefficient estimator** — [Cross Spectrum](07_cross_spectrum.md)
- **Hanning (spectral smoothing)** — [FFT Estimation](07a_fft_estimation.md)
- **Hansen–Sargent formula (geometric lead)** — [Geometric Leads](20_geometric_leads.md); [Seasonal Adjustment](33_seasonal_adjustment.md); [Solutions](38_exercise_solutions.md)
- **Hayashi, F. (forward filtering)** — [Orthogonality & Filtering](31_orthogonality_filtering.md)
- **Heisenberg bound** — [Uncertainty Principle](05a_uncertainty_principle.md)
- **Hermite polynomials (Hermite chaos)** — [Nonlinear Representations](39_nonlinear_representation.md)
- **Hilbert space** — [Representation Theory](13_representation_theory.md); [Solutions](38_exercise_solutions.md)
- **Hinich, M. J., and Clay, C. S.** — [FFT Estimation](07a_fft_estimation.md)
- **Howrey, E. P.** — [Slutsky & Kuznets](09_slutsky_kuznets.md); [Compact Notation](24_compact_notation.md)

## I

- **ideal bandpass filter** — [Spectrum](06_spectrum.md)
- **identification (and underidentification)** — [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Exact Linear RE](36b_exact_linear_re.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **index model (unobservable / dynamic-factor)** — [Index Models](12_index_models.md)
- **inflation tax; revenue-maximizing inflation** — [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md)
- **innovation accounting (impulse responses, variance decompositions)** — [Interpreting VARs](36a_interpreting_vars.md); [Errors in Variables](35_errors_variables.md)
- **innovation (one-step-ahead forecast error)** — [Representation Theory](13_representation_theory.md); [Linear Prediction](14_linear_prediction.md); [Optimal Filtering](26_optimal_filtering.md)
- **instrumental variables estimation** — [Orthogonality & Filtering](31_orthogonality_filtering.md)
- **interrelated factor demand** — [Ch. IX](ch09_difference_equations.md); [Interpreting VARs](36a_interpreting_vars.md)
- **inverse optimal control problem** — [Ch. IX](ch09_difference_equations.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md); [Exercises](37_exercises.md)
- **inverse optimal predictor problem** — [Ch. IX](ch09_difference_equations.md); [Exercises](37_exercises.md)
- **inverse z-transform** — [Inverse z-Transform](05_inverse_z_transform.md); [Partial Fractions](18a_partial_fractions.md)
- **investment under uncertainty** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **isometric isomorphism** ($\ell_2 \leftrightarrow L_2$) — [Fourier & z-Transforms](04_fourier_z_transforms.md)

## K

- **Kalman filter (recursive projection)** — [Ch. X](ch10_regressions.md); [Interpreting VARs](36a_interpreting_vars.md); [Exact Linear RE](36b_exact_linear_re.md)
- **Kalman gain; Riccati equation** — [Ch. X](ch10_regressions.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **Kolmogorov, Andrei; Kolmogorov formula** — [Introduction](01_introduction.md); [Linear Prediction](14_linear_prediction.md); [Representation Theory](13_representation_theory.md); [Optimal Filtering](26_optimal_filtering.md)
- **Koopmans, T. C.** — [Index Models](12_index_models.md)
- **Kuznets, Simon; Kuznets's transformations; long swings** — [Slutsky & Kuznets](09_slutsky_kuznets.md)
- **Kydland, F., and Prescott, E.** — [Index Models](12_index_models.md)

## L

- **lag operator** $L$ — [Ch. IX](ch09_difference_equations.md)
- **Laurent expansion** — [Partial Fractions](18a_partial_fractions.md); [Exact Linear RE](36b_exact_linear_re.md); [Solutions](38_exercise_solutions.md)
- **law of iterated projections** — [Ch. X](ch10_regressions.md); [Chain Rule](21_chain_rule.md); [Money & Income](28_sims_money_income.md); [One-Sided Projections](32_one_sided_projections.md)
- **leading indicator** — [Leading Indicators](08_leading_indicators.md)
- **leakage (spectral)** — [FFT Estimation](07a_fft_estimation.md)
- **leaning against the wind** — [Money & Income](28_sims_money_income.md)
- **learning by doing** — [Ch. IX](ch09_difference_equations.md)
- **likelihood-ratio test (overfitting)** — [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md)
- **linear least squares projection** — [Ch. X](ch10_regressions.md); [Representation Theory](13_representation_theory.md); [Linear Prediction](14_linear_prediction.md)
- **linearly deterministic / indeterministic process** — [Representation Theory](13_representation_theory.md); [Linear Prediction](14_linear_prediction.md)
- **Lucas aggregate supply curve** — [Exercises](37_exercises.md)
- **Lucas critique** — [Ch. X](ch10_regressions.md); [Ch. IX](ch09_difference_equations.md); [Lucas's Critique (Ch. XIV §3)](ch14_investment_uncertainty.md); [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md)
- **Lucas's two illustrations of the quantity theory** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md)
- **Lucas–Prescott model** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)

## M

- **martingale** — [Ch. X](ch10_regressions.md); [Bubbles](36_bubbles.md); [Explosive Decomposition](36d_explosive_decomposition.md); [Seasonality & Approximation](33a_seasonality_approximation.md)
- **maximum likelihood estimation** — [Exact Linear RE](36b_exact_linear_re.md); [Seasonality & Approximation](33a_seasonality_approximation.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md)
- **mean lag** — [Cross Spectrum](07_cross_spectrum.md)
- **measurement error** — [Errors in Variables](35_errors_variables.md)
- **Meiselman error-learning model** — [Ch. X](ch10_regressions.md)
- **minimum phase condition** — [Deriving the MA](16_deriving_ma.md)
- **misspecified model (approximation)** — [Seasonality & Approximation](33a_seasonality_approximation.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md); [Seasonal Adjustment](33_seasonal_adjustment.md)
- **money illusion** — [Ch. X](ch10_regressions.md)
- **money–income causality; mongrel coefficients** — [Money & Income](28_sims_money_income.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md)
- **moving average representation** — [Preliminary Concepts](02_preliminary_concepts.md); [Linear Prediction](14_linear_prediction.md); [Representation Theory](13_representation_theory.md)
- **moving (evolutionary) spectrum and cross spectrum** — [Complex Demodulation](41_comp_demod.md)
- **Mundell–Tobin effect** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md)
- **Muth, John** — [Signal Extraction](19_signal_extraction.md); [Ch. X](ch10_regressions.md); [Ch. IX](ch09_difference_equations.md); [Partial Fractions](18a_partial_fractions.md)

## N

- **NBER minor / major cycle** — [Leading Indicators](08_leading_indicators.md); [Business Cycle Definitions](11_business_cycle_definitions.md)
- **nonanticipative representation** — [Ch. IX](ch09_difference_equations.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **nonfundamental representation** — [Deriving the MA](16_deriving_ma.md); [Interpreting VARs](36a_interpreting_vars.md); [Exact Linear RE](36b_exact_linear_re.md)
- **nonlinear Wold theorem** — [Nonlinear Representations](39_nonlinear_representation.md)
- **nonnegative definite sequence** — [Preliminary Concepts](02_preliminary_concepts.md); [Deriving the MA](16_deriving_ma.md)
- **normal equations** — [Ch. X](ch10_regressions.md)
- **Nyquist frequency** — [Uncertainty Principle](05a_uncertainty_principle.md)

## O

- **one-sided projection** — [Cross Spectrum](07_cross_spectrum.md); [Granger Causality](27_granger_causality.md); [Filtering & Projections](30_filtering_projections.md); [One-Sided Projections](32_one_sided_projections.md); [Optimal Filtering](26_optimal_filtering.md)
- **optimal filtering (Wiener–Kolmogorov)** — [Optimal Filtering](26_optimal_filtering.md)
- **optimal prediction (compact / state-space)** — [Optimal Prediction](25_optimal_prediction.md)
- **orthogonality principle** — [Ch. X](ch10_regressions.md); [Representation Theory](13_representation_theory.md)
- **oscillatory covariogram** — [Preliminary Concepts](02_preliminary_concepts.md); [Compact Notation](24_compact_notation.md)
- **outer (minimum-phase) function** — [Solutions](38_exercise_solutions.md); [Deriving the MA](16_deriving_ma.md)

## P

- **Parseval's relation** — [Fourier & z-Transforms](04_fourier_z_transforms.md)
- **partial fractions** — [Ch. IX](ch09_difference_equations.md); [Partial Fractions](18a_partial_fractions.md); [Granger Causality](27_granger_causality.md)
- **Parzen window** — [Complex Demodulation](41_comp_demod.md)
- **Pascal (Solow) lag distribution** — [Ch. IX](ch09_difference_equations.md); [Exercises](37_exercises.md)
- **periodic model** — [Seasonality & Approximation](33a_seasonality_approximation.md)
- **periodogram (inconsistency; resolution–variance trade-off)** — [FFT Estimation](07a_fft_estimation.md)
- **permanent income** — [Ch. X](ch10_regressions.md); [Prediction Examples](15_prediction_examples.md); [Optimal Filtering](26_optimal_filtering.md); [Ch. IX](ch09_difference_equations.md)
- **phase** — [Cross Spectrum](07_cross_spectrum.md); [Filter Kit](10_filter_kit.md); [Leading Indicators](08_leading_indicators.md)
- **phase lead** — [Leading Indicators](08_leading_indicators.md); [Complex Demodulation](41_comp_demod.md)
- **Phillips curve (Lucas's)** — [Ch. X](ch10_regressions.md); [Exercises](37_exercises.md)
- **Pigouvian (corrective) tax** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **Poisson kernel** — [Uncertainty Principle](05a_uncertainty_principle.md)
- **pole (order of a pole)** — [Inverse z-Transform](05_inverse_z_transform.md); [Partial Fractions](18a_partial_fractions.md)
- **policy invariance, failure of** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md); [Ch. IX](ch09_difference_equations.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **polyspectra** — [Nonlinear Representations](39_nonlinear_representation.md)
- **prediction-error variance** — [Representation Theory](13_representation_theory.md); [Linear Prediction](14_linear_prediction.md)
- **Prescott, Edward** — [Index Models](12_index_models.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)

## Q

- **quadrature spectrum** — [Cross Spectrum](07_cross_spectrum.md)
- **quantity theory of money** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md)
- **quasi-differencing** — [Solutions](38_exercise_solutions.md)

## R

- **random walk** — [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Explosive Decomposition](36d_explosive_decomposition.md); [Exercises](37_exercises.md); [Solutions](38_exercise_solutions.md); [Seasonal Adjustment](33_seasonal_adjustment.md)
- **rational expectations** — [Introduction](01_introduction.md); [Prediction Examples](15_prediction_examples.md); [Rational Expectations](22_rational_expectations.md); [Exact Linear RE](36b_exact_linear_re.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **rational expectations equilibrium** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **realization** — [Preliminary Concepts](02_preliminary_concepts.md)
- **reciprocal pair of roots** — [Deriving the MA](16_deriving_ma.md); [Wold MA](17_wold_ma.md); [Ch. IX](ch09_difference_equations.md)
- **recursive projection** — [Ch. X](ch10_regressions.md)
- **remodulation** — [Complex Demodulation](41_comp_demod.md)
- **residue; residue theorem** — [Inverse z-Transform](05_inverse_z_transform.md); [Partial Fractions](18a_partial_fractions.md); [Ch. IX](ch09_difference_equations.md)
- **Riesz–Fischer theorem** — [Fourier & z-Transforms](04_fourier_z_transforms.md)
- **Romer, Paul** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)

## S

- **saddle path** — [Ch. IX](ch09_difference_equations.md)
- **Samuelson multiplier–accelerator model** — [Ch. IX](ch09_difference_equations.md)
- **Samuelson, Paul (properly anticipated prices)** — [Ch. X](ch10_regressions.md)
- **Sargent, T. J., and Sims, C. A. (business cycle modeling)** — [Index Models](12_index_models.md)
- **Sargent, T. J.; interest rates in the nineteen-fifties** — [Complex Demodulation](41_comp_demod.md)
- **seasonal adjustment** — [Seasonal Adjustment](33_seasonal_adjustment.md); [Seasonality & Approximation](33a_seasonality_approximation.md); [Business Cycle Definitions](11_business_cycle_definitions.md); [Complex Demodulation](41_comp_demod.md)
- **seasonal filter** — [Filter Kit](10_filter_kit.md); [Seasonal Adjustment](33_seasonal_adjustment.md)
- **Shiller, Robert** — [Chain Rule](21_chain_rule.md); [One-Sided Projections](32_one_sided_projections.md)
- **signal extraction** — [Ch. X](ch10_regressions.md); [Signal Extraction](19_signal_extraction.md); [Errors in Variables](35_errors_variables.md); [Exercises](37_exercises.md); [Solutions](38_exercise_solutions.md)
- **Sims, Christopher A.** — [Granger Causality](27_granger_causality.md); [Money & Income](28_sims_money_income.md); [Leading Indicators](08_leading_indicators.md); [Aggregation over Time](34_aggregation.md); [Sims's Formula](34a_sims_expository_note.md); [Seasonality & Approximation](33a_seasonality_approximation.md); [Interpreting VARs](36a_interpreting_vars.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md)
- **Sims's approximation-error formula** — [Exercises](37_exercises.md); [Solutions](38_exercise_solutions.md); [Seasonality & Approximation](33a_seasonality_approximation.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md)
- **Sims's formula (discrete/continuous-time aggregation)** — [Aggregation over Time](34_aggregation.md); [Sims's Formula](34a_sims_expository_note.md)
- **Sims's theorem (Granger causality ↔ one-sidedness)** — [Granger Causality](27_granger_causality.md); [Leading Indicators](08_leading_indicators.md)
- **Slutsky effect (spurious cycle)** — [Slutsky & Kuznets](09_slutsky_kuznets.md)
- **Slutsky, Eugen** — [Introduction](01_introduction.md); [Slutsky & Kuznets](09_slutsky_kuznets.md)
- **social planning problem (and equilibrium–optimality)** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **spectral density matrix** — [Vector SDEs](23_vector_sde.md); [Compact Notation](24_compact_notation.md); [Index Models](12_index_models.md); [Granger Causality](27_granger_causality.md)
- **spectral factorization** — [Wold MA](17_wold_ma.md); [Representation Theory](13_representation_theory.md); [Errors in Variables](35_errors_variables.md)
- **spectral peak** — [Spectrum](06_spectrum.md); [Business Cycle Definitions](11_business_cycle_definitions.md)
- **spectral window (kernel)** — [FFT Estimation](07a_fft_estimation.md)
- **spectrum (spectral density; estimation)** — [Spectrum](06_spectrum.md); [FFT Estimation](07a_fft_estimation.md); [Business Cycle Definitions](11_business_cycle_definitions.md); [Representation Theory](13_representation_theory.md)
- **St. Louis (Andersen–Jordan) equation** — [Money & Income](28_sims_money_income.md)
- **stable and unstable roots** — [Ch. IX](ch09_difference_equations.md); [Interpreting VARs](36a_interpreting_vars.md); [Explosive Decomposition](36d_explosive_decomposition.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md); [Exercises](37_exercises.md)
- **state-space representation** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md); [Interpreting VARs](36a_interpreting_vars.md); [Exact Linear RE](36b_exact_linear_re.md); [Nonlinear Representations](39_nonlinear_representation.md)
- **stochastic Euler equation** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **stochastic process** — [Introduction](01_introduction.md); [Preliminary Concepts](02_preliminary_concepts.md)

## T

- **Taylor, John B.** — [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **term structure of interest rates** — [Ch. X](ch10_regressions.md); [Multivariate Prediction](29_multivariate_prediction.md)
- **Theil's specification (omitted-variable) theorem** — [Money & Income](28_sims_money_income.md); [Sims's Formula](34a_sims_expository_note.md)
- **Tiao–Grupe formula** — [Seasonality & Approximation](33a_seasonality_approximation.md)
- **time to build** — [Ch. IX](ch09_difference_equations.md)
- **time-varying (drifting-coefficient) VAR** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md); [Complex Demodulation](41_comp_demod.md)
- **time–frequency trade-off (uncertainty principle)** — [Uncertainty Principle](05a_uncertainty_principle.md); [Complex Demodulation](41_comp_demod.md)
- **Toeplitz matrix** — [Solutions](38_exercise_solutions.md)
- **transfer function** $h(e^{-i\omega})$ — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md); [Seasonal Adjustment](33_seasonal_adjustment.md); [Nonlinear Representations](39_nonlinear_representation.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md)
- **transversality condition** — [Ch. IX](ch09_difference_equations.md); [Bubbles](36_bubbles.md); [Investment Under Uncertainty](ch14_investment_uncertainty.md)
- **triangular (block-triangular) representation** — [Granger Causality](27_granger_causality.md); [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md); [Interpreting VARs](36a_interpreting_vars.md)
- **two-sided projection** — [Cross Spectrum](07_cross_spectrum.md); [Granger Causality](27_granger_causality.md); [Filtering & Projections](30_filtering_projections.md); [Errors in Variables](35_errors_variables.md)

## U

- **uncertainty principle** — [Uncertainty Principle](05a_uncertainty_principle.md)
- **unit circle (sorting roots by)** — [Wold MA](17_wold_ma.md); [Ch. IX](ch09_difference_equations.md)
- **unit root** — [Solutions](38_exercise_solutions.md); [Explosive Decomposition](36d_explosive_decomposition.md)

## V

- **variance decomposition by frequency** — [Spectrum](06_spectrum.md)
- **vector autoregression** — [Introduction](01_introduction.md); [Multivariate Prediction](29_multivariate_prediction.md); [Interpreting VARs](36a_interpreting_vars.md)
- **vector moving average representation** — [Vector SDEs](23_vector_sde.md); [Granger Causality](27_granger_causality.md); [Exact Linear RE](36b_exact_linear_re.md)
- **vector stochastic difference equation** — [Vector SDEs](23_vector_sde.md); [Compact Notation](24_compact_notation.md)
- **Volterra series and kernels** — [Nonlinear Representations](39_nonlinear_representation.md)

## W

- **Wallace–Sargent value** — [Money Demand in Hyperinflations](36c_cagan_hyperinflation.md)
- **white noise** — [Preliminary Concepts](02_preliminary_concepts.md)
- **Whiteman, Charles H.** — [Lucas & Whiteman](36e_lucas_whiteman_quantity_theory.md)
- **Whittle, Peter; Whittle's spectral factorization** — [Representation Theory](13_representation_theory.md); [Linear Prediction](14_linear_prediction.md); [Optimal Filtering](26_optimal_filtering.md)
- **Wiener cascade** — [Nonlinear Representations](39_nonlinear_representation.md)
- **Wiener filter** — [Solutions](38_exercise_solutions.md)
- **Wiener, Norbert** — [Introduction](01_introduction.md); [Linear Prediction](14_linear_prediction.md); [Granger Causality](27_granger_causality.md)
- **Wiener–Itô representation** — [Nonlinear Representations](39_nonlinear_representation.md)
- **Wiener–Kolmogorov prediction formula** — [Linear Prediction](14_linear_prediction.md); [Prediction Examples](15_prediction_examples.md); [Signal Extraction](19_signal_extraction.md); [Multivariate Prediction](29_multivariate_prediction.md); [Optimal Filtering](26_optimal_filtering.md)
- **Wold, Herman; Wold decomposition (theorem, representation)** — [Representation Theory](13_representation_theory.md); [Linear Prediction](14_linear_prediction.md); [Wold MA](17_wold_ma.md); [Wold ARMA](18_wold_arma.md); [Chain Rule](21_chain_rule.md)

## Y

- **yield curve** — [Ch. X](ch10_regressions.md)
- **Yule–Walker equations** — [Preliminary Concepts](02_preliminary_concepts.md); [Compact Notation](24_compact_notation.md); [One-Sided Projections](32_one_sided_projections.md)

## Z

- **z-transform** — [Fourier & z-Transforms](04_fourier_z_transforms.md); [Inverse z-Transform](05_inverse_z_transform.md); [Vector SDEs](23_vector_sde.md)