EViews 网络资源 【1】-经管之家官网！

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Eviews爱好者，下面的网站上有一些EViews的资源，可以供参考。

http://docentes.fe.unl.pt/~lcnunes/courses/int_fin_ec_0607/material.html

Luis Catela Nunes

Faculdade de Economia - Universidade Nova de Lisboa

Additional course material for Introduction to Financial Econometrics

Datasets used in the lectures:

Portuguese Escudo - Deutsch Mark exchange rate (EViews)

Producer Price Index (EViews)

N.Y. Stock Exchange Composite Index (EViews)

Treasury Bill Interest Rate Spread (EViews)

ARMA models:

Producer Price Index from Enders (page 87) (Eviews)

Out of sample forecasts for PPI and Diebold-Mariano test (EViews)

Exponential smoothing:

The following readings are recommended:

Chris Brooks, "Introductory Econometrics for Finance": chapter 5

Paul Newbold, "Statistics for Business and Economics": chapter 17 (available at the library as book C10-001)

EViews 5 online help and manuals

VAR models:

M1 and Inflation data for question 7 in Enders (EViews workfile)

Data for fiscal-monetary Structural VAR (EViews workfile)

VAR in differences for term structure of 3 interest rates (EViews workfile)

Forecast error variance decomposition for the 3 interest rates VAR example (Excel)

ARCH models:

Robert Engle 2003 Nobel Lecture

Engle, R. (2002) "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models" with EViews data and EViews program (note: this program includes the commands to estimate the correlation using several methods).

Multivariate GARCH BEKK model: EViews data, EViews program for a bivariate model and EViews program for a trivariate model.

Breaks and unit roots:

Chris Brooks, "Introductory Econometrics for Finance": chapter 4.14

CAPM example in EViews used in class to perform stability tests.

Unit root test with a trend break: "A Guide" and an application to Portuguese GDP using an EViews program.

Switching:

Markov regime switching slides.

Markov regime switching example in Excel by Ulf G. Erlandsson.

Threshold model slides.

Example of a TAR model: data and program.

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