Introduction to Eviews Updated by Jianguo Wang CSSCR September 2009

Transcription

1 What is EViews? EViews is a software package that provides tools for data analysis, regression, and forecasting. It is often seen as a canned regression package. EViews has an object oriented design. Information is stored in objects (things in computer) each a collection of information related to a particular area of analysis. Each type of object has an associated set of views and procedures that can be used with the information in that object. In this way, modeling becomes intuitive, particularly for time series data. Importing Data: In this demo, we have two data files 1) gdp_date.csv, there are time dates associated with each case/observation; 2) gdp.csv there is no time date at all. If there is no date, we can create the time and dates using with Eviews--easily. Data set gdp_date.csv: Open EViews, drag the the data file gdp_date.csv to the shadow erea of eviews. You can do this with many data formats such as other text files, as long as there are time dates there. Notice keep the files closed before your importing. Then change the names of those variables to be gdp bagel muffin. Data set gdp.csv: Open EViews. Select File/New/Workfile from the main menu. The Workfile Range dialog box opens and you need to input information about your data. Under Frequency select the Quarterly button. Under Range enter 2006Q1 as the Start date and type 2009Q4 as the End date. To import your data into the workfile, select File/Import/Read Text- Lotus-Excel from the main menu, find and then open the gdp.csv file in the Open dialog box. Under Names for series type the name of each variable, separated by a space, here, for example, gdp bagel muffin. 1

2 Given the created workfile, we then import the data from external sources. EViews shows the workfile and two series that are automatically included in each new workfile. resids and c will hold the residuals and constant from the last regression run. You haven t run a regression yet, so they are empty. 2

3 Save your objects: It is always a good idea to save your workfile or whatever objects created in Eivews. There is no undo button or go back function in Eviews. Here notice we save the created workfile as an Eview workfile named gdp_demo. Directing Output: As you work in EViews, you will need to save some of your results. To do this, you need to direct this output to a text file on your hard drive, which you can then edit in Word. Select File/Print Setup on the main menu. Under Destination select Text Spool and enter the path to the folder in which you want to save your output. In the CSSCR lab save it in C:/temp/output.txt. Now when you select Print when viewing your estimation results, they will be directed to your text file. Copy/paste your results is usually another option, sometime even more handy. Working with Data: Your workfile should now include the variables gdp, bagel, muffin. Notice the white rectangle under the menu bar at the top of the EViews desktop. This is the command window. EViews also has a nice point-and-click GUI. Try both you ll discover which works best for you. Now plot your data! Plotting your data is an often overlooked but very good practice. Plotting can help you catch errors in your data before you ve run lots of regressions that make no sense. To plot gdp, double-click on it in the workfile to open up a new window. In this window select View/Graph/Line to plot a line graph for gdp. To create a scatter plot of gdp and bagel, select both of the variables by clicking once on gdp, then use ctrl+click to highlight bagel. Now double-click on either of the highlighted variables and select Open Group. In the Group window which opens select View/Graph/Scatter. 3

4 If you would like to explore the characteristics of a variable, double-click on it in the workfile, then select View/Descriptive Stats/Histogram and Stats. Estimation (most econmetric studies in EViews starts with OLS) Suppose we want to see how CSSCR people s work is influenced by Fred s bagel purchases, we can run a regression model as gdp = const + β * bagel + ε select Quick/Estimate Equation from the main menu. In the Equation Specification dialog box list the name of the dependent variable, followed by the names of each of the regressors, separated by spaces. Include c as a regressor if your model includes a constant term. Under Estimation settings make sure that Least Squares is the selected Method. Click on OK. The estimation results appear in an Equation window. (This model could also be estimated by typing ls gdp c bagel in the command window.) It is a good idea to save this estimation as an equation object by give it a name, say, eq_bagel. So next time, we do not have to start over again in the the same workfile to bring up this model. The t-statistics is not very informative. But wait a second, we have noticed that in summer CSSCR has moved back to Savery Hall and this obviously affected CSSCR s productivity. It is often useful to view your actual data along with the fitted data and residuals from your estimation. In the Equation window select View/Actual,Fitted,Residual/Actual,Fitted,Residual Graph. Or, to view the residuals alone, we can simply plot the variable resid. Each time when we run a regression, Eviews will automatically save the residuals from the very last regression in it. Check the residual series confirms the existence of heteroskedasticity: the last two quarter CSSCR gdp are outlier compared to other observations. So we may want to correct the standard errors a little 4

5 bit. We can then go to estimate and choose Newy-West option to correct the influence of heteroskedasticity. With a p-value of , we can then conclude that bagel is very good for CSSCR s gdp. But do we miss any other variables here? We all know Fred also bought a lot of muffins. How do they affect CSSCR s production? We can run a multiple regression by typing ls gdp c bagel muffin in the command window. As before, we correct the standard errors. It turns out that after controlling for muffin, bagel is still economically and statistically significant while muffin s effect on output does not have strong statistical support. So, suppose I am writing a thesis on Are bagels better than muffin? Empirical evidence from CSSCR ; my conclusion would be yes: bagels are better in terms of improving the productivity of CSSCR. The author s view does not represent that of CSSCR or any other people working at CSSCR. Hypothesis Tests: Very often we want to do hypothesis testing to further our study. Suppose you want to test the null hypothesis that β 2 =0.3 against the alternative that β 2 0.3, that is, we want to have a better idea of the exact magnitude of bagels impact. In the Equation window select View/Coefficient Tests/Wald-Coefficient Restrictions and type the null hypothesis in the Wald Test dialog box. Note that coefficients are identified as C(1), C(2), C(3) etc. by EViews. So our test is written as C(2)=0.3. 5

6 Since we find a p-value larger than 0.66, we safely conclude that an additional bagel eaten by CSSCR staff may increase CSSCR s GDP by about 0.3. Simulating A Simple Model: First, to generate the series of error terms, N(0,1) distributed v, type in the command window: genr v = nrnd To generate the simulated series gdp_new, type in the command window: genr gpd_new = *bagel+ 2*v Appdendix: 1) Commonly used objects in Eviews Some basic objects: Workfile, Series/variables, Groups, Graphs, Equations. More advanced objects: system of equations, VAR, State Space Models, etc. 2) Some Useful EVIEWS commands smpl select a sample from the entire data range selecte the entire range 2008Q1 set sample range from begining to a certain date smpl set sample range from a certain date till the end log(x) calculates the natural logarithm of series x x(-1) refers to x lagged by one period x(-2) refers to x lagged by two periods scalar a = 21.3 sets a to a particular value genr a = b*b generates a series that is the square of b series dy = y - y(-1) the first order differenced series of y 6