Friday, April 28, 2017

Dynamic Factor Models in EViews

One of the current buzz topics in macro-econometrics is that of dynamic factor models. 

Factor models allow researchers to work with a large number of variables by reducing them down to a handful (often two) components, allowing tractable results to be obtained from unwieldy data. 

A natural extension to factor models is to allow dynamics to enter the relationships.  These dynamic factor models have become extremely popular due to their ability to model business cycles, and perform both forecasting and nowcasting (predicting the current state of the economy).

Although EViews has built-in factor analysis, we do not (yet!) have dynamic factor models included. 

Luckily two researchers from the Ministry of Finance in Sweden have recently posted a paper, and corresponding code, that estimates dynamic factor models in EViews with a simple programming subroutine utilising EViews' state-space estimation object.

This paper looks fantastic - good job guys!

Monday, April 3, 2017

AutoRegressive Distributed Lag (ARDL) Estimation. Part I - Theory

One of our favorite bloggers, Dave Giles often writes about current trends in econometric theory and practice. One of his most popular topics is ARDL modeling, and he has a number of fantastic posts about it.

Since we have recently updated ARDL estimation in EViews 9.5, and are in the midst of adding some enhanced features to ARDL for the next version of EViews, EViews 10, we thought we would jot down our own thoughts on the theory and practice of ARDL models, particularly in regard to their use as a cointegration test.

This blog post will be in two parts. The first will discuss the theory behind ARDL models, and the second will introduce an example of using ARDL in EViews.

Monday, March 6, 2017

EViews Add-In: Importing Ken French’s Data Library

The frenchdata add-in is designed to make it easier and faster to download data from Ken French's data library. The data in the library are in zipped *.txt or *.csv files, many with multiple data sets and mixed date formats that can be tedious to import. This add-in, in contrast, is straightforward and requires minimal input. After downloading and processing each file is put in a separate workfile, multiple datasets in a single file are separated and each one is put in a separate page, data columns are put into series, and date formats are read from the files and applied to the page(s) of the workfile.

Friday, November 4, 2016

L1 Trend Filtering

Author and guest post by Eren Ocakverdi.

Extracting the trend of a time series is an important analytical task as it simply depicts the underlying movement of the variable of interest. Had this so-called long term component known in advance, we would have been able to foresee its future course. In practice, however, there are several other factors (e.g. cycle, noise) in play that have influence on the dynamics of a time dependent variable.

Time path of a variable can either be deterministic (assuming the change in trend is constant) or stochastic (assuming the change in trend varies randomly around a constant). Estimation of a deterministic trend is straightforward, yet it often oversimplifies the data generating process. The assumption of stochastic trend seems to be a better fit to observed behavior of various time series as they tend to evolve with abrupt changes. Nevertheless, its estimation is difficult and can have serious implications due to accumulation of past errors.

Tuesday, October 18, 2016

Add-in Round Up for 2016 Q2/Q3

Add-in Round Up for 2016 Q2/3

In this section of the blog, we provide a summary of the Add-ins that have been released or updated within the previous few months, and we announce the winner of our “Add-in of the Quarter” prize!

As a reminder, EViews Add-ins are additions to the EViews interface or command language written by our users or the EViews Development Team and released to the public. You can install Add-ins to your EViews by using the Add-ins menu from within EViews, or by visiting our Add-ins webpage.

We have 9 new Add-ins within the last few months, including a number related to VAR analysis: 
  1. ThSVAR
  2. FanChart
  3. Croston
  4. LocalIRFs
  5. Speccaus
  6. SIRF
  7. ConfCast
  8. URAll
  9. DMA


The ThSVAR Add-in continues Davaajargal Luvsannyam's line of VAR based Add-ins, and estimates Threshold Structural Vector Auto Regression (FAVAR) models, such as those described by Balke (2000).

Unlike traditional structural VAR approaches, the ThSVAR allows a threshold variable that determines which of two regimes the structural contemporaneous relationship is in.


The FanChart add-in creates Bank of England style fan charts from forecast distribution data.  More details can be found on our Fan Chart blog post.


The Croston method is a way of using exponential smoothing techniques to forecast intermittent series (series with long periods of zeros, intermingled with sparse positive integers).  This add-in performs the Croston method in a simple fashion.


The LocalIRFs Add-in, written by Eren Ocakverdi (Trubador on the EViews forums), performs impulse response analysis by local projection method of Jordà (2005, 2009) on a previously estimated VAR model. 

As well as providing the impulse response graphs and tables, Eren allows equality hypothesis tests on the responses.


Nicolas Ronderos' speccaus Add-in computes a frequency domain Granger causality test in the context of VAR models, as given in Breitung and Candelon (2006). 


Another Davaajargal Luvsannyam Add-in related to VARs, SIRF computes scaled impulse responses of Structural Vector Auto Regressions. 

Although a rather simple Add-in, it provides powerful functionality to users who wish to create their own impulses for structural VARs.


One more from Davaajargal Luvsannyam (who has been busy!) to add to the extensive list of VAR based add-ins.  ConfCast performs conditional forecasting from a VAR model, allowing you to constrain the future values of the VAR's underlying series.


URALL, by Imadeddin Almosabbeh, solves a time-old issue of wanting to perform individual unit root tests on a large number of series at once.  The add-in allows you to specify the type of unit root test to run, then collates the output from each one into an easy to read table. Nifty!


The final Davaajargal Luvsannyam add-in, and one unrelated to VARs!, performs dynamic model averaging.  

Model averaging is an exploding field in econometrics, with a common consensus held that averaging over different models is a better approach than choosing the single best model. 

Although EViews (9 and above) has various model averaging techniques built, dynamic model averaging is not yet available built in.  This add-in addresses that short-coming.

Quarterly Prize

The EViews Development Team has decided that the DMA Add-in contributed most significantly to the usage of EViews this quarter. 
For more information on writing Add-ins, you can read the Add-in chapter of the online help or visit the Add-in writer’s forum

If you would like to submit an Add-in, need more information on the Quarterly Prize, or have quesitons about writing Add-in for EViews, please email

Tuesday, August 9, 2016

An Application of Data Filtering Extracting Super Cycles in Commodity Prices

Authors and guest post by Daniel L. Jerrett, Ph.D and Abdel M. Zellou, Ph.D.

EViews offers numerous techniques to filter time series including the Hodrick Prescott filter as well as various band-pass filters.

This article will describe an application of one of these filtering techniques, namely the asymmetric Christiano Fitzgerald band pass filter, and its applications to real oil prices in order to extract the various cycle and trend components.

Super Cycles and Christiano Fitzgerald Band Pass Filter

There is a long standing interest in commodity price dynamics, i.e. their trend, cycle and volatility (Cuddington et al. 2007, Cashin and McDermott 2002). Recently, a number of papers have focused on the super cycle hypothesis. A super cycle (SC) is “a prolonged (decades) long trend rise in real commodity prices. Heap (2005) and Cuddington and Jerrett (2008) define a super cycle as a cycle lasting 20 to 70 years (trough to trough) as an economy goes through structural transformation caused by industrialization and urbanization. This structural transformation is accompanied by increased demand for energy and metals commodities as the manufacturing sector expands. Historically, these periods of urbanization and industrialization have occurred in Europe during the Industrial Revolution in the 19th century, in the U.S. at the beginning of the 20th century, in Western Europe again during the reconstruction that followed the Second World War, in South-East Asia in the 1960s and finally in the BRIC1 countries in the 1990s2. The increase in demand for energy and metals commodities during these periods, combined with the delay for the supply to catch up with the demand surge, created sustained periods of high commodity prices according to the super-cycle hypothesis.

Wednesday, July 13, 2016

All About Excel

Microsoft Excel is still used by many users and this post will quickly go over all of the different ways you can share and move data between EViews and Excel.

Native Excel File Support

EViews offers direct Excel file read and write capability. If you have data in an existing Excel spreadsheet and you wish to use it in an EViews workfile, simply drag and drop the Excel file onto an EViews workfile to start the import (see IMPORT command and Importing Data in our User's Guide) or drop it onto an empty area in the EViews frame window to create a new workfile (see WFOPEN command).

At the end of the import, you also have the option to link the data back to the source spreadsheet. This will allow you to easily refresh the data in the workfile, whenever the source Excel data has changed (see WFREFRESH).

By default, EViews will try to read in objects by column and will look for a single header row for the object names. In addition, EViews can transpose the data before import if your objects are defined in rows instead.

In the other direction, you can save EViews workfiles directly to an Excel file by going to
File –> Save As, then selecting the proper Excel type in the Save as type dropdown (see WFSAVE command and Exporting Data in our User's Guide).

Note: Reading the newer Excel .XLSX file format was added in EViews 7. Saving in .XLSX format was added in EViews 8.