Scribd Logo
Upload

Welcome to Scribd!

  • 1K views

    Contoh Praktis Menggunakan EVIEWS

    Uploaded by

    Didi Junaedi
    This document provides examples of using Eviews software to conduct time series and regression analysis. It demonstrates how to estimate optimal hedge ratios using regression of spot and futures returns. It also shows how to test coefficients, run descriptive statistics, and test for heteroscedasticity and autocorrelation. Further examples include building ARMA models to forecast UK house prices and using vector autoregressive models to examine the relationship between currencies.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd

    Contoh Praktis Menggunakan EVIEWS

    Uploaded by

    Didi Junaedi
    1K views46 pages
    This document provides examples of using Eviews software to conduct time series and regression analysis. It demonstrates how to estimate optimal hedge ratios using regression of spot and futures returns. It also shows how to test coefficients, run descriptive statistics, and test for heteroscedasticity and autocorrelation. Further examples include building ARMA models to forecast UK house prices and using vector autoregressive models to examine the relationship between currencies.

    Original Description:

    Contoh cara menggunakan Eviews

    Copyright

    © © All Rights Reserved

    Available Formats

    PPTX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    This document provides examples of using Eviews software to conduct time series and regression analysis. It demonstrates how to estimate optimal hedge ratios using regression of spot and futures returns. It also shows how to test coefficients, run descriptive statistics, and test for heteroscedasticity and autocorrelation. Further examples include building ARMA models to forecast UK house prices and using vector autoregressive models to examine the relationship between currencies.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Download as pptx, pdf, or txt
    1K views46 pages

    Contoh Praktis Menggunakan EVIEWS

    Uploaded by

    Didi Junaedi
    This document provides examples of using Eviews software to conduct time series and regression analysis. It demonstrates how to estimate optimal hedge ratios using regression of spot and futures returns. It also shows how to test coefficients, run descriptive statistics, and test for heteroscedasticity and autocorrelation. Further examples include building ARMA models to forecast UK house prices and using vector autoregressive models to examine the relationship between currencies.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Download as pptx, pdf, or txt
    You are on page 1of 46

    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 usin
    g Eviews.
    We focus on the relationship between SPOT and FUTURE
    S:
    1. Level regression (long run relationship)
    2. Return regression (short run relationship)
    .The appropriate hedge ratio will be the slope estimate, , i

    n a regression where the dependent variable is the spot r


    eturns and the independent variable is the futures return.
    .Test whether or not, we can View Coeff. Tests Co
    eff. 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 cho


    ose 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 hyp

    othesis that rather than .

    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 Equatio

    Type in the equation window

    ERFORD C ERSANDP
    Or
    100*DLOG(FORD)-USTB3M C 100*DLOG(SAND
    P)-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 regres

    sions that seek to determine whether the monthly returns on


    Microsoft stock an be explained by reference to unexpected c
    hanges 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.
    (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 systematic

    ally changing variability over the sample, that is a


    sign of heteroscedasticity.
    30
    20
    10
    0
    -10
    -20
    -30
    -40
    -50
    -60
    86

    88

    90

    92

    94

    96

    98

    00

    02

    04

    ERMSOFT Residuals

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

    run the formal statistical test. (Whites test)

    06

    To test for heteroscedasticity using Whites test.


    V
    V ambiguous!!
    X

    Using Whites modified standard error e


    stimates 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:

    Testing for non-normality


    The Bera-Jarque normality tests
    View Residual Tests Histogram Norm

    ality 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 Te

    st

    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 hou


    se price changes.
    1. Autocorrelation
    2. Partial autocorrelation

    Estimating the autocorrelation coefficie


    nts 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 Evie


    ws
    Suppose that the AR(2) model selected for the ho

    use price percentage changes series were estima


    ted using observations Feb. 1991-Dec. 2004, leavi
    ng 29 remaining observations to construct foreca
    sts.
    Quick Equation Estimation

    Forecast dynamic/static

    Simultaneous equations modelling usin


    g EViews
    What is the relationship between inflation and stock r

    eturns?
    In EViews, to do this we need to specify a list of instru
    ments, which would be all of the variables from the re
    duced 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 significa


    ntly so).
    The adjusted 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 le
    ad-lag interactions between the series.

    You might also like