Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [eviews]

Commercial statistical package for general statistical analysis and econometric analyses.

Commercial statistical package for general statistical analysis and econometric analyses, available on Windows and macOS platforms.

Further information:

78 questions
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Time series data with seasonality using VAR?

I have two time series: 1) Which only contains historical data for production 2006-2011 on a monthly basis. 2) Which contains both historical and projected flow data 2006-2057 on a monthly basis. I would like to use VAR to use the flow data as a…
N_Moksnes
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White's test for heteroskedasticity in R

I am trying to estimate heteroskedasticity in R. I had Eviews available in my college's lab but not at home. I have been trying to use "het.test" package and whites.htest but the value that I get is different from what I get in Eviews. According to…
Faseeh
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Johansen cointegration test: interpretation of results in EViews

I am not sure whether I am interpreting the cointegration test correctly. This is the test result: Because of the probability of the test I understand that my series are cointegrated of order 2. Is that correct?
user3452075
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Is ARIMA(1,0,0)+xreg for level shift the same as linear regression model with level shift adjustment and lag1 term?

I have a time series with a level shift. Thus, when treating it with an ARIMA model, I use arima(1,0,0)+xreg. The xreg is a dummy variable for the level shift. And then I use linear regression: $$ y(t)=β_0 + β_1y(t-1) + β_3{\rm levelshift} +…
Ying
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Why is the intercept different in an AR(1) model compared to a lagged endogenous variable model?

In other words, why is that when estimating in EViews y = c ar(1) yields a different coefficient for c when compared to y = c y(-1) although the coefficient for ar(1) and y(-1) are the same?
Lucas
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Eviews : How to test for cointegration in the right way

I am studying ECM alone using a book and some parts are not explained. First, the book advise to test for a unit and for the order of integration of the series. In eviews options are not pretty clear to me : What is the difference between level,…
William
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GARCH estimates differ in rugarch (R) vs. EViews

I modelled a stock's volatility using the "rugarch" package in R and Eviews. The estimated model is GARCH(1,1). Data is as below: > dput(datax) c(0.00240428226573286, 0.00718664351112785, 0.00417663958775449, -0.0124234291416307,…
oercim
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Cointegration in R and Eviews

I need to repeat in R results of a fully-modified OLS estimation that I got in Eviews. Here is the Eviews estimation (updated): My code in R using the cointReg package is: library(cointReg) y <- ts(c(35.8, 41.6, 35.9, 36.9, 42.43, 36.067,28.67,…
Katin
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Why do I get very different results estimating GARCH-M model in EViews and R (rugarch)?

I'm dealing with a GARCH-M model that I've estimated using R and EViews. Here are its mean and variance equations. Mean equation: $$ y_t=\mu + \rho \sigma^2_t + \varepsilon_t $$ Variance equation: $$ \sigma^2_t = \omega + \alpha \varepsilon_{t-1}^2…
Junnan
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Including a variable in a regression but NOT estimating its coefficient

I came across a curious problem trying to replicate a paper. The results in the paper were estimated using Eviews, which I am not familiar with. I noticed the author specified (by formula) and estimated an equation (using 2SLS) as follows: Y = C(1)…
OhHiClark
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Unbalanced panel with one-way random effects a la Swamy/Arora

The one-way random effects model for balanced data as described by Swamy/Arora (1978) is extended to the unbalanced case in Baltagi/Chang (1994) (another exposition is in Baltagi's text book). Various software packages claim to implement it.…
Helix123
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Why after including lags do seasonal dummies become significant?

I am trying to model data that clearly looks like it has seasons. However I only pick up seasonality in very small subsets of the data and only after I add in lagged variables and eliminate trend. I first found the trend the data is best…
BNA
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How to read UNIT ROOT TEST results obtained from EVIEWS? I mean what values do we study to interpret our result?

Null Hypothesis: D(OIL_PRICES) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=22) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -37.22113 0.0000 Test critical values: 1% level …
Faiza Sajjad
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Number of observations used for ARIMA modeling

Our professor keeps on writing in his slides that when you test different ARIMA models on your time series, one always has to keep T fixed. I assume he is talking about fitting your model using the same number of observations. If you try a model…
Kasper
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How to perform a regression on 5 years of annual observations in eviews

I am new to regression analysis so please excuse my ignorance. I have collected 5 years of annual panel data, and I would like to regress this data on eviews but it is saying there is an insufficient amount of observations. Is there any way around…
emmet
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