DSpace at VNU: Financial Econometrics: With Eviews

FinancialEconometrics
WithEviews
RomanKozhan

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Roman Kozhan

Financial Econometrics

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Financial Econometrics – with EViews
© 2010 Roman Kozhan & Ventus Publishing ApS
ISBN 978-87-7681-427-4

To my wife Nataly

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Contents

Financial Econometrics

Contents
Preface

6

1
1.1
1.2
1.3
1.4

Introduction to EViews 6.0
Workiles in EViews
Objects
Eviews Functions
Programming in Eviews

7
8
10
18
22

2
2.1
2.2
2.3

Regression Model
Introduction
Linear Regression Model
Nonlinear Regression

34
34
34
52

3
3.1
3.2
3.3

Univariate Time Series: Linear Models
Introduction
Stationarity and Autocorrelations
ARMA processes

54
54
54
59

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Contents

Financial Econometrics

4
4.1
4.2
4.3
4.4

Stationarity and Unit Roots Tests
Introduction
Unit Roots tests
Stationarity tests
Example: Purchasing Power Parity

69
69
69
74
75

5
5.1
5.2
5.3
5.4
5.5

Univariate Time Series: Volatility Models
Introduction
The ARCH Model
The GARCH Model
GARCH model estimation
GARCH Model Extensions

80
80
80
83
86
87

6
6.1

6.2

Multivariate Time Series Analysis
Vector Autoregression Model
Cointegration

95
95
103

Bibliography

117

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Preface

Financial Econometrics

Preface
The aim of this textbook is to provide a step-by-step guide to financial econometrics
using EViews 6.0 statistical package. It contains brief overviews of econometric
concepts, models and data analysis techniques followed by empirical examples of
how they can be implemented in EViews.
This book is written as a compendium for undergraduate and graduate students in economics and finance. It also can serve as a guide for researchers and
practitioners who desire to use EViews for analysing financial data. This book may
be used as a textbook companion for graduate level courses in time series analysis,
empirical finance and financial econometrics.
It is assumed that the reader has a basic background in probability theory and
mathematical statistics
The material covered in the book includes concepts of linear regression, univariate and multivariate time series modelling and their implementation in EViews.
Chapter 1 briefly introduces commands, structure and programming language of
the EViews package. Chapter 2 provides an overview of the regression analysis and
its inference. Chapters 3 to 5 cover some topics of univariate time series analysis
including linear models, GARCH models of volatility, unit root tests. Chapter 6
introduces modelling of multivariate time series.

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