Thursday, December 11, 2014

New Features in EViews 9 (Beta)

When you get a chance to check out the "beta" release of EViews 9 (which current users can download from here), you'll find lots of new features.

Many of these relate to the Eviews interface, data handling, and graphs and tables. And then (of course) there are lots of new Econometrics goodies! To summarize them, under the headings used in the documentation:

Computation
• Automatic ARIMA forecasting of a series
• Forecast evaluation and combination testing
• Forecast averaging
• VAR Forecasting

Estimation
• Autoregressive Distributed Lag regression (ARDL) with automatic lag selection
• ML and GLS ARMA estimation
• ARFIMA models
• Pooled mean group estimation of panel data ARDL models
• Threshold regression
• New optimization engine

Testing and Diagnostics
• Unit root tests with a structural break
• Cross-section Dependence Tests
• Panel Effects Tests

I just had to highlight ARDL models. My earlier posts on these models (here and here) attracted a lot of readers, and many questions and comments.

I've been promising a follow-up post on this topic for some time. You can guess why I've been holding off, and what one of my upcoming posts will be about!


© 2014, David E. Giles

10 comments:

  1. Finally, VAR Forecasting. Great.
    It is a pain to solve a VAR model for forecasting.

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  2. Does Eviews9 offer a computation of confidence interval for bayesian VARs?

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    Replies
    1. Both versions 8 and 9 provide standard errors (and hence CI's) for the estimated parameters. Version 9 allows forecasting, and provides the forecast standard errors (and hence forecast intervals).

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  3. The programming in the editor will be fantastic!

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  4. Dear Prof. Giles,

    Are there any demo available on how to use Optimization engine, preferably on Newton-Raphson.
    Thanks!

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    Replies
    1. Use the HELP in EViews and you'll find examples of OPTIMIZE.

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  5. Dear Dave, thanks for your very usefull turtorials.
    I would ask you that, PMG in eviews9 doesnt support Hausman test for slope homogeneity, correct?
    Best wishes
    Niaz

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    Replies
    1. Niaz - please check directly with the EViews team.

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  6. Dear Professor,
    I am trying to estimate a model using PMG technique but sadly i can not perform some diagnostic tests, such as serial correlation, form misspecification, heteroscdasticity among other. Please if you can give us some guidance.
    Thank you,
    Berat

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    Replies
    1. Berat - all I can suggest is that you follow the trick suggested in this post: http://davegiles.blogspot.ca/2012/02/trick-with-regression-residuals.html

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