What’s New in EViews 5.0
EViews 5.0 features the most extensive changes and improvements since the initial release of EViews in 1994. New data structures and objects provide you with powerful new tools for working with data, while new graphics and table support give you additional control over the display of information. Other improvements include powerful new estimation techniques and new methods of working with samples.
What’s New in 5.0
The following is an abbreviated list of the major new features of EViews 5.0:
Workfiles
•Multi-page workfiles.
•Support for complex data structures including irregular dated data, cross-sec- tion data with observation identifiers, dated and undated panel data.
•Merge, append, subset, resize, sort, and reshape (stack and unstack) workfiles.
•Data translation tools allow you to read from and write to various spreadsheet, statistical, and database formats: Microsoft Access files, Gauss Dataset files, ODBC Dsn files, ODBC Query files, SAS Transport files, native SPSS files, SPSS Portable files, Stata files, Excel files, raw ASCII text or binary files, HTML, or ODBC Databases and queries.
General Data
•Alphanumeric (string) series, with an extensive library of string manipulation functions.
•Date series, with extensive library of date manipulation functions.
•Dynamic frequency conversion and match merging using link objects. Frequency conversion and match merge links will be updated whenever the underlying data change.
•Auto-updating series that depend upon a formula are automatically recalculated whenever the underlying data change.
•Value labels (e.g., the labels “High”, “Med”, “Low”, corresponding to the values 2, 1, 0) may be used with numeric and alpha series. Function support allows you to work with either the underlying or the mapped values.
2— What’s New in EViews 5.0
•Improved sample object processing allows for the direct use of sample objects in series expressions. In addition, sample objects may now be used with set operators, allowing you to create sample objects from existing sample objects using the operators “AND”, “OR”, and “NOT”.
•New family of by-group statistics facilitates assigning to observations the values from the computation of subgroup statistics.
•Automatic creation of sets of dummy variables for use in estimation.
String Support
•Full support for strings and string variables.
•New library of string functions and operators.
•Functions for converting between date values and string representations of dates.
Date Support
•Full support for calendar dates with extensive library of functions for manipulating dates and date values.
•Functions for converting between date values and string or numeric representations of dates.
Panel and Pooled Data
General
•Workfile tools for reshaping data to and from panel (stacked) and pool (unstacked) workfile structures.
•Panel unit root tests (Levin-Lin-Chu, Breitung, Im-Pesaran-Shin, Fisher-type tests using ADF and PP tests—Maddala-Wu and Choi, Hadri).
•Linear equation estimation with additive cross-section and period effects (fixed or random). Random effects models available in linear specifications only. Two-way random and mixed effects models supported for balanced linear data only, all others for both balanced and unbalanced data.
•Quadratic unbiased estimators (QUEs) for component variances in random effects models (Swamy-Arora, Wallace-Hussain, Wansbeek-Kapteyn).
•Generalized least squares for models with cross-section or period heteroskedastic and correlated specifications. Support for both one-step and iterative weighting.
•Two-stage least squares (2SLS) / Instrumental variables (IV) estimation with crosssection and period fixed or random effects. Generalized 2SLS/IV estimation of GLS specifications.
What’s New in 5.0—3
•Most specifications support estimation with AR errors using nonlinear least squares on the transformed specification.
•Robust standard error calculations including seven types of White and Panel-cor- rected standard errors (PCSE).
Panel Specific
•Structured workfiles support large cross-section panels.
•Panel data graphs. Various plots by cross-section in multiple graphs or combined. Graphs of summary values across cross-section.
•Nonlinear estimation with additive effects.
•GMM estimation for models with cross-section or period heteroskedastic and correlated specifications. Support for both one-step and iterative weighting.
•Linear dynamic panel data estimation using first differences or orthogonal deviations and period specific instruments (Arellano-Bond one-step, one-step robust, twostep, iterated). Flexible specification of instrument list.
Pool Specific
•Define groups of cross-sections for dummy variable processing.
•Support for period specific coefficients and instruments.
GARCH Estimation
•Student's t and Generalized Error Distribution GARCH estimation with optional fixed distribution parameter.
•More flexible EGARCH and TARCH specifications allow for estimation of a wider range of econometric models.
•Power ARCH specifications with optional fixed power parameter.
Other Statistical and Econometric
•Confidence ellipses showing the joint confidence region of any two functions of estimated parameters from an EViews estimation object.
•ARMA equation diagnostics. Display the inverse roots of the AR and/or MA characteristic polynomial; compare the theoretical (estimated) autocorrelation pattern with the actual correlation pattern for the structure residuals; display the ARMA impulse response to an innovation shock.
•Band-pass (frequency) filters for a series object. EViews currently computes the Bax- ter-King, Christiano-Fitzgerald fixed length, and the Christiano-Fitzgerald asymmetric full sample filters.
4— What’s New in EViews 5.0
Graphs and Tables
•Filled area graphs.
•Boxplots.
•Enhanced table customization, with control over font face, font size and color, cell background color, and borders, with cell merging and annotation.
•Improved interactive and command interface for working with tables. Selecting cells, resizing columns, and changing numeric and other display formats should be much more straightforward and intuitive.
•Enhanced graph output. Write graphs as PostScript files. Improved Windows Metafile support now comes with control over output sizing.
•Tables may be written to HTML and RTF files.
General
• Improved speed of operation.
Compatibility Notes
Relational Comparisons with Missing Values
The behavior of relational operators with missing values has changed in EViews 5. Unlike previous versions, equality (“=”) and inequality (“<>”) comparisons of series and matrix objects involving NA values propagate the NA values. Note that this behavior differs from previous versions of EViews where NAs were treated as ordinary values for purposes of these comparisons. The change in behavior was necessary to support the use of string missing values.
There is one special case where these comparisons have not changed. If you test equality or inequality against a literal NA value (e.g., “X=NA”) in Version 4 or 5, the literal is treated as an ordinary value for the purpose of equality and inequality comparison.
You may obtain the Version 4 behavior using the special functions @EQNA and @NEQNA to perform equality and strict inequality comparisons without propagating NAs. In addition, programs may be run in version 4 compatibility mode to enable the earlier behavior of comparisons for element operations. Note that compatibility mode does not apply to string comparisons that assign values into EViews numeric or alpha series. See “Comparisons Involving NAs/Missing Values” on page 96 of the Command and Programming Reference for additional detail.
See also “Missing Values” on page 134 for additional discussion.
Compatibility Notes—5
String and Replacement Variable Substitution
There are two important changes in the way EViews 5 handles string and replacement variable substitution. First, the use of contextual information to distinguish between the use of string and replacement variables has been eliminated. Second, text which is potentially a string variable is no longer substituted for when used inside of a string expression.
To address compatibility issues in existing programs, EViews 5 provides a compatibility mode so that programs may be run using the version 4 substitution rules.
See “Version 5 Compatibility Notes” on page 93 of the Command and Programming Reference for a detailed discussion.
Case-sensitive String Comparisons
In previous versions of EViews, batch program statements could involve string comparisons. In these settings, the comparisons were performed caselessly. Version 5 string comparisons are now case-sensitive.
Programs may be run in version 4 compatibility mode to enable caseless comparisons. Note that compatibility mode does not apply to string comparisons that assign values into EViews numeric or alpha series.
See “Case-Sensitive String Comparison” on page 96 of the Command and Programming Reference for additional detail.
Workfile Compatibility
With some exceptions, EViews 5 workfiles are backward compatible with EViews 4:
•Multi-page workfiles are not fully compatible with earlier versions of EViews since previous versions will only read the first page in a multi-page workfile. To ensure backward compatibility, you may save individual workfile pages as separate workfiles.
•Workfiles which are saved in compressed format are not backward compatible and cannot not be read by earlier versions of EViews.
In addition, the following objects are new, or have been modified in version 5, so that transporting them back into version 4 may result in data loss:
•Tables.
•Pools.
•Equations. Equations that employ new features (some ARCH equation estimators, panel equations) are not backward compatible.
•Valmaps.
6— What’s New in EViews 5.0
•Alphas.
•Links.
If you save workfiles with tables, newly estimated pools, panel, and some ARCH equations, and attempt to read them in EViews 4.1 or earlier, EViews will delete the incompatible object, and notify you of the deletion. To prevent loss, we recommend that you make a copy of any workfiles that contain these objects if you would like to use these workfiles in both version 4 and 5 of EViews.
Miscellaneous Issues
•The default seeding of the pseudo-random number generators has changed. See rndseed (p. 425) in the Command and Programming Reference for details.
•We have updated some of our matrix computational routines from Linpack/Eispack to Lapack. A consequence of this change is that the eigenvectors (which are not uniquely identified) may appear to be different from version 4 and, in particular, the signs may flip. The routines that are most likely to be affected by this change are the principal components and singular value decomposition.
•The critical values displayed in the cointegration test output were based on Oster- wald-Lenum (1992) up to EViews 4. These have been replaced by the more accurate ones based on the response surface coefficients of MacKinnon-Haug-Michelis (1999); see coint (p. 245) in the Command and Programming Reference for details.
•The system log likelihood statistics reported at the bottom of the VAR/VEC estimation output have been changed. In version 4, the log likelihood and information criteria were based on an estimate of the residual covariance matrix that was adjusted for degrees of freedom (for the estimated parameters). In version 5, these statistics are now based on the maximum likelihood estimate of the innovation covariance matrix which does not adjust for degrees of freedom.
•Previously, the standardized residual views and procedures of equations only adjusted for models with prior weighting (weighted least squares) and models with time-varying variances (ARCH, GARCH, etc.). We have modified the behavior of these routines so that standardization yields residuals which are always divided by the estimate of the residual standard deviation (03/15/2005).
•The definition of the R-squared statistic in weighted least squares models has been modified to align with the calculation of the F-statistic test statistic of the significance of the non-constant regressors. The F-statistic and test based on this statistic have not been changed. In addition, the residual based tests for ARCH, serial correlation, and heteroskedasticity in weighted least squares models have been updated to use the new calculations. You may find that your results for these latter tests in
Compatibility Notes—7
weighted least squares models differ from previous versions of EVIews (03/15/ 2005).
8— What’s New in EViews 5.0