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Financial Econometrics





Workfiles in EViewsObjectsSeriesGroupsSamplesSample CommandsEviews Functions OperatorsBasic Mathematical FunctionsStatistical functionsStatistical Distribution FunctionsProgramming in EviewsProgram VariablesRegression ModelIntroductionLinear Regression ModelHypothesis testingResidual diagnosticsExample: Factor ModelProgramming ExampleNonlinear RegressionUnivariate Time Series: Linear ModelsIntroductionStationarity and Autocorrelations StationarityARMA processesAutoregressive processMoving average processARMA processEstimation of ARMA processesExample: ARMA in EViewsProgramming exampleStationarity and Unit Roots TestsIntroductionUnit Roots testsDickey-Fuller testAugmented Dickey-Fuller testPhillips and Perron testsStationarity testsExample: Purchasing Power ParityUnivariate Time Series: Volatility ModelsIntroductionThe ARCH ModelExample: Simulating an ARCH(p) model in EViewsThe GARCH ModelExample: Simulating an GARCH (p, q) model in EViewsGARCH model estimationGARCH Model ExtensionsEGARCH ModelTGARCH ModelPGARCH ModelPredictionExample: GARCH EstimationMultivariate Time Series AnalysisIntroductionVector Autoregression ModelEstimation of VARs and Inference on coefficientsGranger CausalityImpulse Response and Variance DecompositionsVAR in EViewsCointegrationSpurious RegressionCointegrationError Correction ModelsTests for Cointegration: The Engle-Granger ApproachExample in EViews: Engle-Granger ApproachTests for Cointegration: The Johansen's ApproachExample in EViews: Johansen's ApproachBibliography
 
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