EViews :

2550

 EViews :

ii

1.
2. EViews
3. EViews
3.1 Workfile
3.2 Objects Series

Spreadsheet
Copy Paste Spreadsheet EViews
EViews
Transform
3.3
3.4
4. (Ordinary Least Square Method)
4.1
4.2
4.3 EViews
4.4 EViews
4.5
4.6
4.7 Wald Test
5. Multicollinearity
5.1 Multicollinearity
5.2 Multicollinearity
Simple Correlation Coefficients
Variance Inflation Factors (VIF)
5.3 Multicollinearity

ii
1
1
4
4
8

18
21
24
24
24
25
28
28
29
32
34
34
34

40

 EViews :

iii

6. Heteroskedasticity
6.1 Heteroskedasticity
6.2 Heteroskedasticity
6.3 Heteroskedasticity
Weighted Least Square (WLS)
Heteroskedasticity-Corrected Standard Errors
7. Autocorrelation
7.1 Autocorrelation
7.2 Autocorrelation
Durbin-Watson statistic (D.W.)

Correlogram Q-statistics
Breusch-Godfrey Test
7.3 Autocorrelation
8. (Regression on Dummy Dependent Variable)
8.1 (Linear Probability Model)
8.2 (Probit and Logit Model)
9. (Time Series Analysis)
9.1
Correlogram and Q-statistics
Unit Root Test
Granger Causality Tests
9.2
(Time trend)
(Exponential smoothing)
Box and Jenkins (ARIMA)

42
42
43
45

50
50
50

54
56
57
60
64
64

75

90

 EViews :
1.





EViews Micro TSP (Time Series Processor)
.. 2524
(Time series data)
Mainframe PC (Personal Computer) Quantitative Micro
Software Co.,Ltd. TSP Micro TSP
(Cross section data) DOS
Windows
Quantitative Micro Software Co.,Ltd. TSP
EViews .. 2536
( .. 2550) EViews
6.0
EViews

2. EViews
EViews Objects
Objects Objects Series () Objects
Equation () Objects Workfile
EViews Workfile
Workfile Objects Objects
Objects
EViews Workfile Objects
EViews Version 5.1

 EViews :

EViews

Title Bar

Command

(work area)

Message Area

Clear Message

Status line

Default Database

Default Directory

Current Workfile

EViews Microsoft

Window feature Main menu, Minimize window, Maximize window, Closed

Pull down menu Microsoft
Minimize

Double-click

Close

Restore/Maximize

 EViews :

Tip EViews
Mouse Double-click
Objects Objects (),
Workfile Objects

Workfile

Objects

Objects EViews Scroll bar

Microsoft
Objects

Scroll
Arrow

Vertical
Scroll bar
Scroll arrow

Horizontal scroll bar

Scroll buttons

 EViews :

Objects CTRL
CTRL Objects
EViews ESC
/ EViews ESC
Objects EViews ALT
F4

3. EViews
EViews
EViews c:\programfile\EViews5\Example\data\demo.wf1
demo.xls
.. 1952 1 .. 1996 4
4 (M1),
(GDP), (RS) (PR)
Workfile , Objects Series ,

3.1 Workfile
EViews [ 2 2
] Workfile
Workfile
1 File/New/Workfile (Main menu) EViews

 EViews :

2 Workfile Create
Workfile Create

EViews 5.1
3
. Dated regular frequency (Default) Time series
(Start) (End)

Annual ()
Semi Annual ()
Quarterly ()
Monthly ()
Weekly ()
Daily (5 day weeks) ( 5 )
Daily (7 day weeks) ( 7 )
Integer date ()

Start date End date

YYYY
YYYY:S
YYYY:Q
YYYY:M
M/DD/YYYY
M/ DD/YYYY
M/ DD/YYYY

: YYYY= ../.., S = , Q = , M = , D =

.. 1952 1
.. 1996 4

 EViews :

. Unstructured/Undated Cross section

Data range/Observations:

200
200
Data range/Observations:

. Balanced Panel Panel/Pool

Time series ( .) Cross section (
.)

1952 1996

20

3 [: 2
.. 1952 1 .. 1996 4 Workfile
Demo 1] 1 2
Workfile Demo

EViews
Workfile (Range) (Sample)

EViews Objects 2 Objects Objects c [Coefficient vector]
0 resid [Residual series] NA

 EViews :

Objects Icons
and Names

Workfile Range
And
Current sample

Toolbar
Workfile

Workfile Objects Type c (Coefficient vector) resid (Residual series)

Objects Type
EViews
Objects
21 Objects ( Version 5.1)

Objects Objects/New Object Main menu Workfile

4 Workfile)
Workfile File/Save
File/Save As

 EViews :

File Name Save as type Workfile

: EViews Workfile *.wf1
*.prg Database *.edb
3.2 Objects Series
Objects Series
Spreadsheet Copy Paste Spreadsheet EViews


1 Series
Object/New
Object/Series

Workfile
Name for object

 EViews :

EViews Series Workfile [Series gdp]

Series gdp Double-click Series gdp Series NA (Not available)

: Quick/Empty Group (Edit Series)
(Main menu)
Series gdp
2 Series gdp
NA

Series gdp Series gdp

 EViews :

10

3 1 2 Workfile
Series ( 4 GDP, PR, M1 RS)

4 Workfile

Workfile

: Series Series
Series
Workfile

Series
Workfile
Spreadsheet
Excel Workfile
File Excel

 EViews :

11

1 Excel

B2
4
Column


1952:1 1996:4
180

File Excel
2 EViews Workfile Proc/Import/Read Text-Lotus-Excel
Workfile File/Import/Read Text-Lotus-Excel
File Excel
File

File

File

 EViews :

12

Excel Spreadsheet Import

Option
Option

Series

EViews
Series
Excel

Save Workfile

Workfile

Save Workfile

 EViews :

13

Copy Paste Spreadsheet EViews

1 Workfile
Objects/New object
Workfile
New Objects
2 Type of object
Series Name for object

2
Series 2 Series a b

Series

3 Series a b
Mouse
Open/as Group

 EViews :

14

4 3 Group A B NA
Excel Paste

Key Paste

EViews log

Mouse A B

 EViews :

15

6 Copy Excel

7 Copy Excel Paste Group

A B GDP PR
A GDP

 EViews :

16

8
Edit (Series)
Series GDP M1 PR RS

9 EViews Group Save Group

Group
Workfile Path Directory
Workfile File File EViews .wf1
File
EViews
EViews
Function Reference Help EViews
EViews Command

EViews

 EViews :

17

(^)
(*), (/)
(<), (>), (<=), (>=), (=)
and, or

>

<

<>

<=

>=

And

Or

X+Y : X Y
X-Y : Y X
X*Y : X Y
X/Y : X Y
X^Y : X Y
X>Y : 1 X Y, 0
X<Y : 1 Y X, 0
X=Y : 1 X Y , 0
X<>Y : 1 X Y , 0
X<=Y : 1 X Y, 0
X>=Y : 1 Y X, 0
X and Y : 1 X Y , 0
X or Y : 1 X Y , 0

Transform
1
Workfile Workdfile
File/Open/Workfile
(Main menu) Workfile
/ (Generate)
Quick/Generate Series
(Main menu)

Workfile
Generate Series by Equation

 EViews :

18

2
Enter equation Sample


1. (+) (-) (*) (/) X1 + X2, X1 X2, X1* X2 X1 / X2
2. ^ XX = X^2 n X n
X^n
3. SQR (X) X^(1/2)
X^(1/3) [] n X^(1/n)
4. Natural logarithm log (.) lnX = log(X)
Exponential X exp (....) X = exp(lnX)
5. Lag variable (- n) [n Lag ] Xt 1
X(-1) X t 1 Xt n X(-n)
X t n
6. Difference variable d(Variable, n) (Variable Difference n
Difference X t = X t X t1 d(X, 1)

Difference n X nt = X nt 1 X nt11
3.3

, , ,

EViews Option
Option
1 Workfile demo.wf1
2 1 n
2 GDP (
) M1 () GDP (
)
GDP
1 Series GDP Double click Series GDP Open
Series GDP
2 View/Graph/Line

 EViews :

19

3
Mouse Options
Graph Options

Graph Options (Options)

Scale

M1 GDP

(GDP)
(M1) GDP M1

 EViews :

20

1 Group Series M1 GDP Series M1 GDP Open/

as Group Group: UNTITLED

UNTITLED Default Group

Group Object Name

Group
Name to identify object
24
16 2 3

Group

Objects Group
Workfile
Workfile
Workfile Objects
Group gdpm1

 EViews :

21

2 View/Graph/Scatter/Scatter
with Regression Group: GDPM1
Scatter
() GDP M1
Regression
EViews Optimal
Linear Scaling Default
Regression
Graph Options
3 EViews Global Fit Options
Transformations

Transformations Transformations

Transformations None
(Scatter) Regression
GDP M1

3.4

EViews

 EViews :

22

1 Group Series GDP M1 PR RS Series GDP M1 PR RS

Mouse Open/as Group Group:
UNTITLED Group

2


View/Multiple Graphs/Line
Group Objects
EViews
Series

 EViews :

23

3
View/Descriptive Stats
/Individual Sample
Group Object EViews
Series
EViews

(Mean),
(Median), (Maximum),
(Minimum),
(Standard Deviation), (Skewness),
(Kurtosis)
(Jarque-Bera: JB)
4 (Correlation matrix) View/
Correlations/Common Samples Group Object Correlation matrix

Series
Series
View/Descriptive Statistics
/Histogram and Stats
Series

 EViews :

24

EViews
Correlogram
Unit
root
Views Series EViews
Panel /Poll

4. (Ordinary Least Square Method)

[ OLS]
[: Error term ( e / )]
OLS
[
OLS]
4.1

.
[ y i = + x i + i ]
. ( Non Stochastic Variable)
.
[ Corr X i , X j 1 ] [ (Correlation

Coefficients) 0.8] Multicollinearity

. (Error term)
[ i ~ N 0, 2 , E ( i ) = 0 E ( 2i ) = 2 Homoskedasticity]

( )

.
[ Cov ( i , j ) = E ( i , j ) = 0 i j] Autocorrelation

.
4.2

(Linear)

 EViews :

Linear
Double Log
Linear Log
Log Linear
Polynomial

25

Y = + 1 X 1 + 2 X 2
ln Y = + 1 ln X 1 + 2 ln X 2
Y = + 1 ln X 1 + 2 X 2
ln Y = + 1 X 1 + 2 X 2

EViews
Y C X1 X2
log(Y) C log(X1) log(X2)
Y C log(X1) X2
Log(Y) C X1 X2
Y C X1 X1^2 X2

Y = + 1 X 1 + 2 X 12 + 3 X 2
Y = + 1 (1 / X 1 ) + 2 X 2
Inverse
Y = + 1 X 1 + 2 D1
Dummy
Dummy (Interaction with Variable) Y = + 1 X 1 + 2 D1 + 3 D1 X 1

Y C 1/X1 X2
Y C X1 D1
Y C X1 D1 D1*X1

: R.R. Johnson (2000).

R 2 , R 2 (Adjusted R 2 ), Quasi R 2 , Fstatistic AIC Akaikes Information Criterion

R2

R2 = 1
( y y ) ( y y )

R 2 (Adjusted R 2 )

R 2 = 1 (1 R 2 )

F statistic

( y y ) / k
F=
/ ( n k 1)

T 1
Tk
2

AIC (Akaikes
information criterion)

AIC = 2 lT + 2 k / T

(
Quasi R 2 )
R 2
R 2
F-statistic
P-value F-statistic <

4.3 EViews

File demo.wf1 File

.. 1952 1 .. 1996 2 4
(M1), (GDP), (RS)
(PR)

 EViews :

26

1 Workfile demo.wf1
2 Objects/New Object/Equation Workfile Equation
Quick/Estimate Equation (Main menu) EViews Equation
Specification
3
Equation specification


C
Equation
specification

4
Method
Sample

5 Objects Equation
Equation Objects
] Save Workfile
EQ1 Workfile Objects eq1 [
Workfile Objects eq1

1:

2:

3:

 EViews :

27

EViews
Objects Equation Objects 3
1:
(Dependent Variable: )
(Method: .)
(Date: Time: ..)
(Sample: )
(Included observations: ..)
2:
1 (Variable)
2 (Coefficient)
3 (Std. Error)
4 t (tstatistic) 2 3 (Coefficient /
Std. Error)
5 Probability value (Prob.) [P-value] 0 1
t-statistic t-statistic P-value
() P-value <
3: EViews 12
R Squared ( R 2 ) : Coefficient of Determination R 2 0 1 R 2
R 2 R 2
0.4 0.6 R 2 0.7 0.9
Adjusted R Squared ( R 2 ): R 2
2 R 2 R 2
2 R 2 R 2 R 2 R 2

S.E. of regression: Regression

Sum squared resid: OLS

Log likelihood:
Durbin Watson stat: Autocorrelation
D.W. 2 Autocorrelation
Mean dependent var:
S.D. dependent var:

 EViews :

28

Akaike info criterion:

Schwarz criterion:
Fstatistic:

Prob(F statistic): Pvalue Fstatistic P-value

4.4 EViews

OLS EViews
ln (M1t ) = 1.218 + 0.794 (ln GDPt ) 0.026RS t 2.834 ln (PR t )
(t-statistic) (42.791)(148.441)
R 2 = 0.9941
R 2 = 0.9940

(-10.565) (-2.895)
D.W. = 0.1563 F statistic = 9,834 (Prob. = 0.0000)

99 [ R2] F-statistic

99 [ F-statistic 99%
Prob. < ] D.W. DL DU [ D.W. 2]
Autocorrelation []
Autocorrelation
Autocorrelation (GDP)
(RS) (PR)


4.5

/ ( EViews
Actual) ( EViews Fitted) ( EViews
Residual) 2
1 Actual, Fitted Residual View/Actual,
Fitted,Residual/Actual,Fitted,Residual Table Equation
Actual, Fitted Residual Residual Plot

 EViews :

29

2 Actual, Fitted Residual View/Actual,

Fitted,Residual/Actual,Fitted,Residual Graph
Equation
Actual, Fitted Residual

4.6

EViews Error Correction Model (
Engle and Granger)

OLS EViews

 EViews :

30

.
1 Proc/Forecast
Equation Forecast

EViews
2
Series m1f
EViews EViews
4
Root Mean Squared Error

T+ h

(Y Y ) / h
2

t =T +1

Mean Absolute Error

T+h

Y Y
t

t =T +1

Mean Absolute Percentage Error

/h

Yt Y t
/h
Yt
t =T +1
T+h

100

T+h

Theil Inequality Coefficient

(Y Y ) / h

t =T +1
T+h

Yt2 / h +

t =T +1

T+ h

t =T +1

/h

2 (Invariant) Theil
Inequality Coefficient 0 1 Theil Inequality Coefficient 0

 EViews :

31

.
1 Proc/Make Residual Series
Equation Make Residuals

 EViews :

32

2
EViews
Series resid01 ()

RESID01

4.7 Wald Test

Wald Test
EViews
ln(GDP) [0.79420] 1 [ H0: 1 = 1 ]

1
Wald Test View/Coefficient Tests
/Wald Coefficient Resctictions Equation
Wald Test

EViews
C
,

 EViews :

33

2 [ C(2) =1]

EViews

[H0: 1 = 1] F-statistic

99% [Prob.< ]

ln(GDP)
1

1 F-statistic
Chi-square
1
F-statistic Chi-square

Wald Test
Wald Test [ Eviews 5.1]
Linear regression
Y = X +
(Linear restriction)
H 0 : R r = 0

R qk
r
q
q

Wald statistic
1
W = ( Rb r ) (Rs 2 (Xx ) R) ( Rb r )
1

(Asymptotically distributed) 2
(error: ) F-statistic
W
(~~ )/ q
F =
=
q
( )/(T k

(Restricted regression)

 EViews :

34

F-statistic

5. Multicollinearity
5.1 Multicollinearity

OLS

[ Corr ( X i , X j ) 1 ] (Perfect multicollinearity)
[ Corr ( X i , X j ) = 1 ] EViews
Near singular matrix (Orthogonal) [ Corr ( X i , X j ) = 0 ]

(Simple regression)
(Multiple regression)

(Correlation) 0 1
[ 0.80]
Multicollinearity
(Degree)

5.2 Multicollinearity

Multicollinearity 2
Simple Correlation Coefficients Variance Inflation Factors (VIF)
EViews
Simple Correlation Coefficients

3
(High Simple Correlation Coefficients) Multicollinearity

1 Equation ( EQ1) Proc/Make Regressor Group

Equation EViews Regressor
Group

 EViews :

35

2 Regressor Group View/Correlations/Pairwise Samples

Regressor Group Pairwise Correlation Matrix

3
EViews Objects
Table Pairwise Correlation Matrix

 EViews :

36

4 Objects Table Pairwise Correlation Matrix

Object Name

Object Table

5 Objects

Table Pairwise

Correlation Matrix

Objects Table Pairwise Correlation Matrix Workfile

Pairwise Correlation Matrix

Variance Inflation Factors (VIF)

VIF Multicollinearity VIF

5 Multicollinearity (Studenmund 2006: 259)
10 ( , 2546) VIF

1 Objects/New Object/Equation Workfile

LOG(GDP) C RS DLOG(PR) Equation Specification

 EViews :

37

EViews Object Equation

Objects Equation Objects Equation

EQGDP

3 Objects Equation EQGDP

VIF

VIF ( i ) =

1
(1 R 2i )

Command scalar VIFGDP =

1/(1-EQGDP.@R2) Enter

 EViews :

38

4 Enter EViews VIFGDP Objects Scalar Status Line

[] VIFGDP successfully created

 EViews :

39

5 VIF Double click Objects Scalar [vifgdp] EViews

VIFGDP Status Line []

6 1 5 2 [RS ln(PR)] Objects

Scalar VIF lnGDP [vifgdp], RS [vifrs] ln(PR) [vifpr]

 EViews :

40

VIF 3
ln(GDP)

VIF = 1.494

RS

VIF = 2.588

ln(PR) VIF = 1.930

Multicollinearity Simple Correlation Coefficients Variance Inflation Factors
(VIF) Multicollinearity
3 0.80 VIF 3
5
5.3 Multicollinearity

. Multicollinearity
Multicollinearity
Bias t-statistic
. Multicollinearity

.

. (Transforming) Multicollinearity

EViews

Linear combination
First difference
First difference of the logarithm
One-period % change (in decimal)

Yt = 0 + 1(Xt + Zt)
Yt = 0 + 1(Xt - Xt-1)
Yt = 0 + 1(lnXt - lnXt-1)
Yt = 0 + 1[(Xt - Xt-1)/ Xt]

Eviews specification*
Y C X+Z
Y C d(X)
Y C dlog(X)
Y C pch(X)

: * Equation specification Equation Estimation.

: R.R. Johnson (2000).

 EViews :

41

. Factor Analysis Principal Components

Eviews 5.1 Principal Components
Objects Group Series View/Principal Components
[ EViews 6.0 Factor Analysis]
Principal components
1,000 X1 X2
Multicollinearity Principal components Group X1
X2 Z EViews
1 Objects Group X1 X2 View/Principal Components
EViews Principal Components

2 Matrix Covariance Correlation [

EViews Default Correlation] Component series
Series Vector of eigenvalues Matrix of

EViews
eigenvectors
Series X1X2 [ Series X1
X2 Principal components
Principal components

 EViews :

Series

42

Principal components X1 X2
1 [ Eigenvalue]
Variance 98% [ Variance Prop.] X1 X2
0.707 Series X1X2 (Series)

6. Heteroskedasticity
6.1 Heteroskedasticity

(Error /Residuals: )
[ E ( 2i ) 2 ] [OLS]
[ E ( 2i ) = 2 ]
2 .
(Impure Heteroskedasticity) . (Pure
Heteroskedasticity)
(Cross sectional data)

 EViews :

43

[Time series data]

Heteroskedasticity
Unbiased Consistency Efficiency
OLS Heteroskedasticity

t-statistic

6.2 Heteroskedasticity

Eviews 5.1 Heteroskedasticity EViews 5.1

Whites Heteroskedasitcity test EViews 6.0
Heteroskedasticity Breusch Pagan Godfrey, Harvey, Glejser
Eviews 5.1 Heteroskedasticity
Whites Heteroskedasticity test
Objects Equation [Double click Objects Equation
[
] View/Residual Tests/White Heteroskedasticity (no cross terms) (cross terms) [
] Objects Equation

 EViews :

44

.16

.16

.12

.12

.12

.08

.08

.08

.04
.00

RESID01

.16

RESID01

RESID01

White Heteroskedasticity (no cross terms)

White Heteroskedasticity (cross terms)

H0: Homoscedasticity
H1: Heteroskedasticity
nR2 99% [Prob. < ]
Heteroskedasticity
RS Residual2 [Prob. < ]
RS
Whites Heteroskedasticity test
Heteroskedasticity

Heteroskedasticity

.04
.00

.04
.00

-.04

-.04

-.04

-.08

-.08

-.08

-.12
4.4 4.8 5.2 5.6 6.0 6.4 6.8 7.2 7.6

-.12

LNGDP

Scatter plot between Resid & lnGDP

12

16

RS

Scatter plot between Resid & RS

-.12
-.004

.004

.012

.020

.028

DLNPR

Scatter plot between Resid & lnPR

 EViews :

45

6.3 Heteroskedasticity

Heteroskedasticity EViews
Heterskedasticity 2 Weighted Least Square (WLS) HeteroskedasticityCorrected Standard Errors Heteroskedasitcity
Weighted Least Square (WLS)

Heteroskedasticity RS
Residual2 WLS RS Weight
EViews 2
1 Objects Equation
[Double click Objects Equation
]

[
Proc/Specify/Estimate
Object Equation
log(m1)/rs 1/rs log(gdp)/rs rs/rs dlog(pr)/rs
Equation specification

 EViews :

46

2 1 Objects Equation [Double click Objects Equation [

]
Proc/Specify/Estimate Object

Equation log(m1) c log(gdp) rs dlog(pr) Equation

specification

2 Options Equation Estimation []

Equation Options
( 1/RS) Weight

 EViews :

47

3
EViews
WLS 1/RS

1 2
1 (Indirect Weighted Least Squares)
WLS Transform
[ 1/RS]
OLS 2 WLS 1/RS
Heteroskedasticity-Corrected Standard Errors

Heteroskedasticity EViews Options 2

White [ Heteroskedasticity] Newey-West [ Heteroskedasticity
Autocorrelation] The Heteroskedasticity Consistent Covariance Matrix

[ Heteroskedasticity]
t-statistic Heteroskedasticity
Heteroskedasticity

 EViews :

48

1 Objects Equation [Double click Objects Equation

]
Proc/Specify/Estimate Object Equation
EViews Equation Estimation [ Equation specification

/ Equation specification
]

2 Options Equation Estimation [] Equation

Options
Option White Newey-West

 EViews :

49

3
EViews
Heteroskedasticity Heteroskedasticity-Corrected Standard
Errors [ White]

Heteroskedasticity

Heteroskedasticity

Heetroskedasticity Heteroskedasticity-Corrected
Standard Errors
[ Std. Error] t-statistic [
t-statistic Coefficient Std. Error]

Heteroskedasticity

Heteroskedasticity
Heteroskedasticity Heteroskedasticity-Corrected Standard Errors
Newey-West Option White Newey-West Heteroskedasticity
consistent coefficient covariance

 EViews :

50

7. Autocorrelation
7.1 Autocorrelation

(Error /Residuals: ) Hetroskedasticity

Autocorrelation
[ Cov ( i , j ) = E ( i , j ) 0 i j]
(OLS)

[ Cov ( i , j ) = E( i , j ) = 0 i j]
[ Positive Autocorrelation] [ Negative Autocorrelation]

[ Serial Correlation]
[ Spatial Correlation] 2
. Impure Autocorrelation
(Specification Error) , Cobweb,
Lagged variables . Pure Autocorrelation
Autocorrelation
Unbiased Efficiency (
) OLS
BLUE Autocorrelation
Autocorrelation
(Underestimate) t-statistic

7.2 Autocorrelation

Autocorrelation Durbin-Watson (D.W.),

EViews 5.1

Autocorrelation Durbin-Watson statistic (D.W.),
, Correlogram Q-statistics
Breusch-Godfrey Test Autocorrelation 4
Durbin-Watson statistic (D.W.)

EViews 3
[ 26 - 28] 3 EViews
Durbin-Watson statistic

 EViews :

51

Durbin-Watson Test

(First Order Autocorrelation)
H0: = 0 (Non Autocorrelation)
H1: 0 (Autocorrelation)
Durbin Watson statistic
T

D. W . =

( )
t =2

t 1

t =1

2
t

OLS

 EViews :

52

D.W . = 2(1 )

T

[ t = t1 + u t ] =

t =2

t =1

t 1

2
t

D.W. (Durbin Watson statistic) 0 4 [0 Positive Autocorrelation

4 Negative Autocorrelation]
= -1

D.W. = 4

Perfect Negative Autocorrelation

= 0

D.W. = 2

Autocorrelation

= 1

D.W. = 0

Perfect Positive Autocorrelation

D.W. 2
Autocorrelation D.W.
Durbin-Watson Test Durbin Watson
Statistic
dL > D.W. > 4 - dL (H0) Autocorrelation
4 dU > D.W. > dU (H0) Autocorrelation
Autocorrelation

dL

0
H0

dU

2
H0

4-dL

4-dU

4
H0

: (2546).

D.W. 0.156 Durbin-Watson

n=200 [n n = 180 Durbin-Watson n = 180 n
] k = 3 [k k = 3 ] dL = 1.738 dU = 1.799
D.W. 0.156 < dL [1.738] H0: Positive
Autocorrelation Autocorrelation

 EViews :

53

[ Object Equation ]
View/Actual,Fitted,Residual/Residual Graph EViews

Correlogram Q-statistics

[ Object Equation ]
View/Residual Tests/Correlogram Q-statistics Lag Specification
Lag [ EViews Default 36]
Lag

EViews Correlogram of Residuals Q-statistics

 EViews :

54

Correlogram of Residuals Autocorrelation (ACF)

Exponential Q-statistics Chi-square 0.01
[Prob. < 0.01]
Autocorrelation
Breusch-Godfrey Test

[ Object Equation
] View/Residual/Serial Correlation LM Test Lag Specification
Lag [ EViews Default 2] Lag
EViews Breusch-Godfrey Serial Correlation LM Test

H0: No Serial Correlation order [ 2]

H0: 1 = 2 = 0 (Non-Autocorrelation)
nR2 99% [Prob. < 0.01]
Autocorrelation
7.3 Autocorrelation

Autocorrelation EViews
Autocorrelation Autocorrelation The Cochrane-Orcutt
Iterative Method

EViews Autocorrelation

 EViews :

55

[ Object Equation ]
Autocorrelation []
Autocorrelation [ Autocorrelation]

1 Object Equation
Proc/Specify/Estimate
EViews Equation Estimation
AR(1) [] Equation specification

2
EViews
Autocorrelation The Cochrane-Orcutt Iterative Method

 EViews :

56

EViews Autocorrelation The

Cochrane-Orcutt Iterative Method D.W. 2 D.W. (2.092)
Durbin-Watson n=200 k = 3 [dL = 1.738 dU = 1.799]
D.W. 2.092 > dU [1.799] H0: Positive
Autocorrelation Autocorrelation

8. (Regression on Dummy Dependent Variable)

,
2 Binary choice 0 1
[ 0 1]
0 1 3
. (Linear Probability Model)
. (Probit Model)
. (Logit Model)
3 EViews
Greene (2003, p. 675) c:\programfile\EViews5\Example\data\binary.wf1
binary.wf1 32 [
Probit /Logit Model 30 1
]
GRADE = + 1 GPA + 2 TUCE + 3 PSI +

GRADE

GPA
TUCE
PSI

grades
GRADE = 1
GRADE = 0
GPA

PSI = 1
PSI = 0

3 EVeiws

 EViews :

57

8.1 (Linear Probability Model)

1 EViews
[]
2 Objects/New Object/ Equation
Workfile Objects
Equation Quick/Estimate
Equation (Main menu)
Equation
Specification
GRADE C GPA TUCE PSI
Equation specification
LS-Least
Squares (NLS and ARMA)

EViews

3 Objects Equation

Objects Equation
Objects EQ_Binary
Workfile
Objects eq_binary [
]
Save Workfile
4


Objects Equation
Forecast
Forecast
Forecast name gradef

EViews
Series gradef Workfile

 EViews :

58

5 series gradep=
gradef >= 0.5 [
Series gradep
Series gradef 0.5
Series gradep 1
0]
Command
Enter
Series gradep

6 series olsp =
gradep = grade [
Series olsp

() Series olsp
1 0]
Command
Enter

Series olsp

7

scalar R2pOLS =
(@sum(OLSP)/@obs(OLSP))
*100 [

100]
Command
Enter

]
objects Scalar [

 EViews :

59

8 Double click Objects Scalar [

]
EViews Status Line []

GPA
grades 99% [
Prob. Column Prob. < 0.01]
81.25%

. (Nonnormality of Distribution)
. (Heteroskedasticity)
. Y [ Y ] 0 1 (0 E(Y|X) 1)
. R2
OLS
(Probit and Logit Model)
Binary MLE (Maximum Likelihood Estimation)

 EViews :

60

8.2 (Probit and Logit Model)

. Binary Response Dummy Variable /Interval

/Ratio Scale
. () 0 [E(i) = 0]
. [Cov(ij) = 0]
.
.
. 30*P [n 30*P] [P Parameter]
prob (y i = 1 | X ) = F(xi)

Probit Probit Model

2
xi x 1
z

prob (y i = 1) =
= 2 exp 2 dz

x
prob (y i = 1) = i

e x
1 + e x
Probit Logit
Probit (Normal Distribution)
Logit (Logistic Distribution)

prob (y i = 1) =

20

.1

40

.2

60

.3

80

.4

100

Logistic Logit Model

-4

-2

0
x
probit

2
logit

Probability Density Function Probit Logit

-4

-2

0
x
cumul_probit

cumul_logit

Cumulative Distribution function Probit Logit

 EViews :

61

Probit Logit EVeiws

1 EViews []
2 Objects/New Object/Equation Workfile Objects Equation
Quick/Estimate Equation (Main menu) Equation Estimation
GRADE C GPA TUCE PSI Equation specification Method
BINARY Binary Choice (logit, probit, extreme value) Options
3 [ Probit]

3 EViews Objects Equation

Objects Equation Objects EQ_P_L
Workfile Object eq_p_l [
] Save Workfile

EViews Marginal effect

E (y i | x i , )
= f ( xi ) j
x ij
Marginal effect
Fitted probability
[ p i = 1 F xi ] Proc/
Forecast (Fitted Probability/Index)

Objects Equation

Perudo R 2 = 1

Lu
LR

 EViews :

62

Series Fitted probability [ gradef] series gradem

= @dnorm (-gradef) [ Probit Model] series gradem = @dlogistic(-gradef) [ Logit Model]
Command Enter y i Marginal effect
E (y i | x i , )
= f ( xi ) j []

x ij
Probit Logit McFadden R-squared
L
Perudo R 2 = 1 u 0.40
LR

p i = 1 F x i

E (y i | x i , )
= f ( x i ) j
x ij

 EViews :

63

4 View/Expectation-Prediction Table
Object Equation Prediction evaluation Success if prob is greater than

EViews Default 0.5

EViews

Logit Option
Equation specification Logit

MLE
Y
0 1 (0 E(Y|X) 1)





[Amemiya (1981)
probit = 0.625 log it ]

 EViews :

64

9. (Time Series Analysis)

(Time Series Data)
4 (Trend: T), (Seasonal: S), (Cycle: C)
/ (Irregular: I)
2
.

Y = T +S+C+ I

Y = T S C I

Y
T
S
C
I

2
EViews 2
9.1

(Stationary)

(Stationary)

/

(Statistical equilibrium)

X t (Stationary) X t
Mean:

E( X t ) =

Variance:

Var ( X t ) = E ( X t ) 2 = 2

Covariance:

E[( X t )( X t +k )] = k

 EViews :

65

X t (Nonstationary) X t
Mean:

E ( X t ) = t

Variance:

Var ( X t ) = E ( X t ) 2 = t 2

Covariance:

E[( X t )( X t+ k )] = t k

EViews
2 Correlogram
and Q-statistics Unit Root Test
.. 2523 2546 33
Correlogram and Q-statistics

Correlogram and Q-statistics Correlogram

Autocorrelation Exponential Q-statistics
Chi-square 0.10 [Prob. < 0.10]
EViews Correlogram and Q-statistics
1 Series Double click Series
[Double click
] series View/Correlogram
Correlogram Specification
Correlation of Level Lags = 24

 EViews :

66

EViews

EViews
Correlogram
Autocorrelation
Exponential
Q-statistics
90% [Prob. <
0.10] Level [
]

1st Difference

3 1
Correlogram Specification
Correlation of 1st Difference
Lags = 24

EViews

1st Difference

1st Difference

Level 1st Difference

 EViews :

67

Unit Root Test

Unit Root EViews Unit Root

Dickey-Fuller, Augmented Dickey-Fuller, Phillips-Perron
Dickey-Fuller, Augmented Dickey-Fuller
Dickey-Fuller 3 (At Level)

= X t1 + t

(random walk process)

= + X t1 + t

(random walk with drift)

= + t + X t 1 + t

(random walk with drift linear time trend)

H0 : = 0
Ha : 0

H 0 X t (Nonstationary) = (1 )
X t = X t1 + t X t
EViews
1 Series Double click Series
[Double click
] View/Unit Root Test
Series

 EViews :

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2 Unit Root Test

3 Test Type: Augmented Dickey-Fuller, Test for unit root in: Level,
Include in test equation: Trend and intercept, Lag length: User specified: 0

()

H0
Nonstationary

 EViews :

69

Level
1 Difference 1 3 Test for unit root in: 1st difference
Level
st

H0 Nonstationary

random walk with drift

linear time trend

1 Difference random walk with drift linear time
trend Unit Root Include in equation: Intercept
random walk with drift Include in equation: None
Unit Root Dickey-Fuller Test
Autocorrelation
Dickey-Fuller (Lag) X Augmented Dickey-Fuller Test
Unit Root Augmented Dickey-Fuller Test 3 (At level)
st

 EViews :
p

t = X t 1 + X t i + t

t = + X t 1 + X t i + t

t = + t + X t 1 + X t i + t

70

(random walk process)

i =1

(random walk with drift)

i =1

(random walk with drift linear time trend)

i =1

H0 : = 0
Ha : 0
H 0 X t (Nonstationary)
EViews 1 3 Dickey-Fuller
Unit Root Test Lag length 1 Lag [ EViews Option
Lag length Automatic selection User specified ]
D.W. Unit Root Test Autocorrelation Lag
Unit Root

Correlogram - Q-statistics Unit Root Test

1st Difference

Level
1st Difference

 EViews :

71

/

Natural logarithm

.
/

1 d d
X t

d X t =

X t X t1

d 1 X t d 1 X t1

Box and Jenkins [ARIMA]

Box and Jenkins (Backward shift operator)
X t = X t 1 d X t = X td
X t

X t X t1

X t

X t X t

X t

(1 )X t

( X t X t1 )
S ( X t X tS )
( ) ( )
K X t = X tk K = S D X t
X t D
DS X t =

(1 )
S

Xt

D = 1 1 X t
S X t =

(1 ) X

X t S X t

X t X tS

 EViews :

72

(seasonal nonseasonal multiplicative models)

d DS X t

(1 )d (1 S ) D X t

.

Natural logarithm
( X t ) ( X t ) X t = ln( X t )

EViews

d X t
d DS X t
ln( X t )
d ln( X t )
d DS ln( X t )

Eviews
d(X,d)
d(X,d,s)
log(X)
dlog(X,d)
dlog(X,d,s)

Granger Causality Tests

2
Endogenous
.. 1969 Prof. Granger Granger Causality Test
2 X Y Granger
X Y Y
X
H0: X Y (X does not Granger Cause Y)
H0: Y X (Y does not Granger Cause X)

y t = 0 + 1 y tp + ... + l y tl + 1 x t1 + ... + l x tp
(Unrestricted regression)
y t = 0 + 1 y tp + ... + l y tl tp
(Restricted regression)
(Unrestricted regression)
x t = 0 + 1 x tp + ... + l x tl + 1 y t1 + ... + l y tp
x t = 0 + 1 x tp + ... + l x tl
(Restricted regression)
Unrestricted regression
Restricted regression [ 2 X Y Y X]

 EViews :

73

H 0 : 1 = 2 = K = l = 0
H A : 1 2 K l 0

(Test statistic) F (F-statistic)

Fp , ( n k ) =

(RSS RSS )p
r

ur

RSS ur / ( n k )

H0: X Y (X does not Granger Cause Y)

F-statistic [Prob. < ] (H0) X
Y H0: Y X (Y does not
Granger Cause X) F-statistic [Prob. < ] (H0)
X Y
Lag
Lag Lag
2 3 Lag
EViews Granger Causality
EViews Granger Causality EViews
c:\programfile\EViews5\Example\data\cs.wf1 cs.wf1
CSt [PERSONAL CONSUMPTION EXPENDITURES (BIL. 1987$)] GDPt [GROSS DOMESTIC
PRODUCT (BIL. 1987$)] 1947: 01 1994: 04 192 Obs.
Granger Causality
EViews
1 Objects Group CS GDP
Mouse Open/as Group EViews Objects Group

 EViews :

74

2 View/Granger Causality Objects Group Lag

specification Lag Default 2 Lag

EViews

Lag

F-statistic Prob.

GDP does not Granger Cause CS [

F-statistic 99% [Prob. > 0.01]]
CS does not Granger Cause GDP [ F-statistic
99% [Prob. < 0.01]] CS GDP
4 1 3 Lag 2 3
Lag

 EViews :

75

9.2

(Time trend)
(Exponential smoothing), (Decomposition), (Multiple
regression) (Box Jenkins) 3
(Time trend), (Exponential smoothing)
(Box Jenkins)
(Time trend)

(Ordinary Least Square: OLS)

(Least-square Error)


(OLS)
y

+ t

t = 1, 2, , n

n 1

n 1

n 1

t =0
n 1

t =0
n 1

t =0
2

n y t t y t t
n t 2 t
t =0
t =0
n 1

n 1

y t t

t =0
t =0 =
n
n

y t t

 EViews :

76

t = 0
t = 0

y t
t

yt

t
2

t = 0 2
. t = 0
t -1, -2, -3, t
1, 2, 3,
. t 0
t -1, -3, -5, t 1, 3, 5,



1. (Polynomial trend)
y

0 + 1 t + 2 t 2 + 3 t 3 + ... + n t n

(Parabola trend)
y

0 + 1 t + 2 t 2

2. (Exponential trend)
y

0 + t

3. (Second exponential trend)

y

0 + 1t 2t

 EViews :

77

EViews (Time trend) @trend

OLS
.. 2523 2546
33 (Linear time
trend) (Parabola time trend) EViews
1 Quick/Estimate Equation

2 EViews Equation Estimation

nta c @trend [nta = , c = , @trend =
(Linear time trend)] Equation
specification Equation Estimation

nta c @trend

 EViews :

78

EViews

4 EViews
30 EViews

 EViews :

79

5 (Parabola trend) nta c

@trend @trend^2 [@trend^2 = ] Equation
specification Equation Estimation 3 4

(Exponential smoothing)

(Exponential smoothing)

Exponential smoothing 3
. Single Exponential Smoothing (SES)

(Alpha)
(Trend) (Seasonality)

y t = y t + ( 1 + ) y t1

; t = 1, 2, , n

t 1

y t = ( 1 + ) n y t n

n =0

yt

y t
y t1

= t; t = 1, 2, , n
= t (0 1)
= t
= t-1

 EViews :

80

. Holts Two-Parameter Method

Single Exponential Smoothing (SES)

Holt
(1957) Single Exponential Smoothing
(Trend) Holts Two-Parameter Method
2 (Alpha) (Beta)

y t+k = a + bk

; y t+k = t+k

a b
a t = y t + ( 1 + )(a t 1 + b t 1 )
b t = (a t a t1 ) + 1 b t1

= (0 1)
= (0 1)

. Holt-Winters-Trend and Seasonal (Three-Parameter)

Holt Winters (1960)

(Trend) (Seasonality)
3 (Alpha), (Beta) (Gamma)

Holt-Wintes-Mulitplicative
y t+ k = ( a + bk ) c t + k
; y t+k = t+k
a, b c
at =

yt
+ ( 1 + )(a t1 + b t1 )
c t s

b t = (a t a t1 ) + (1 )b t1

ct =

yt
+ (1 )c t s
at

= (0 1)
= (0 1)
= (0 1)

 EViews :

81

Holt-Wintes-Additive
y t + k = ( a + bk ) + c t + k

; y t+k = t+k

a, b c
a t = (y t c t s ) + ( 1 )(a t 1 + b t1 )
b t = (a t a t1 ) + 1 b t1
c t = (y t a t+1 ) c t s

= (0 1)
= (0 1)
= (0 1)

EViews
(Exponential smoothing) 3
.. 2523 2546 33
EViews
1 Series Double click Series
[Double click
] Proc/Exponential Smoothing
Series

 EViews :

82

2 EViews Exponential Smoothing

Series

( 0 1)
E

(Trend)

(Seasonality)

Holt-Winters No Seasonal [
]
2 (Alpha) (Beta) [ E
] Cycle for seasonal [Default = 5]
3
EViews
] EViews
Series Series ntasm [

1.40E+07
1.20E+07

2
( (Alpha) (Beta)

1.00E+07
8.00E+06
6.00E+06
4.00E+06
2.00E+06
0.00E+00
1970 1975 1980 1985 1990 1995 2000 2005
NTASM

NTA

 EViews :

83

Box and Jenkins (ARIMA)

Box and Jenkins

George E.P. Box Gwilym M. Jenkins .. 1970
(Mean Square Error: MSE)

ARIMA (p,d,q) 3
AutoRegressive AR : (p), Integrated (I) Moving Average MA : (q) AR (p)
yt yt-1,,yt-p p MA (q)
yt t-1,,t-q q
Integrated (I) (Difference)
ARIMA (Stationary)
(Nonstationary)
Natural logarithm
ARIMA
ARIMA

( B) d y t = + ( B) t

( B ) = 1 1 B 2 B 2 K P B p

( B) = 1 1 B 2 B 2 K P B q
yt = t
B = Backward shift operation B m = y tm
d
p
q

1 ,..., p
1,..., q
t

=
=
=
=
=
=
=

(stationary)
(Autoregressive Order)
(Moving Average)
(Constant Term)
(Autoregressive parameter)
(MovingAverage parameter)
white noise t

[ t ~ N 0, 2 ]

( )

 EViews :

84

d y t = + d y t 1 + d y t2 + K + d y t p + t 1 t1 K q t q

Box and Jenkins

(Stationary) (Invertibility)
(Stationary) AR (p) E(yt) V(yt) Cov (yt,..,yt-k)
Lag k (Invertible) MA (q)
t yt , yt-1 ( , 2539)
Box and Jenkins
. (Identification)
Correlogram rk rkk
. (Estimation)
(Ordinary Least Square Method: OLS)
. (Diagnostic checking)

( Correlogram)
t (t statistic)
Box and Pierce Box and Ljung [Q-statistic]
. (Forecasting)
(Point forecast)
(Interval forecast) Box and Jenkins

EViews Box and Jenkins (ARIMA)

EViews EViews
Box and Jenkins (ARIMA) 4
.. 2523 2546
33 ARIMA EViews
. (Identification)
1 Unit Root [
Unit Root 67 70]

 EViews :

Unit Root Level (d = 0)

85

Unit Root 1st Difference (d = 1)

Unit Root 1st Difference

ARIMA Integrated (I) = 1
2 Correlogram [Autocorrelation (ACF)]
[Partial Correlation (PACF)] AutoRegressive AR: (p) Moving
Average MA: (q) [ 65 66]

ACF PACF Level (d = 0)

ACF PACF 1st Difference (d = 1)

 EViews :

86

Correlogram ACF PACF AR MA

ARMA(p,q)
ARMA(p,q)

AR(1)

ACF
Exponential

MA(1)

1 0 0
0.5<1<0.5
Exponential

11 22 0
0

2 + 1 < 1, 2 - 1 < 1,
|2| < 1

1 2 0
0

Exponential

2 + 1 < 1, 2 - 1 < 1,
|2| < 1

AR(2)
MA(2)

PACF
11 0
0

Exponential

1 < 1 < 1

1 < 1 < 1

: . . 2549. . 218.

Correlogram ACF
PACF 1st Difference (d = 1)

ARIMA
2 ARIMA (2,1,1)
ARIMA (2,1,2)

ACF PACF 1st Difference (d = 1)

 EViews :

87

. (Estimation)
1 Quick/Estimate Equation

2 EViews Equation Estimation

dlog(nta) c ar(1) ar(1) ma(1) Equation specification Equation
Estimation ARIMA (2,1,1)

dlog(nta)
ar(#)
ma(#)

ln(ntat) ln(ntat-1)
AutoRegressive
Moving Average

: # p, q

dlog(nta c ar(1) ar(2) ma(1)

3
EViews

4 1 3 ARIMA (2,1,2)
Equation specification Equation Estimation ma(2)
ARIMA (2,1,2)

 EViews :

88

ARIMA (2,1,1)
ARIMA (2,1,2)
ARIMA (2,1,2)
[ 26]
ARIMA (2,1,2)
. (Diagnostic Checking)
1 View/Residual/Correlogram
Q-statistics
Objects Equation
Autocorrelation
Correlogram Q-statistics
[
54]
EViews Correlogram of
Residuals Q-statistics
2 Correlogram
Q-statistics Correlogram of Residuals
Autocorrelation (ACF)
Exponential
Q-statistics
Chi-square 0.10
[Prob. < 0.10]

 EViews :

89

ARIMA (2,1,2)
. (Forecasting)

EViews
30 2 Dynamic forecast Static
forecast EViews
Dynamic Forecast
5.0E+07
Forecast: NTAF
Actual: NTA
Forecast sample: 1970 2009
Adjusted sample: 1973 2009
Included observations: 31

4.0E+07

3.0E+07
Root Mean Squared Error
Mean Absolute Error
Mean Abs. Percent Error
Theil Inequality Coefficient
Bias Proportion
Variance Proportion
Covariance Proportion

2.0E+07

1.0E+07

1323050.
1009413.
17.42927
0.135063
0.579803
0.327474
0.092723

0.0E+00
1975

1980

1985

1990

1995

2000

2005

NTAF

Static Forecast
1.40E+07
Forecast: NTAF
Actual: NTA
Forecast sample: 1970 2009
Adjusted sample: 1973 2004
Included observations: 31

1.20E+07
1.00E+07
8.00E+06

Root Mean Squared Error

Mean Absolute Error
Mean Abs. Percent Error
Theil Inequality Coefficient
Bias Proportion
Variance Proportion
Covariance Proportion

6.00E+06
4.00E+06
2.00E+06

292268.7
206047.8
4.414267
0.026235
0.016122
0.119186
0.864693

0.00E+00
1975

1980

1985

1990

1995

2000

NTAF

 EViews :

90

. 2. : , 2544.
. . : , 2549.
. . : . , 2539.
. . : , 2546.
. . : , 2549
. . :
, 2539
. . : , 2535.
. SARS:
SARIMA. 1
, 2547.
. EViews Unit Root, Cointegration Correction Model
( Engel and Granger). , 2546.
EViews 5.1 Command and Programming Reference. Quantitative Micro Software, LLC, 2005.
EViews 5.1 Users Guide. Quantitative Micro Software, LLC, 2005.

Enders, W. Applied Econometric Time Series. Second edition, New York: John Wiley & Sons, 2004.
Greene, W.H. Econometric Analysis. 5th ed. Printice Hall, 2003.
Gujarati, D. Basic Econometrics. 3rd ed. McGrawHill, 1995.
Johnston, J. and J, Dinardo.. Econometric Methods. 4th ed. McGrawHill, 1997.
R.R. Johnson. A Guide to Using EViews with Using Econometrics: A Practical Guide. University of San Diego, 2000.
Ramanathan, Ramu. Introductory Econometrics with Application. 3rd ed. Harcourt Brace & Company, 1995.
Studenmund, A.H. Using Econometrics: A Practical Guide. 5th e.d. Pearson Education, Inc., 2006.