Practical Examples using Eviews

Presented by 2013/10/24Practical Examples using Eviews2.5 Estimation of an optimal hedge ratioInput Data

Descriptive StatisticsGenr type rfutures=100*dlog(futures) rspot=100*dlog(spot)Do not forget to Save the workfile.

Run RegressionIf you want to save the summary statistics, you must name them by clicking Name and then choose 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

Example for CAPM

Generate New VariablesRSANDP=100*DLOG(SANDP)RFORD=100*DLOG(FORD)USTB3M=USTB3M/12ERSANDP=RSANDP-USTB3M

CAPM test

APT-style ModelIn the spirit of APT, the following example will examine regressions that seek to determine whether the monthly returns on Microsoft stock an be explained by reference to unexpected changes in a set of macroeconomic and financial variables.Press Genr dspread = baa_aaa_spread baa_aaa_spread(-1)inflation = 100*dlog(cpi)term = ustb10y ustb3mermsoft = rmsoft mustb3m (excess return of Microsoft)Stepwise regression

Stepwise regression

Testing for heteroscedasticityIf the residuals of the regression have systematically changing variability over the sample, that is a sign of heteroscedasticity.

To test for heteroscedasticity using Whites test.

Using Whites modified standard error estimates in EViews

The heteroscedasticity-consistent s.d. errors are smaller than OLSDurbin-Watson (DW) is a test for first order autocorrelation.Detecting autocorrelation

Testing for non-normalityThe Bera-Jarque normality testsView Residual Tests Histogram Normality Test

MulticollinearityQuick/Group Statistics/CorrelationsIn the dialog box that appears:Ersandp dprod dcredit dinflation dmoney dspread rterm

RESET testsView Stability tests Ramsey RESET test

Stability testsView Stability Tests Chow Breakpoint Test

View Stability Tests Recursive Estimates (OLS Only)