Introduction: EViews. Dr. Peerapat Wongchaiwat

Transcription

1 Introduction: EViews Dr. Peerapat Wongchaiwat

2 Today s Workshop Basic grasp of how EViews manages data Creating Workfiles Importing data Running regressions Performing basic tests Creating/changing Series Working with commands

3 Workfile Thinking About EViews Central place to keep all of your work Objects Series (Numeric, no alpha series in student version) Equations Graphs Groups *Always comes with series for a constant, c, and residuals, resid

4 Workfiles Creating a Workfile File New Workfile Data Structure Time Series Dated/Regular Frequency + Date Range Cross-Sectional Undated/Irregular Range of observations Save & Name (do not have to do this for this exercise) New Pages (Eviews 6) By clicking on the New Page label at the bottom of the Workfile you can create new pages Select By Frequency

5 Importing Data Copy/Past Method 1. Open new Empty Group Quick Empty Group Click on Cell 1 and press the Up arrow on keyboard 2. Open Excel Make sure variable names are one constant String (no spaces!) Troubleshoot for other problems 3. Copy Data 4. Paste into Eviews Cell 1

6 Importing Data Import Directly 1. Count the number of variables and CLOSE Excel file 2. Proc Import Read Text-Locus-File 3. Browse for Excel file 4.

7 Group Descriptive Statistics Stores select series together Object New Object Group Select Series Name Descriptive Statistics When group spreadsheet is open: View Descriptive Statistics Common Sample Correlogram

8 Create a new Equation Regressions In your Workfile: Object New Object Equation Separated by spaces: *Dependent variable *Constant, c *Independent variables (or Group) Type of Regression Sample Range

9 Regression Tests & Fixes Output To Run Tests Regression Summary Coefficient Summary Useful to Create Model Estimate: Modify Regression This View SAVE! Statistics Name = Save to Workfile

10 Regression Tests & Fixes Looking at Residuals In Equation View: View Actual, Fitted, Residual Actual, Fitted, Residual Table Plotting Resid Vs. Fitted Values Generate fitted values In Equation View: Forecast OK (is named variable f) In Workfile: Object New Object Graph Graph: resid variable f Options Type Scatter

11 Regression Tests & Fixes Heteroskedasticity In Equation View: View Residual Tests White Heteroskedasticity (no cross) Look at Chi-square value from a table (want a small value) Fix: Click on Estimate Click on Options check box for Heteroskedasticity consistent coefficient covarariance OK

12 Normality Regression Tests & Fixes View Residual Tests Histogram-Normality Test Look at Jarque-Bera stat (H0: Normal distribution) Fix: Depending on skew, you can adjust variables (ex: square, log, etc) or add/delete variables

13 Regression Tests & Fixes Correlation & Multicolinearity Create Correlation Matrix: Quick Group Statistics Correlations Off-diagonal values should be less than 0.5 Fix: Talk to your advisor

14 Changing/Creating Variables Edit Mode In Spreadsheet: Toggle Edit+/- CAREFUL! No undo Generate new variable In Workfile: Click on Genr Enter equation: new variable name = equation Regular math function keys Lag: variable(-1)

15 Commands Top, Left-Hand Command Box Single commands Batch (program) Syntax: Command (Option) Argument

16 Commands Frequently Used Commands: show variable genr variable = equation sample n1 n2 n1 and n2 represent the start and end of range Or qualifiers such that: sample variable if >15 Statistical Operations: equation name.ls(h) dependent c independent variables cor variables group variables

17 Help! For general instruction or commands: EViews PDFs! Help Users Guide (pdf) Command & Programming Reference (pdf)

18 Import data # Exercise # Run Descriptive Statistics Run Simple regression GDP = c + a*cp + resid Plot fitted values vs. residuals Check for Heteroskedasticity and fix if necessary Check for Multicolinearity Check for Normality

19 All Done!