EViews 7 User’s Guide II

EViews 7 User’s Guide II

Copyright © 1994–2009 Quantitative Micro Software, LLC

All Rights Reserved

Printed in the United States of America

ISBN: 978-1-880411-41-4

This software product, including program code and manual, is copyrighted, and all rights are reserved by Quantitative Micro Software, LLC. The distribution and sale of this product are intended for the use of the original purchaser only. Except as permitted under the United States Copyright Act of 1976, no part of this product may be reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of Quantitative Micro Software.

Disclaimer

The authors and Quantitative Micro Software assume no responsibility for any errors that may appear in this manual or the EViews program. The user assumes all responsibility for the selection of the program to achieve intended results, and for the installation, use, and results obtained from the program.

Trademarks

Windows, Excel, and Access are registered trademarks of Microsoft Corporation. PostScript is a trademark of Adobe Corporation. X11.2 and X12-ARIMA Version 0.2.7 are seasonal adjustment programs developed by the U. S. Census Bureau. Tramo/Seats is copyright by Agustin Maravall and Victor Gomez. Info-ZIP is provided by the persons listed in the infozip_license.txt file.

Please refer to this file in the EViews directory for more information on Info-ZIP. Zlib was written by Jean-loup Gailly and Mark Adler. More information on zlib can be found in the zlib_license.txt file in the EViews directory. All other product names mentioned in this manual may be trademarks or registered trademarks of their respective companies.

Quantitative Micro Software, LLC

4521 Campus Drive, #336, Irvine CA, 92612-2621 Telephone: (949) 856-3368

Fax: (949) 856-2044 e-mail: sales@eviews.com web: www.eviews.com

April 2, 2010

Preface

The first volume of the EViews 7 User’s Guide describes the basics of using EViews and describes a number of tools for basic statistical analysis using series and group objects.

The second volume of the EViews 7 User’s Guide, offers a description of EViews’ interactive tools for advanced statistical and econometric analysis. The material in User’s Guide II may be divided into several parts:

•Part IV. “Basic Single Equation Analysis” on page 3 discusses the use of the equation object to perform standard regression analysis, ordinary least squares, weighted least squares, nonlinear least squares, basic time series regression, specification testing and forecasting.

•Part V. “Advanced Single Equation Analysis,” beginning on page 193 documents twostage least squares (TSLS) and generalized method of moments (GMM), autoregressive conditional heteroskedasticity (ARCH) models, single-equation cointegration equation specifications, discrete and limited dependent variable models, generalized linear models (GLM), quantile regression, and user-specified likelihood estimation.

•Part VI. “Advanced Univariate Analysis,” on page 377 describes advanced tools for univariate time series analysis, including unit root tests in both conventional and panel data settings, variance ratio tests, and the BDS test for independence.

•Part VII. “Multiple Equation Analysis” on page 417 describes estimation and forecasting with systems of equations (least squares, weighted least squares, SUR, system TSLS, 3SLS, FIML, GMM, multivariate ARCH), vector autoregression and error correction models (VARs and VECs), state space models and model solution.

•Part VIII. “Panel and Pooled Data” on page 563 documents working with and estimating models with time series, cross-sectional data. The analysis may involve small numbers of cross-sections, with series for each cross-section variable (pooled data) or large numbers systems of cross-sections, with stacked data (panel data).

•Part IX. “Advanced Multivariate Analysis,” beginning on page 683 describes tools for testing for cointegration and for performing Factor Analysis.

2—Preface