Part V. Advanced Single Equation Analysis

The following sections describe EViews tools for the estimation and analysis of advanced single equation models and time series analysis:

•Chapter 24. “ARCH and GARCH Estimation,” beginning on page 195, outlines the EViews tools for ARCH and GARCH modeling of the conditional variance, or volatility, of a variable.

•Chapter 25. “Cointegrating Regression,” on page 219 describes EViews’ tools for estimating and testing single equation cointegrating relationships. Multiple equation tests for cointegration are described in Chapter 32. “Vector Autoregression and Error Correction Models,” on page 459

•Chapter 26. “Discrete and Limited Dependent Variable Models,” on page 247 documents EViews tools for estimating qualitative and limited dependent variable models. EViews provides estimation routines for binary or ordered (probit, logit, gompit), censored or truncated (tobit, etc.), and integer valued (count data).

•Chapter 27. “Generalized Linear Models,” on page 301 documents describes EViews tools for the class of Generalized Linear Models.

•Chapter 28. “Quantile Regression,” beginning on page 331 describes the estimation of quantile regression and least absolute deviations estimation in EViews.

•Chapter 29. “The Log Likelihood (LogL) Object,” beginning on page 355 describes techniques for using EViews to estimate the parameters of maximum likelihood models where you may specify the form of the likelihood.

•Chapter 30. “Univariate Time Series Analysis,” on page 379 describes 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.

194—Part V. Advanced Single Equation Analysis