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(20131209) Practical Examples Using Eviews

This document provides examples of using Eviews to estimate econometric models. It shows how to: 1. Estimate regressions and test coefficients to analyze relationships between variables like stock returns and futures prices. 2. Construct ARMA models to forecast house price changes and select the best model using information criteria. 3. Estimate simultaneous equation models and VAR models to examine relationships between inflation and stock returns, and exchange rates respectively.

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iceineag
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220 views

(20131209) Practical Examples Using Eviews

This document provides examples of using Eviews to estimate econometric models. It shows how to: 1. Estimate regressions and test coefficients to analyze relationships between variables like stock returns and futures prices. 2. Construct ARMA models to forecast house price changes and select the best model using information criteria. 3. Estimate simultaneous equation models and VAR models to examine relationships between inflation and stock returns, and exchange rates respectively.

Uploaded by

iceineag
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Practical Examples using Eviews

Presented by
2013/10/24
P.40-P.43
File: SandPhedge.xls
Estimation of an optimal hedge ratio
This section shows how to run a bivariate regression using
Eviews.
We focus on the relationship between SPOT and FUTURES:
1. Level regression (long run relationship)
= +
1. Return regression (short run relationship)
, = + ,
in
The appropriate hedge ratio will be the slope estimate, ,
a regression where the dependent variable is the spot returns
and the independent variable is the futures return.
Test whether = 1 or not, we can View Coeff. Tests
Coeff. Restrictions. Type C(2)=1.
Input Data
Descriptive Statistics
Genr type rfutures=100*dlog(futures)
rspot=100*dlog(spot)
Do not forget to Save the workfile.
Run Regression
If you want to save the summary statistics, you must name
them by clicking Name and then choose a name, e.g.
Descstats.
We can now proceed to estimate the regression.
Name returnreg

In the same way, we also obtain levelreg


Test Coefficients of Regression
Suppose now that we wanted to test the null hypothesis that
0 : = 1 rather than 0 : = 0.
P.77-P.80
File: capm.xls
Example for CAPM
Generate New Variables
RSANDP=100*DLOG(SANDP)
RFORD=100*DLOG(FORD)
USTB3M=USTB3M/12
ERSANDP=RSANDP-USTB3M
CAPM test
To estimate the CAPM equation, click on Equation
= + +

Type in the equation window
ERFORD C ERSANDP
Or
100*DLOG(FORD)-USTB3M C 100*DLOG(SANDP)-
USTB3M
P.99-P.104
File: macro.xls
Period: 1986/03~2007/04
APT-style Model
In the spirit of APT, the following example will examine
regressions that seek to determine whether the monthly returns
on Microsoft stock an be explained by reference to unexpected
changes in a set of macroeconomic and financial variables.
Press Genr or type in the Command window
Genr dspread = d(baa_aaa_spread)
Genr dprod = d(industrial_production)
Genr dcredit = d(consumer_credit)
Genr rmsoft = 100*dlog(microsoft)
Genr rsandp = 100*dlog(sandp)
Genr dmoney = d(m1money_supply)
Genr inflation = 100*dlog(cpi)
Genr term = ustb10y ustb3m
Press Genr
Genr dinflation = d(inflation)
Genr mustb3m = ustb3m/12
Genr rterm = d(term)
Genr ermsoft = rmsoft mustb3m
Genr ersandp = rsandp mustb3m
Use Least Squares over the whole sample period.
= + 1 + +
(ermsoft c ersandp dprod dcredit dinflation dmoney dspread
rterm)
Stepwise regression
P.136-P.139
File: macro.wfl
Period: 1986/03~2007/04
Testing for heteroscedasticity
If the residuals of the regression have systematically changing
variability over the sample, that is a sign of heteroscedasticity.
30

20

10

-10

-20

-30

-40

-50

-60
86 88 90 92 94 96 98 00 02 04 06

ERMSOFT Residuals

It is hard to see any clear pattern, so we need to run the


formal statistical test. (Whites test)
To test for heteroscedasticity using Whites test.
V
V ambiguous!!
X
Using Whites modified standard error
estimates in EViews

The heteroscedasticity-consistent s.d. errors are smaller than OLS


Durbin-Watson (DW) is a test for first order autocorrelation.
Detecting autocorrelation
Breusch-Godfrey test:
= 1 1 + 2 + + + , ~(0, 2 )
0 : 1 = 2 = = = 0
1 : 1 0 0
Testing for non-normality
The Bera-Jarque normality tests
View Residual Tests Histogram Normality
Test
Multicollinearity
Quick/Group Statistics/Correlations
In the dialog box that appears:
Ersandp dprod dcredit dinflation dmoney dspread rterm
RESET tests (p.177)
View Stability tests Ramsey RESET test
It would be concluded that
the linear model for the Microsoft returns
is appropriate.
Stability tests (p.188)
View Stability Tests Chow Breakpoint Test
P.234-P.238
File: UKHP.wfl
Period: 1991/03~2007/05
Constructing ARMA models in Eviews
We use the monthly UK house price series in the chapter one
to build an ARMA model for the house price changes.
1. Autocorrelation
2. Partial autocorrelation
Estimating the autocorrelation
coefficients for up to 12 lags
Double click DHP View/Correlation Lag 12 OK
Using information criteria to decide on
model orders
Quick Estimate Equation
This specify an ARMA(1,1). The output is given in the table
below.
One more example: dhp c ar(1) ar(2) ar(3) ar(4) ar(5) ma(1)
ma(2) ma(3) ma(4) ma(5)
Using AIC to decide which
one model is good.
Smaller AIC imlies
better model.

AIC
Forecasting using ARMA models in
Eviews
Suppose that the AR(2) model selected for the house price
percentage changes series were estimated using observations
Feb. 1991-Dec. 2004, leaving 29 remaining observations to
construct forecasts.
Quick Equation Estimation
Forecast dynamic/static
Simultaneous equations modelling
using EViews
What is the relationship between inflation and stock returns?
In EViews, to do this we need to specify a list of instruments,
which would be all of the variables from the reduced form
equation. The reduced form equations:

Quick Estimation Equation


The coefficients are all not significant.
The fitted relationship between the stock returns and
inflation series is positive (albeit not significantly so).
The adjusted 2 is negative.
P.308
File: currencies.wfl
Period: 1991/03~2007/05
Vector autoregressive models
The simplest case:

Open currencies.wfl Quick Estimate VAR


How to decide the length of lagged term?
View Lag Structure Lag Length Criteria 10
Conclusion: choose VAR(1).
Granger causality test very little evidence of lead-lag
interactions between the series.

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