EViews

EViews

EViews

EViews

ARCH GARCH


EViews WINDOWS
EViews EViews

EViews
EViews Windows
EViews

EViews EViews

ARCH

EViews
2.1 EViews
EViews TSP (Time Series Processor)
1981 QMS (Quantitative Micro Software)
Micro TSP EViews EViews
EViews
WINDOWS WINDOWS
WINDOWS EViews

2.2 EViews
EViews 4
EViews 4 WINDOWS EViews
EViews 4 EViews
EViews 4 EViews EViews workfile database

2.3 EViews
EViews
EViews EViews

EViews
EViews
EViews


EViews
2.4 EViews
File/Close ALT-F4 EViews EViews

EViews
EViews
EViews workfile

File/New/workfile "Workfilefrequency"
5 7
"Start date""End date"
""
1 2 1-4 1-12
////

File/open/workfile

File/Save File/Save as WINDOWS

EViews
Update default directory
CD
TSP
EViews MicroTsp

Procs/Change workfile Range

Range

Series Procs/Sortseries

Filter

"*""" X*??Y*
Include

View/Name Display

 View/Display Comments(Label + -)

Procs/Extract to new
workfile Filter
3.2
EViews
ViewsProcedure
EViews

QQ

EViews Procedure

EViews "Procs"
"Procs"

"Objects/New Object""Type of Object"

"Name for Object"

EViews
"View""Deselect All""Select all"
"Select by Filter"

"View/Open as One Window"

"Quick/Show"
"Show"
EViews

"View""Procs"
"Objects""Print"
"Name""Freeze"

"Name""Display Name"
"Objects/Rename Selected"
ABS, ACOS, AR, ASIN, C, CON, CNORM, COEF,COS, D, DLOG, DNORM, ELSE,
ENDIF, EXP, LOG, LOGIT, LPT1, LPT2, MA,NA, NRND, PDL, RESID, RND, SAR, SIN, SMA,
SQR, THEN

"View/Label"

"Objects/Copy selected"

"Edit/copy"
"Edit/paste""Copy""paste"

"Object/Freeze Output""Freeze"

"Objects/Delete selected""Delete"

"Objects/print""Print"

"Objects/Store selected to DB""Objects/Store to DB"

*.db "Objects/Fetch from DB"

"Objects/Update from DB"

3.3
Workfile test1 test1
Save test2 test2

4.1
Command and Programming
Reference
1

1 EViews Objects/New Object Series

2 EViews Objects/Generate Series

Show Edit+/-

Wide+/-

Smpl+/-

InsDel

1 EViews Objects/New Object Group

2 show

Show Edit+/-

Smpl+/-

4.2
1
Range
2
Objects/Sample Sample Sample
ANDOR
3
Smpl 1980:1 2000:4 IF RC>3.6
4.3
1
Quick/Empty Group(Edit Serirs)

2
Edit/Copy Edit/Paste

3
File/Import /Read Text
Lotus Excel Procs/Import/Read Text Lotus Excel
WINDOWS Excel(.XLS)
OK
4.4
1
Edit/Copy Edit/Paste

File /Export/Write TextLotusExcel Procs/ Export/Write Text

LotusExcel WINDOWS Text-ASCII
Excel(*.XLS)
6

OK
4.5

View/Conversion Options 6
1
2
3
4
5
6
6
1
2
3
4
5
6
4.6
Series Genr

seires logy=log(y)
logy y Group

group rhs c x1 x2 z
rhs c (a series of ones) x1x2z
Show
show logy
Read

read c:\date\cps88.dat
Write

write a:\us macro.dat

EViews

5.1

EViews . EViews
,

EViews +-*/^(),

+-

EViews

EViews EViews
@

EViews @elem @elem

,,

.
if EViews 1 0

EViews
D DLOG

,
EViews NA =<> NA NA
>>=<<=<> NA
NA
NA NA IF
FALSE
5.2

1
quick/generate seriesgenr
2
=EViews

Y=3
3
Genr
4

5
log(y)=x
y=exp(x) EViews + - * / ^ log( ) xp( ) sqr( ) d( ) dlog( ) @inv( )
EViews
6

series genr

5.3

showquick/show
EViews

bojects/new object/group

Eview

@count , @seriesname
5.4
VAR XY
1 EViews OBJECT/NEW GROUPS
2QUICK/SHOW
5.5

scalar scalar_name=number

show EViews

EViews
6.1
EViews EViews

EViews

Hodrick-Prescott
,show
view
7.1

7.2

1 (median)

2Standard Deviation

3Skewness

S 0 S S

4Kurtosis

K 3 K 3 K
3
5Jarque-Bera

Jarque-Bera 2
Jarque-Bera

7.3

View/tests for descriptive stats/simple hypothesis

Equality test by classification
tests
7.4

View/CorrelogramCorrelogram Specification
dx=x-x(-1) d(x)-d(x(-1))=x-2x(-1)+x(-2)
,

AC
y k

y k

10

5%
PAC

k
k k
P AR(P) P

5%

Q-
K Q- k
ARIMA Q

ARIMA
ARMA
Q-
7.5
Dickey-Fuller Phillips-Perren

13
7.6 label
. Last UpdateLast Update
Remarks and History 20
20
7.7
1 Generate by Equation
5
2 Resampling
7.8 (Seasonal Adjustment)
Procs/Seasonal Adjustment 4 X12
X11 Tramo/Seats
Census X12
X12 Census X12X12 5
1Seasonal Ajustment Option
X11 X11 Method
ARIMA
(Seasonal Filter)
X12 (X11 default)
Trend Filter (Henderson) 1
101 X12
Component Series to saveX12

11

2ARIMA ARIMA Option

X12 ARMA
/

Data Transformation
ARIMA (ARIMA Spec)
2 ARIMA
aSpecify in-line ARIMA pdq(PDQ)
(0 1 1)(0 1 1) IMA
L
s=4 s =12
bSelect from file X12 ARIMA
Regressors
ARIMA

ARIMA (ARIMA Estimation Sample)

3
4(Outlier Effects)
5Diagnostics
X11
X-11 ()

Eviews SA
X-11
4 20 30

tramo/Seats
7.9

Procs/Exponential Smoothing
5
Eviews eEviews
0-1
Eviews SM

12 4
7.10 Hodrick-Prescott
T=

Y=

(1)

12

(2)
21 HP

Procs/Hodrick Prescott FilterEviews

OK Eviews
7.11

lwage lwage.hist
HRS 3 hrs.teststat(mean=3) GDP
20 gdp.correl(20) HP GDP 1600
GDP_HP, gdp.hpf(1600) gdp_hp

8.1
view

8.2
Update Group

8.3
Transpose
Transform

8.4
Dated Data Table

View/ Dated

13

Data Table
Taboption , table options
n

First Column Second Column

8.5
freeze 10

Graph 205 Multiple

graphs
1
2
simple scatter scatter with regression scatter with
nearest neighbor fit scatter with kernel fitXY Pairs
3XY
XY Line XY X Y

4
Error Bar

5High-lowOpen-Close

--
close

Multiple graphs
GraphMultiple Graphs
XY
8.6
Common Sample
Individual Samples

8.7

common sample
8.8
Common Sample
Pairwise Sample
8.9

14

8.10 Granger
y y x
x y
y x Granger-caused Granger
Casuality
iEviews x,yF Wald
x

Granger-cause y y Granger-cause x
dummy Granger causalilty
8.11
Last UpdateName
Display Name
Eviews
8.12
Make Equation
C
Make Vector Autoregression vector autoregression
VAR 19 Resample
VAR
173 Resample
8.13

grp1.scat grp1
gp_wage.testbet(med) (gp_wage)
grp_macro.cross(12) 12

9.1.1 CDFSurivorQuantile

View/Distribution Graphs/CDFSurivorQuantile
9.1

CDF r
Surivor()
Quantile(

All CDFSurvivor Quantile

Saved matrix name
Iclude standard errors() 95%
9.1.2 QuantileQuantile
QuantileQuantile(QQ )

15

 QQ QQ
Normal()Uniform()Exponential()Logistic()
Extreme value()
9.1.3 Kernel Density

X x

N h K
View/Astribution Graphs/Kernel Density
9.2
view/Graph/Scatter
Simple Scatter
Scatter with Regression()
Regression
Robustness lterations()

Scatter with Nearest Neighber Fit()

.

1Method

1Exact(full sample)
2Cleveland subsampling

2Specification

1Bandwidth span
2Polynomial degree()
3
1Local weighting (Tricube)

2Robustness Iterations()
.
3Symmetric Neighbors
Scatter with Kernel Fit

Method
Fitted series
Bracket Bandwidth 0.51.5_ L_M_H
9.3

16

lwage.cdfplot(a)
LWAGE CDF,quantile survive
lwage.kdensity(k=n)
LWAGE
Lwage.kdensityk=e,b=.25
0.25
group aa lwage age
aa.linefit (yl,xl)
LWAGE AGE,

aa.linefit(yl,d=3)
Y 3 X
aa.nnfit
aa
aa.kerfit
aa

EViews EViews
freezing()

10.1
Freeze
View/Graph/line Freeze
Eview UNTITLED UNTITLED
Name

Quick/Show...
10.2
Graph Option
1 Type Line & Symbol Spike
& Symbol Line& Symbols /
Bars&Pies Error Bar
High-Low(Open-Close)Stack lines & bar

2 General Axe &

Scaling Legend

3 Lines & Symbol / Bars & Pies Lines & Symbols

Bars & Pies

4 AddText Procs/Add
text.
Justification Text in Box

17

Font Position

5 Shade/Lined Procs/Add
shading...Line&Shading
6 Remove
7
Template
10.3
Freeze

1 Prcos EViews
Options on all graphs...Position and align graphs...
Add shading to all graphs...
Add text...
2 Procs
Remove

10.4
Print File/Print
Setup Print in color

PostScript Start/Settings/Printers Add Printer,

Next, Local PostScript FILE Windows Windows

10.5 Windows
EViews Windows
EViews Edit/Copy Copy Graph as
Metafile
10.6
Procs Font ()
Insert--Delete(InsDel)Column Width(Width)

Number Cell Format(Number)Fixed characters

Fixed decimal Column Width Justification(Justify)

Horizontal Lines(Lines) Grid+/-Title

Edit+/-

10.7 Windows

Edit/Copy
Edit/paste
Edit/Paste Special
10.8

18

 Objects/New object/Text text

10.9
freeze
LWAGE
LW_HIST
freeze (lw_hist) lwage.hist
GRP1 freeze GRA1
freeze (gra1) grp1.scat
GRA1 GRA2 BIGGRA
freeze (biggra) gra1 gra2

EViews
11.1
: Object/New Object/Equation Quick/Estimation
Equation equation
11.2 EViews

EViews
EViews
Open/Equation

EViews EViews

Object/New Object Matrix-Vector-Coef ,
New Matrix Coefficient Vector
11.3 EViews

Method

EViews
EViews

EViews

11.4
,

1
b
19

2.

,
,
View/Covariance Matrix
3t-
t
4
, t
p

1
EViews

=1-

>

2

,

6Durbin-Watson
D-W

DW 2,
7
y

8AIC
9Schwarz

20

Schwarz AIC ,:
10F
F ()F

F P Prob(F-statistic), F

@
@
11.5

Name

RESID RESID

, EViews C
11.6
EViews
X EViews

TSLSGMM

12.1

21

 W
W

wls

(X tW tWX ) X W W
1

Quick/Estimate Equation,
LS-Least Squares(NLS and ARMA), Options Weighted LS/TSLS
Weighted OK, OK
12.2 HAC
White
Newey-West HAC
White Newey-West

White
White

T
T k

(X X )

T 2
t
u t xt xt
t =1

(X X )
t

EViews OLS White

Options (Heteroskedasticity Consistent Covariance),
White
EViews White
HAC Newey-West
Newey West (1987)
Newey-West

Newey-West Options
Newey-West
12.3
EViews TSLS
TSLS
TSLS

TSLS

bTSLS =

(X Z (Z Z )
t

Z X X

(Z t Z ) Z y
1

Object/New Object/Equation
Quick/Estimate Equation Method TSLS
TSLS

22

 AR TSLS
a) AR
b) AR
c) MA TSLS
12.4

f
EViews
Object/New Object/Equation, OKEViews

EViews

PARAM PARAM

param c(1) 153 c(2) .68 c(3) .15

12.5 GMM
GMM

GMM f 0

,A A
GMM Object/New Object/Equation
Estimate GMM GMM

ARMA
ARMA

13.1

AR(1)

23

AR(1)

p AR(p)

AR(p) p
13.2

Eviews
1Dubin-Waston D-W
2 Q- Q-
3 LM
13.3 AR
OLS

1
EViews AR(1) Quick/Estimate Equation
AR(1) AR(1)

cs c gdp ar(1)
2
AR AR(k) AR
1-5

cs c gdp ar(1) ar(2) ar(3) ar(4) ar(5)

3 EViews AR
AR(2)

24

 EViews AR AR

cs=c(1)+gdpc(2)+[ar(1)=c(3),ar(2)=c(4)]
EViews

Gauss-Newton

4
AR

5AR
AR

yt

Eviews

AR(p)EViews
Inverted AR Roots 1
6EViews AR
EViews AR

13.4 ARIMA
ARIMA AR EViews
AR I MA
13.5 ARIMA
ARIMA
AR MA
ARMA AR MA ar ma
ARMA
Box and Jenkins(1976) SAR
SMA
ARIMA
AR MA OLS ARMA

ARMA
AR MA
Eviews EViews C
C
Y c X ma(2) ma(1) sma(4) ar(1) param c(1) 50 c(2 ) 0.8 c(3) 0.2 c(4) 0.6 c(5) 0.1
c(6) 0.5 50 X 0.8 ar(1)ma(2)ma(1)sma(4)
0.2 0.60.10.5

25

13.6
ARMA
D-W
View/Residual Tests/Correlogram-Q-Statistic View/Residual
Tests/Serial correlation LM Test
13.7 PDLs

13.37
x y
OLS x
PDLS
P PDLS

13.38
j=0,1,2, ,k

PDLS Almon

p x k p > k

PDL EViews (13.38)(13.37)

(13.40)

(13.41)
13.40 13.38

PDLs k

p
13.8
ARMA

26

y y

I(d)d

I(1) I(0)
13.9
EViews Dickey-Fuller(DF) DF(ADF) Phillips-Perron
PP
ADF
ADF AR(1)
13.46

-1<

<1y

=1y

DF PP

13.47

13.48

t EViews DFADF ADF

ADF

27

Phillips-Perron(PP)
Phillips Perron1988 AR(1)
PP
13.51
ADF PP t
AR(1)
EViews Newey-West

13.52

13.53
q PP

13.54
t s PP ADF t
EViews Mackinnon PP Newey-West
q N-W floor

13.10
equation eq_gdp.ls gdp c ar(1) ar (2) ma(1) ma(2) arma(2,2)
GDP EQ_GDP
eq1.auto(4)
EQ!
eq1.correlogram(12)
12
equation eq2.ls gdp c pdl(m1,12,3)
m1
gdp.ruoot(4, c)
ADF

14.1 EViews
Forecast Procs/Forecast

1EViews

2S.E.Optional

28

3
4Structural ARMA
5
6
14.2

14.3
1
Forecast OK

NA
2

NA
3

4
S.E.of regression

6
forecast se=

ARMA s EViews

29

y r

a
b
c
14.4
EViews
1 Y
Y

NA
2EViews

3
ARMA
14.5 ARMA
1
EViews ARMA ARMA
Structural(ignore ARMA)EViews
ARMA
2 AR
AR Eviews
EViews
EViews
EViews
3 MA
30

 MA
EViews q
EViews
14.6
EViews

Eviews
EViews

14.7 PDL

PDL
14.8
fit

eq1.fit yhat yhat_se

forecast

eq1.forecast yh yh _se
(Command and Programming Reference)

p
p
p

View
13 Granger 8 Johansen
19
15.1
Wald
Wald
Wald

r q Wald

31

F-

F
F EViews

p
Cobb-Douglas
1
Q K L

Wald View/Coefficient Tests/Wald-Coefficient Restrictions

c(1)c(2)

c(2)+c(3)=1

View/Coefficient Tests/Omitted VariablesLikehood

Ration
LS log(q) c log(L) log(k) K LEViews
0

View/Coefficient Tests/Redundant Variablelikelihood Ratio

Ls log(Q) c log(L) log(K) K
L K LEViews
0
15.2
Q
View/Residual Tests/Correlogram-Q-Statistics
Q-

Q- P

32


View/Residual Tests/Correlogram Squared Residual

Q-
ARCH ARCH LM ARCH
0 Q

View/Residual Tests/Histogram Normality

Jarque-Bera J-B

LM
View/Residual Tests /Serial correlation LM Test AR MA
Q-LM
D-W AR(1)LM ARMA

LM p
ARCH LM
Engle(1982) Autoregressive Conditional
Heteroskedasticity, ARCH (Lagrange multiplier test) LM
View/Residual Tests/ARCH LM Tests ARCH ARCH LM
q ARCH

e q F
Obs*

LM

White
White (1980)
White

b e

F
view/Residual test/White Heteroskedasticity Whites EViews

15.3

33

EViews
T T1 T2 T1 T2

T1 T2
T1 T2

85%-90%EViews

Chow
Chow
Chow View/Stability
Tests/Chow Breakpoint Test

Chow
Chow T1
T2
View/Stability Test
/Chow Forecast Test Chow .

RESET Test
Ramsey1969 RESET Regression Specification Error

Test

LS
Ramsey
RESET

z Ramsey
z

y X

X
View/stability tests/Ramsey RESET test
EViews
Ramsey RESET
LS

b k

34

 k b
T b T-k+1 b

View/stability tests/Recursive Estimate(OLS only)

AR MA OLS

ARCH GARCH

Autoregressive Conditional Heteroscedasticity ModelARCH

ARCH Engle1982 Bollerslev(1986)
GARCH(Generalized ARCH)

16.1 ARCH
ARCH t =

t 1

(t-1)
2

0
2

ARCH(1) ARCH (p)

3
H0

1 OLS

GARCH1 1
GARCH(1,1)
(16.1)

(16.2)
35

16.1

16.2

ARCH

GARCH

GARCH (1, 1) (1, 1) 1 GARCH 1

ARCH ARCH GARCH

ARCHM
16.1 x
ARCHM (Engle,Lilien,Robins,1987)
16.9
ARCHM
ARCHM

GARCHp, q
GARCH 1 p q GARCH(p, q)

16.10
p GARCH q ARCH
16.2 EViews ARCH
GARCH ARCH Object/New Object/Equation Equation
Method ARCH

ARCHM

Variance Regressors EViews

C
ARCH
ARCH Specification ARCH GARCH Eviews
1 ARCH 1 GARCH GARCH

36

 GARCH GARCH
&nbsp; Options
1.
MA GARCH
EViews MA

2.
Heteroskedasticity Consistent Covariances Bollerslev Wooldridge1992
QML

4.
ARCH
BHHH/-

5.ARCH

z p ARCH
GARCH

16.3 ARCH
EViews
ARCH

ARCH
1&nbsp;
RESID1RESID2

2 GARCH

GARCH1GARCH2 View/Conditional SD Gragh

3
ARCH

16.4 ARCH

Engle Ng1993

37

TARCH
TARCH ThresholdARCH Zakoian(1990) GlostenJafanathan
Runkle(1993)
(16.16)

ARCH TARCH(asymmetric)
TARCH

RESID&lt;0*ARCH(1)

EGARCH
EGARCH ExponentialGARCH Nelson1991

(16.18)

RES/SQR[GARCH](1)

ARCH
GARCH(1,1)
(16.22)

(16.23)

38

EViews
Component ARCH Asymmetric Component
Variance Regressors
@
hol janen hol @ jan en
jan @ jan Perm
Tran

1
2
3

EViews
probit logit gompit tobit

17.1
Binary Dependent Variable Models 20 80

y 1 0y
y

x
y 0 1 y x

0 1

Pr
F 0 1
F

Pr

39


EViews

Object/New Object/Equation
Equation Specification Binary estimation methodEViews

17.2

(Ordered Dependent Variable

Models) y

y x

M Equation Specification
Ordered
17.3
Limited dependent variable

(Censored Regression
Models)

40


100 0 100
100 100
100 100
100 100
100

EViews

tobit y

0 0 left
censoredEviews

Equation Specification

Censored
17.4
Truncated Regression Models

Equation Specification Censored

Truncated sample

41

17.5
y (Count Models)
Eviews
ML
Eviews QML
Equation Specification Count

Option

EViews

EViews

EViews EViews

18.1

t =1, 2 , , T (1)
k T

(2)

Y T

(3)
Y

42

(4)
t

(5)

(6)
EViews
c(1) c(3)
EViews
Series res=y-c(1)-c(2)*x
Series var=c(3)
Series logL1=-log(2*3.14159*var)/2- (res^2/var)/2

resvar logL1
EViews
EViews

18.2
Objects/New Object.../LogL logL

@logL series_name
series_name
@temp
@temp series_name1 sereis_name2 ...
EViews

c(1) c(3)

coef(4) beta beta(1)beta(2)beta(3)beta(4)

4
@logL logL1
res=y-beta(1)-beta(2)*x-beta(3)*z

43

var= beta(4)
logL1=log(@dnorm(res/@sqrt(var)))-log(var)/2

omega
var var=omegaEViews omegaomega

logL
EViews
EViews EViews
@byeqn
EViews
@byobsEViews

@byobs

EViews
@deriv
@deriv pname1 sname1 pname2 sname2...
pname sname

EViews
r

() m

i i+1
(18.5)

(18.6)

18.7)
f

@derivstep @derivstep
@all

44

 (1.49e-8) m

10

10

18.3
Estimate

EViews
@param

Eviews Estimation Option

18.4 LogL
likelihood Specification:
Estimation Output:
Covariance Matrix:
@cov (SYM)
Wald Coefficient Test: Wald 14 Wald

Gradients: logL
logL

Check Derivatives :@param

@param
18.5 LogL
Estimate.:
Make Model :
Make Gradient Group :

Update Coefs from LogL :

EViews LogL

1
LogL

LS
WLS SUR TSLS W2LS
3LS FIML GMM
19.1
Y

45

CIGr

19.1

(19.2)

EViews

19.2

(19.3)
ym T Xm Tkm m km
MTMT V
(19.4)

(19.5)
(Kronecker Product)

MM
i j

t i
46

j,

V
(19.6)

V
(19.7)

(19.8)

i j

Ordinary Least Squares , LS

(Weighted Least Squares , WLS)

(Seemingly Unrelated Regression , SUR)

Zellner

EViews
(Two-Stage Least Squares , TSLS)
STSLS
STSLS
EViews

TSLS
(Weighted Two-Stage Least Squares , WTSLS)

W2LS EViews

(Three-Stage Least Squares , 3SLS)

3SLS SUR
3LSL EViews

47


TSLS
(Full Information Maximum Likelihood , FIML)
FIML
FIML

(Generalized Method of Moments , GMM)

M-
GMM
GMM

19.3
Object/New Object/system
system

2 MASAR SMA
AR
3
4

2LS3LS GMM
inst

inst&nbsp; gdp(-1 to -4) x gov

@
cs=c(1)+c(2)*gdp+c(3)*cs(-1) @ cs(-1) inv(-1) gov
inv=c(4)+c(5)gdp(-1)+c(6)*gov @ gdp(-1) gov

param
param c(1) .15 b(3).5 c(1) b(3)EViews

Estimate

WLSSURW2LS3LSGMM
GLS
1Update weights once, then

48

1 Iterate coefs to convergence EViews

EViews
EViews
2 Update coefs once

2Iterate Weights and Codfs

3 Simultaneous

4 Sequential1
3 2SLS Estimates/GMM S.E

4 GMM-Time seriesHAC
Prewhitening VAR(1)

Kernel Option Kernel

Bandwidth selection
Fixed nw Newey West

5 option

t-
EViews FIML
EViews

Durbin-Wstson
19.4

1.View
View/System Specification Spec

Views/Estimation Output Stats

Views/Residuals/Graph
Views/Residuals/Correlation Matrix
Views/Residuals/Covariance Matrix
View/Coefficient Covariance Matrix
View/Wald Coefficient Tests 14
Views/Endognous Table
Views/Endognous Table
2.Procs
Procs

Procs/Make ModelEViews

49

Procs/Estimate Estimate
Procs/Make Residuals
Procs/Make Endogenous Group
19.5
system system demand1
demand1
sys1.fiml sys1

Vector
Auto regression, VARVector Error Correction, VEC

20.1
VAR
VAR
VAR(p)
(20.1)

VAR IPM1
VAR VAR(2)

(20.2)

20.2 VAR
Quick/Estimate VAR var

1Unrestricted VAR Vector Error Correction

50

4
20.3 VAR
VAR View/Lag Structure View/Residual Tests

Lag Structure()
1AR Roots Table/Graph(AR )
2Pairwise Granger Causality Tests(Granger )
Granger
3Lag Exclusion Tests()
4Lag Length Criteria()
Residual Tests()
1
VAR

1Tabulate by Variable
2Tabulate by Lag3Graph
2
Q Q
Q h

3 LM LM
4 J-B
5 White
Whites

No Cross Terms
With Cross Terms
20.4

i i VAR

VAR(p)
(20.9)

VMA()

(20.10)
VAR(p)

VMA VAR

2 , 3 ,.. y i

51

q =1 ,

(20.12)
k (k=2)

1 2 0 1 2 3 4 5

VAR
VAR Impulse Response
1Display
Display Format :
Display Information:
Accumulate Response
Response Standard Error
2Impulse Definition
1Residual-One Unit
2Residual-One Std.Dev.
3Cholesky Cholesky
d.f.adjustment Cholesky

no d.f.adjustment Cholesky

4Generalized Impluses: Pesaran Shin(1998) VAR

5Structural Decomposition:
( 6 ) User Specified:
20.5
VAR
VAR VAR

52

(20.12) j

j = 1 ,2 ,...,k20.17
j i

20.19
k

RVCRelative Variance Contribution, j

j i

s=

i ,j = 1 , 2,,k

20.22

j i

j i
VAR
VAR View/Variance decomposition

20.6 VAR
VAR Make Systerm VAR
By Variable
By Lag
20.7
Engle Granger1987a

VEC VAR

53

VEC

VEC

VEC

VEC

VEC

VEC

20.8

Johansen ADF
ADF
k

54

20.28

20.29

20.30

EViews ADF

Johansen
p VAR
20.31
I (1) k d
VAR

(20.32)

(20.33)

Granger
r

VEC

Johansen VAR

VAR

View/Cointegration Test
EViews Johansen
1 y

:
2 y

55

3 y

:
4 y

:
5 y

:
Johansen

20.32
5% 1%

r k k
r=0, 1 , , k-1 r

(20.34)

20.32

r r+1

(20.35)
20.9 (VEC)
VEC VAR
VEC VEC VAR Estimate
VAR/VEC Specification Vector Error Correction VAR/VEC Specification
VAR
VEC
Johansen

VAR
VEC
Johansen
VAR
View/Cointegration Graph VEC
Proc/Make Cointegration Group

56