Lab Session 1. Introduction to Eviews
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1 Albert-Ludwigs University Freiburg Department of Empirical Economics Time Series Analysis, Summer 2009 Dr. Sevtap Kestel To see the data of m1: 1 Lab Session 1 Introduction to Eviews We introduce the basic application of eviews by an empirical example: We have data for m1 (money supply), gdp (gross domestic product), rs (interest rate), pr (price) from 1952q1 until 1996q4 Explained variable: log(m1) Explanatory variables: log(gdp), rs, dlog(pr) Remark: dlog(pr) is first difference of log(pr), which is actually the inflation rate. 1. Getting data into eviews We can use commands from three menus: Main menu & Workfile window & (group/series) toolbar Importing data from Excel: Method 1: Main menu: File/new/workfile frequency: quarterly, start date: 01/01/1952, end date: 12/30/1996 Method 2: File/new/import/read text-lotus-excel Names for series: gdp pr m1 rs Main menu: File/open/eviews workfile /files of type: excel To save the group in the list of workfile: group toolbar: name To save the workfile: workfile window: save To open the workfile: main menu: File/open/workfile 2. Examining the data To see the contents of series m1: Double click on the m1 icon in the workfile window or main menu: quick/show m1
2 Toolbar: view/spreadsheet To examine various characteristics of m1: can use both entries in the main menu and toolbar Toolbar: View/descriptive statistics& tests/stats table Toolbar: view/descriptive statistics & tests/histogram and stats Series: M1 Sample 1952Q1 1992Q4 Observations 164 Mean Median Maximum Minimum Std. Dev Skewness Kurtosis Jarque-Bera Probability Toolbar: View/graph distribution kernel density.0024 M Density ,000 1,200 1,400 2
3 Toolbar: View/graph line & symbol M1 1,200 1, To work with expressions involving series: log(m1) Main menu: quick/show log(m1) To work with a group of expressions involving series: Main menu: quick/show log(m1) log(gdp) rs dlog(pr) To display a single graph containing line plots of all 4 series: Group toolbar: view/graph line & symbol 3
4 LOG(M1) RS LOG(GDP) DLOG(PR) Group toolbar: view/graph multiple graphs (to display each series in an individual graph) To display descriptive statistics for the group: Group toolbar: view/descriptive stats/individual samples (computed using individual data for each series, number of observations may be different) Group toolbar: view/descriptive stats/common samples (computed using common data of the group, number of observations must be the same) To display the correlation matrix of the group Group toolbar: view/covariance analysis correlation LOG(M1) LOG(GDP) RS DLOG(PR) LOG(M1) LOG(GDP) RS DLOG(PR) Estimating a regression model To do a regression: Main menu: quick/estimate equation log(m1) c log(gdp) rs dlog(pr) Sample: 1952q1 1992q4 (remark: we have data from1952q1 to 1996q4, but we use subsample so that we can do forecast from 1993q1 to 1996q4 later using estimation result here) 4
5 Dependent Variable: LOG(M1) Method: Least Squares Date: 10/20/97 Time: 07:43 Sample(adjusted): 1952:2 1992:4 Included observations: 163 after adjusting endpoints Coefficient Std. Error t-statistic Prob. C LOG(GDP) RS DLOG(PR) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic To see the graph of the fitted and the residual: Equation toolbar: view/actual, fitted, residual/actual, fitted, residual graph Residual Actual Fitted Specification and hypothesis tests: 5
6 Durbin-Watson statistic or Breusch-Godfrey serial correlation LM test Modifying the equation: Introducing lags or including autoregressive or moving average Forecasting: Equation toolbar: forecast Choosing sample: 1993q11996q4 Choosing dynamic forecast log(m1) Forecast: M1F Actual: LOG(M1) Forecast sample: 1993Q1 1996Q4 Included observations: 16 Root Mean Squared Error Mean Absolute Error Mean Abs. Percent Error Theil Inequality Coefficient Bias Proportion Variance Proportion Covariance Proportion Q1 93Q3 94Q1 94Q3 95Q1 95Q3 96Q1 96Q3 M1F ± 2 S.E Q1 93Q3 94Q1 94Q3 95Q1 95Q3 96Q1 96Q3 M1F+2*M1SE M1F-2*M1SE LOG(M1) 6
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