MPhil computer package lesson: getting started with Eviews

Transcription

1 MPhil computer package lesson: getting started with Eviews Ryoko Ito ) 1. Creating an Eviews workfile 1.1. Download Wage data.xlsx from my homepage: and open the excel file Notice that this data is not dated. We have 3296 observations.

2 1.3. Open Eviews (Eviews 7 or Eviews 8 will do) Then from the toolbar at the top of the screen, go: File New Workfile

3 1.5. Under the heading Workfile structure type, from the dropdown box, choose Unstructured/Undated In the Observations field, enter (One extra observation point is added on purpose for now.) Then press OK.

4 1.7. You ll see a new workfile window created like this. 2. Creating series 2.1. Next, we generate series (variables) we want. They are exper, male, school, and wage. In the command area (the white long space at the top), type in: series exper Then press enter. Do the same for series male series school series wage and press enter each time. You ll see the variables we wanted being created in the workfile window.

5 2.2. In the workfile window, select the series exper, male, school, and wage simultaneously by holding down the Ctrl key and clicking on these variable names. Then right click and go: Open as Group You ll see all variables opened in one window called Group. The variables are filled with NA and there is no data yet. The data field filled with NA are currently locked. To insert data, select Edit +/- in the Group window. You ll find that the NA fields are now unlocked.

6 2.4. Go to the Wage data.xlsx file. Then copy and paste data from Excel to Eviews using the usual Ctrl + C and Ctrl V Then press Edit +/- button again to lock the variables Notice that, at the last observation points contain no data ( NA ). Leave this for now and close the Group window by clicking x on the right top corner When you see the message Delete Untitled GROUP?, just choose Yes. (If you choose Name or Store, you ll get the option to save the Group in the workfile.)

7 3. Changing the number of observations or sample range 3.1. To eliminate the last observation point that we don t need: - Click anywhere around the field that says Range: obs. - In the Workfile Structure window, change the Observations field from 3297 to Then press OK When the message Resize involves removing 1 observations. Continue? appears, choose Yes.

8 3.3. At the moment, the sample range we are working on is the entire sample range (all of 3296 observations). Suppose we want to work (e.g. run regression, plot data, see summary statistics) on a subset of this data, 200 th 500 th observations, say. To do this, - Click anywhere around the field that says Sample: obs. - In the Sample window, change the Sample range pairs field to Then press OK Now we see that the workfile is active only at 200 th 500 th observations.

9 4. Plotting data 4.1. To plot wage data, double click on wage to get the Series window in the SpreadSheet view. Then in the Series window, go: View Graph The Graph Options window appears, so select OK. Then we see the wage data between 200 th 500 th observations. (BUT you can change the sample range by moving the cursor at the bottom of the plot.)

10 5. Descriptive statistics 5.1. Some of the basic summary statistics of wage data can be obtained by clicking (in the same wage series window): View Descriptive Statistics & Tests Histogram and Stats. (Notice that there are other options like Correlogram, Unit-Root Test and Simple Hypothesis Tests available along the way. You can play with them later.) 5.2. Then the plot view changes to summary statistics.

11 5.3. You can go back to the SpreadSheet view by clicking View SpreadSheet. 6. Data transformation 6.1. Put the sample range back (Otherwise the data transformation procedure that follows below will apply only to the selected subset of data.)

12 6.2. Suppose we want to log-transform wage data, and call it lwage. To do this, in the command area, type in: series lwage = log(wage) and press enter. Then you ll see a new variable called lwage in the workfile window. (Double click lwage to see it.) 6.3. (You can do other data transformation in the command area. For example: - exponential transformation: series e_wage = exp(wage) - adding up variables: series wage_lwage = wage + lwage and so on.)

13 7. OLS regression 7.1. Note that the built-in variable resid and coefficient c are currently empty (filled with NA and zeros). They are where the regression residuals and estimated coefficients go to Suppose we want to regress wage on a constant + exper +male + school by the OLS regression. To do this, type in ls wage c exper male school in the command area Then press enter. An Equation window will pop-up, giving the estimation results and diagnostic statistics.

14 7.3. Check the resid variable and c coefficient. They are no-longer empty. They contain regression residuals and coefficient estimates (which appear in the Equation window) In the Equation window, there are different options for inspecting the regression residuals (i.e. the resid variable). To see this, in the Equation window, go: View Actual, Fitted, Residual etc. Along the way, also find that there are other options for diagnostics (e.g. Coefficient Diagnostics, Residual Diagnostics). You can play with them later.

15 7.5. Whatever you do in the above step, to get back to the original estimation output view, go: View Estimation Output Try to close the Equation window by clicking x. But suppose we want to keep this estimation output. When the message Delete Untitled EQUATION?, click Name.

16 7.7. Give it a name in the Name to identify object field. Say, eq01. Then click OK The equation will be stored as eq01 in the workfile window. By double clicking it, you ll get the equation window again.

17 7.9. Instead of saving the estimation output as an Equation, you can also Freeze the estimation output. To do this, in the Equation window, click Freeze. Then a Table window showing the estimation output appears However, in the Table window, we can no longer see options for inspecting the estimation residuals and diagnostic etc. The frozen Table window is useful when you are doing a lengthy model selection procedure by changing the equation slightly. It s easier to freeze your Equation window instead of saving the Equation window by naming it each time you change your model specification slightly We can inspect residuals also via the resid variable. For example: - Double click on resid variable - Click View Correlogram.

18 7.12. Suppose we want to see the autocorrelation structure of resiuals in the level. Then click OK You ll see the correlogram picture and diagnostics. (You can also see the summary statistics and perform unit-root test on the resi variable etc in this window, as described earlier.)

19 8. Using Eviews Help option 8.1. Suppose you want to know what Q-stat means. You can find out by the Eviews help option. To get Eviews Help window, just press F1. (Or, manually, in the main Eviews window toolbar, click Help Eviews Help Topics.)s 8.2. Then type in q stat in the search field, say. Double clicking on Residual Diagnostics will explain a lot about Q-Stat Whenever you wonder how to do things or what things mean or how things are computed in Eviews, F1 is very useful. Eviews Help window is a very good read. 9. Plot two series together 9.1. Suppose you want to see if there is some relationship between the regression residuals and the dependent variable (wage). To plot residuals against wage, first save the current residuals as a new variable called resa by tying: series resa = resid in the command area Then open resa and wage as a Group.

20 9.3. Then, in the Group window, go View Graph to get the Graph Options window In the Graph Options window, under the Graph type section, choose Scatter. Then press OK.

21 9.5. You ll find that resa and wage appear to be related To swap axes, in the Group window, go View Graph. Then under the Option Pages section, click Axes & Scaling Data scaling. In the Series axis assignment section: - click on 1 Bottom to select the variable that is currently the x-axis. (Wage in the picture below.) - then choose Left button option from the right-hand side options. - then press OK.

22 9.7. See that the axes are swapped. (Note that along the above step, there are a lot of other options to manipulate the graph. You can play with them later.) 10. Relationship between variables Suppose we want to see covariance / correlation between resa and wage. In their Group window, go View Covariance Analysis.

23 10.2. Then you ll see a lot of options in the Covariance Analysis window. Just press OK. You ll get a covariance matrix in the Group window Suppose you want to check for Granger causal relationship between two variables, resa and wage, say. Then in their Group window, go View Granger Causality. Choose lags, then press OK Note that in the above step, there are lots of other options for checking and testing relationships between the variables. You can play with them later.

24 11. In-sample fitted values If we want to get in-sample fitted values of the dependent variable (wage) from the previous regression we performed: - Go back to the workfile window - Open eq01 (or whatever you called it to save the previous Equation window). - In the Equation view, click Forecast. - Options appear (e.g. forecast name etc). Just click OK Then the Equation window turns into a plot. This shows the in-sample fitted values of wage (called wagef ) and s.e. around it. Note that, in the Workfile window, a new variable called wagef appears, which stores the in-sample fitted values of wage Remember, you can always go back to the original estimation output view in the Equation window by going View Estimation Output.

25 12. Coefficient restrictions Suppose we want to test whether the coefficients on the male and school variables take the same value. They are the 3 rd and 4 th coefficients in my original Equation window (displayed below) To test this coefficient restriction, in the Equation window, go: View Coefficient Diagnostics Wald Test Coefficient Restrictions. (Note that, along this step, there are lots of other testing options like the Likelihood ratio test and options for Residual Diagnostics etc. You can play with them later.)

26 12.3. In the Wald Test window that pops up, type in: c(3) = c(4) and press OK. (Note that this command is consistent with the order of my covariates in the Equation window. To test whether the coefficients on the i-th and j-th variables are the same, type in: c(i) = c(j).) Then the Wald test results come up in the same Equation window.

27 13. Saving your workfile To save your workfile, in the Workfile window, click Save and save it. 14. Advanced stage: programming your own model (Not covered in class but you can try on your own) Suppose you have your own model, which Eviews may or may not have as part of its buit-in models and functions. In that case you can build your own Eviews program to estimate it. We ll see one example here: GARCH model for financial data. GARCH is a very popular model for studying high-frequency financial data. The model specifications are found in, for instance, - In the Eviews Help option (press F1 ) and search keywords like arch will bring up explanations. - (Prof. Engle s note on GARCH) Download an Eviews workfile, Dow.wf1, and a program file called garch.prg from my homepage: To open Dow.wf1 in Eviews, in the Eviews window, go: - File Open Eviews Workfile go to the location of Dow.wf1 and open it. - File Open Programs go to the location of garch.prg and open it.

28 14.4. The workfile contains two variables close and open. They are daily Dow index (time series) recorded at market opening and closing (available from Yahoo! Finance ). The sampling length is quite long (but I can t remember what it was.)

29 14.5. If you press Run in the Program window of the garch.prg file, Eviews will think for a few seconds. Then it will fit Gaussian GARCH(1,1) model to the Dow return data constructed by log-differencing the closing index. The estimation results come up as the Logl object with diagnostic statistics You can change model specification (you can create very advanced model specifications) by editing commands in the Program window You can learn what each line of command in the garch.prg means by resorting to Eviews Help option (just click F1 button). Search keywords like logl will give you lots of good tips. END Good luck!