Generalized Autoregressive Score (GAS) approach to univariate GARCH Models

Authors and guest post by Eren Ocakverdi

This blog piece intends to introduce a new add-in (i.e. GASMODELU) that estimates selected univariate GARCH models within the Generalized Autoregressive Score (GAS) framework.

From Bańbura et al. (2010) to Cascaldi-Garcia’s (2022) Pandemic Priors

Authors and guest post by Ole Rummel and Davaajargal Luvsannyam This is the second in a series of blog posts that will present EViews add-in, LBVAR, aimed at estimating and forecasting a large Bayesian VAR model due to Banbura, Giannone and Reichlin (2010). We will discuss and replicate Cascaldi-Garcia (2022) on this blog.

Principal Component Analysis for Nonstationary Series

Authors and guest post by Eren Ocakverdi

This blog piece intends to introduce a new add-in (i.e. HXPRINCOMP) that implements the procedure developed by Hamilton and Xi (2022).

Nowcasting US GDP During Covid-19 using Factor Augmented MIDAS

The COVID-19 pandemic sent waves through the global economy, triggering a macroeconomic shock and caused unprecedented challenges for economists trying to predict the current state of economies. In the quest for a more timely and accurate assessment of economic conditions during the COVID-19 era, economists and researchers turned to innovative solutions, and one of the most promising techniques emerged: MIDAS (Mixed-Data Sampling) estimation.

State Space Models with GARCH Errors

Authors and guest post by Eren Ocakverdi

This blog piece intends to introduce a new add-in (i.e. SSPACEGARCH) that extends the current capability of EViews’ available features for the estimation of univariate state space models.

NARDL in EViews 13: A Study of Bosnia's Tourism Sector

EViews 13 introduces several new features to extend the analysis of the well-known autoregressive distributed lag (ARDL) model (see our 3-part ARDL blog series: Part I, Part II, and Part III). In particular, estimation of ARDL models now accommodates asymmetric distributed lag (DL) regressors which extend traditional ARDL models to the increasingly popular nonlinear ARDL (NARDL) models. The latter allow for more complex dynamics which focus on modeling asymmetries both among the cointegrating (long-run) as well as the dynamic adjustment (short-run) relationships. To demonstrate these features, we will examine whether tourist arrivals and their length of stay (popular measures of tourism sector development) have asymmetric effects on the overall economic development (measured as gross domestic product (GDP)) in Bosnia and Herzegovina.

EViews 13 is Released!

We are pleased to announce that EViews 13 has been released! Packed with new features and enhancements, EViews 13 can be purchased as either an upgrade or a new purchase for single user licenses.  Volume license customers will be receiving their complimentary upgrades soon!