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Financial Econometrics

Workfiles in EViews Objects Series Groups Samples Sample Commands Eviews Functions Operators Basic Mathematical Functions Statistical functions Statistical Distribution Functions Programming in Eviews Program Variables Regression Model Introduction Linear Regression Model Hypothesis testing Residual diagnostics Example: Factor Model Programming Example Nonlinear Regression Univariate Time Series: Linear Models Introduction Stationarity and Autocorrelations Stationarity ARMA processes Autoregressive process Moving average process ARMA process Estimation of ARMA processes Example: ARMA in EViews Programming example Stationarity and Unit Roots Tests Introduction Unit Roots tests Dickey-Fuller test Augmented Dickey-Fuller test Phillips and Perron tests Stationarity tests Example: Purchasing Power Parity Univariate Time Series: Volatility Models Introduction The ARCH Model Example: Simulating an ARCH(p) model in EViews The GARCH Model Example: Simulating an GARCH (p, q) model in EViews GARCH model estimation GARCH Model Extensions EGARCH Model TGARCH Model PGARCH Model Prediction Example: GARCH Estimation Multivariate Time Series Analysis Introduction Vector Autoregression Model Estimation of VARs and Inference on coefficients Granger Causality Impulse Response and Variance Decompositions VAR in EViews Cointegration Spurious Regression Cointegration Error Correction Models Tests for Cointegration: The Engle-Granger Approach Example in EViews: Engle-Granger Approach Tests for Cointegration: The Johansen's Approach Example in EViews: Johansen's Approach Bibliography

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